Fund Performance Analysis

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Fund Information (Feb 1984 - Jun 2020)

Fund information
TickerDFSCX
NameDFA US Micro Cap I
Asset ClassU.S. Equity
CategorySmall Blend
Fund BenchmarkRussell 2000 TR USD
Selected BenchmarkVanguard 500 Index Investor (VFINX)
Price/Earnings (TTM)13.29
Yield (TTM)1.05%
Assets5.05 B
Expense Ratio0.51%
Inception Date12/23/1981

Performance Summary

Fund performance summary
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
DFA US Micro Cap I$10,000$292,521 9.71% 19.96%60.72%-36.72%-56.88% 0.390.560.84
Vanguard 500 Index Investor$10,000$427,636 10.86% 15.04%37.45%-37.02%-50.97% 0.540.780.99
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Fund fundamentals data as of 06/30/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
  • Displayed expense ratio is the prospectus net expense ratio
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryDFA US Micro Cap IVanguard 500 Index Investor
Large-cap Value0.00%46.63%
Large-cap Growth0.00%53.29%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value66.67%0.00%
Small-cap Growth32.29%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets1.04%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.01%
Intermediate-Term Treasuries0.00%0.08%
Short-Term Treasuries0.00%0.00%
R Squared98.18%99.92%
Style analysis is based on monthly returns from Apr 2005 to Jun 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for DFA US Micro Cap I

Holdings Based Style Analysis for DFA US Micro Cap I
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DFSCXDFA US Micro Cap ISmall Blend100.00%0.51%13.29$282,521100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Vanguard 500 Index Investor

Holdings Based Style Analysis for Vanguard 500 Index Investor
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%22.30$417,636100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricDFA US Micro Cap IVanguard 500 Index Investor
Arithmetic Mean (monthly)0.95%0.96%
Arithmetic Mean (annualized)11.96%12.13%
Geometric Mean (monthly)0.78%0.86%
Geometric Mean (annualized)9.71%10.86%
Volatility (monthly)5.76%4.34%
Volatility (annualized)19.96%15.04%
Downside Deviation (monthly)3.93%2.87%
Max. Drawdown-56.88%-50.97%
US Market Correlation0.840.99
Beta(*)1.031.00
Alpha (annualized)-0.52%0.00%
R260.35%100.00%
Sharpe Ratio0.390.54
Sortino Ratio0.560.78
Treynor Ratio (%)7.658.05
Calmar Ratio-0.060.54
Active Return-1.15%N/A
Tracking Error12.58%N/A
Information Ratio-0.09N/A
Skewness-0.69-0.75
Excess Kurtosis3.012.43
Historical Value-at-Risk (5%)-8.30%-7.05%
Analytical Value-at-Risk (5%)-8.53%-6.18%
Conditional Value-at-Risk (5%)-13.47%-10.03%
Upside Capture Ratio (%)104.47100.00
Downside Capture Ratio (%)112.99100.00
Safe Withdrawal Rate7.21%10.34%
Perpetual Withdrawal Rate6.59%7.57%
Positive Periods273 out of 437 (62.47%)287 out of 437 (65.68%)
Gain/Loss Ratio0.910.93
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

DFA US Micro Cap I Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
1984-6.35%1.66%-0.88%-5.20%3.08%-4.16%9.89%0.25%-2.09%-3.39%1.64%-6.39%
198510.44%2.67%-2.13%-1.69%2.70%1.08%2.60%-0.69%-5.45%2.58%6.22%4.65%24.40%
19861.13%7.28%4.70%0.70%3.56%0.29%-7.15%2.16%-5.53%3.40%-0.32%-2.58%6.90%
19879.43%8.09%2.33%-3.13%-0.39%2.66%3.64%2.87%-0.81%-29.19%-3.97%5.14%-9.36%
19885.56%7.60%4.08%2.09%-1.79%6.12%-0.25%-2.46%2.27%-1.23%-4.37%3.91%22.84%
19894.04%0.83%3.58%2.79%3.62%-2.00%4.07%1.22%0.00%-6.04%-0.51%-1.37%10.16%
1990-7.64%1.87%3.68%-2.66%5.61%1.44%-3.82%-12.96%-8.29%-5.72%4.50%1.94%-21.56%
19918.41%11.13%6.80%0.34%3.34%-4.85%4.07%2.61%0.32%3.49%-3.06%5.75%44.26%
199211.45%4.52%-2.49%-4.03%-0.14%-5.19%3.70%-2.28%1.31%2.59%8.85%4.36%23.48%
19935.43%-1.80%2.89%-3.06%3.42%-0.38%1.66%3.39%3.16%4.71%-1.75%1.94%20.97%
19946.18%-0.23%-4.46%0.60%-0.12%-2.62%1.84%3.37%1.05%1.15%-3.26%0.02%3.09%
19952.83%2.52%1.45%3.52%2.98%5.68%6.45%3.58%1.95%-4.87%1.92%2.39%34.48%
19960.28%3.69%2.28%8.48%7.49%-5.82%-9.43%4.76%2.91%-1.75%2.88%2.04%17.65%
19974.20%-2.06%-4.90%-2.76%10.22%4.98%6.05%5.09%8.44%-3.86%-1.55%-1.71%22.78%
1998-0.59%6.49%4.81%1.68%-4.97%-2.06%-6.71%-20.10%3.69%3.56%7.58%2.52%-7.32%
19992.79%-6.87%-3.79%9.49%3.87%5.68%0.92%-1.91%-2.21%-0.87%9.71%11.37%29.79%
20005.95%23.58%-7.51%-12.51%-8.08%13.68%-3.22%9.25%-2.17%-7.06%-11.10%1.89%-3.60%
200113.80%-7.02%-4.80%7.31%9.60%3.59%-2.54%-2.95%-12.78%6.45%6.74%6.72%22.77%
20021.10%-2.77%8.84%2.43%-2.73%-3.56%-14.48%-0.57%-6.74%2.57%8.36%-4.29%-13.27%
2003-2.23%-2.88%1.11%9.28%11.51%4.51%7.38%4.73%0.09%8.94%4.30%2.77%60.72%
20045.78%0.50%0.14%-4.09%0.00%4.41%-7.47%-1.52%5.01%1.84%8.97%4.58%18.39%
2005-4.10%0.83%-3.23%-6.22%6.03%4.52%7.63%-1.39%0.61%-2.81%4.53%0.18%5.69%
20069.14%0.25%4.55%-0.41%-5.89%-0.89%-3.45%2.78%0.56%5.45%2.25%1.61%16.16%
20071.15%-0.50%1.02%1.50%3.15%-0.33%-6.51%1.16%1.48%1.70%-8.42%-0.06%-5.22%
2008-7.65%-3.14%0.31%2.07%3.98%-9.05%4.48%3.38%-7.37%-20.71%-12.84%5.66%-36.72%
2009-11.91%-13.11%9.58%17.39%3.43%2.76%9.82%2.73%5.76%-7.27%1.78%8.69%28.06%
2010-2.94%4.39%8.08%7.27%-7.42%-7.24%7.14%-7.98%12.16%4.34%4.24%8.19%31.29%
2011-1.09%5.87%3.25%1.68%-1.92%-2.16%-2.69%-8.93%-10.58%15.43%-0.60%0.86%-3.25%
20126.96%1.91%2.98%-1.42%-6.97%5.12%-0.91%3.12%4.19%-2.05%0.94%3.80%18.24%
20135.68%1.10%4.87%-0.79%5.18%0.46%7.41%-3.48%7.05%3.48%5.55%1.89%45.06%
2014-4.43%4.21%0.97%-3.41%0.10%4.34%-5.84%4.54%-5.69%6.52%-0.75%3.37%2.92%
2015-4.90%6.03%2.29%-1.95%1.38%1.63%-2.44%-4.43%-4.31%6.03%2.84%-4.90%-3.62%
2016-6.80%1.10%7.08%1.08%1.07%-0.17%5.02%1.59%0.72%-3.53%13.19%4.06%25.63%
2017-1.44%0.68%0.17%1.59%-2.99%3.72%0.47%-2.16%8.39%1.11%2.64%-1.03%11.18%
20182.04%-4.31%1.71%0.82%5.94%1.40%2.20%3.77%-2.44%-10.40%0.55%-11.83%-11.60%
201910.11%5.11%-3.56%3.40%-9.11%7.31%0.72%-6.23%4.14%2.11%3.03%3.57%20.66%
2020-5.44%-10.09%-23.25%13.32%4.44%2.78%-20.63%

Vanguard 500 Index Investor Returns

Annual and monthly fund returns
YearJanFebMarAprMayJunJulAugSepOctNovDecTotal
1984-3.32%1.63%0.68%-5.36%2.20%-1.47%11.20%-0.00%0.25%-1.00%2.60%6.75%
19857.58%1.38%0.01%-0.28%6.03%1.43%-0.22%-0.67%-3.14%4.40%6.94%4.67%31.23%
19860.43%7.58%5.48%-1.35%5.45%1.67%-5.74%7.45%-8.31%5.63%2.55%-2.64%18.06%
198713.27%3.97%2.86%-0.99%1.04%5.02%4.91%3.84%-2.29%-21.73%-8.19%7.55%4.71%
19884.17%4.59%-3.04%1.01%0.81%4.56%-0.37%-3.40%4.26%2.73%-1.47%1.74%16.22%
19897.32%-2.47%2.26%5.18%4.04%-0.59%9.01%1.86%-0.40%-2.34%2.04%2.38%31.36%
1990-6.72%1.27%2.61%-2.50%9.69%-0.66%-0.35%-9.03%-4.89%-0.41%6.44%2.72%-3.32%
19914.35%7.12%2.41%0.20%4.27%-4.56%4.63%2.33%-1.67%1.33%-4.01%11.41%30.22%
1992-1.88%1.24%-1.93%2.91%0.48%-1.49%4.04%-2.07%1.17%0.33%3.40%1.21%7.42%
19930.81%1.36%2.11%-2.42%2.65%0.27%-0.42%3.79%-0.79%2.08%-1.00%1.22%9.89%
19943.38%-2.71%-4.39%1.29%1.60%-2.45%3.28%4.08%-2.45%2.25%-3.65%1.46%1.18%
19952.58%3.88%2.95%2.94%3.95%2.31%3.30%0.26%4.21%-0.36%4.38%1.93%37.45%
19963.39%0.92%0.98%1.46%2.54%0.38%-4.42%2.10%5.61%2.76%7.56%-1.96%22.88%
19976.22%0.79%-4.14%5.96%6.09%4.45%7.97%-5.61%5.47%-3.35%4.60%1.72%33.19%
19981.11%7.19%5.10%1.01%-1.74%4.07%-1.05%-14.47%6.41%8.16%6.07%5.81%28.62%
19994.20%-3.12%4.00%3.85%-2.39%5.56%-3.13%-0.50%-2.74%6.33%2.02%5.98%21.07%
2000-5.03%-1.91%9.76%-3.01%-2.04%2.49%-1.49%6.19%-5.29%-0.43%-7.88%0.50%-9.06%
20013.55%-9.14%-6.36%7.77%0.65%-2.45%-1.00%-6.27%-8.09%1.90%7.65%0.87%-12.02%
2002-1.47%-1.94%3.74%-6.07%-0.75%-7.13%-7.72%0.65%-10.87%8.78%5.88%-5.89%-22.15%
2003-2.62%-1.52%0.96%8.25%5.26%1.26%1.74%1.93%-1.07%5.64%0.86%5.22%28.50%
20041.82%1.38%-1.51%-1.58%1.36%1.93%-3.31%0.38%1.07%1.51%4.05%3.39%10.74%
2005-2.45%2.09%-1.76%-1.91%3.17%0.13%3.71%-0.91%0.79%-1.68%3.76%0.02%4.77%
20062.65%0.26%1.23%1.33%-2.90%0.13%0.61%2.36%2.56%3.25%1.89%1.39%15.64%
20071.49%-1.97%1.11%4.42%3.48%-1.68%-3.08%1.50%3.72%1.58%-4.19%-0.70%5.39%
2008-6.02%-3.25%-0.44%4.85%1.29%-8.44%-0.83%1.45%-8.91%-16.79%-7.17%1.07%-37.02%
2009-8.41%-10.66%8.76%9.56%5.62%0.22%7.58%3.60%3.72%-1.87%5.98%1.95%26.49%
2010-3.60%3.09%6.01%1.58%-8.01%-5.24%7.00%-4.53%8.92%3.79%0.00%6.67%14.91%
20112.36%3.42%0.03%2.95%-1.15%-1.67%-2.05%-5.45%-7.04%10.91%-0.23%1.02%1.97%
20124.46%4.31%3.28%-0.64%-6.02%4.11%1.37%2.24%2.58%-1.86%0.56%0.90%15.82%
20135.18%1.34%3.74%1.91%2.33%-1.35%5.07%-2.91%3.12%4.59%3.03%2.51%32.18%
2014-3.47%4.56%0.82%0.72%2.33%2.05%-1.39%3.98%-1.41%2.42%2.68%-0.26%13.51%
2015-3.02%5.74%-1.59%0.95%1.27%-1.93%2.08%-6.04%-2.49%8.42%0.29%-1.59%1.25%
2016-4.98%-0.15%6.78%0.37%1.78%0.25%3.68%0.13%0.01%-1.83%3.70%1.96%11.82%
20171.88%3.96%0.10%1.02%1.39%0.61%2.04%0.29%2.06%2.32%3.06%1.10%21.67%
20185.71%-3.69%-2.56%0.37%2.39%0.61%3.71%3.25%0.55%-6.85%2.03%-9.04%-4.52%
20198.00%3.20%1.94%4.04%-6.36%7.03%1.43%-1.59%1.86%2.15%3.62%3.01%31.33%
2020-0.05%-8.24%-12.37%12.81%4.76%1.98%-3.15%

DFA US Micro Cap I Factor Regression

DFA US Micro Cap I Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.971.010.28-0.57%96.77%
Carhart 4-factor model0.971.010.27-0.03-0.33%96.81%
Fama-French 5-factor model0.950.980.14-0.130.030.32%97.09%
Factor regression from Feb 1984 to May 2020. Statistically significant values in bold.

Vanguard 500 Index Investor Factor Regression

Vanguard 500 Index Investor Factor Regression
ModelMKT-RFSMBHMLMOMRMWCMAAnnualized AlphaR2
Fama-French 3-factor model0.99-0.180.02-0.06%99.45%
Carhart 4-factor model0.99-0.180.02-0.010.06%99.46%
Fama-French 5-factor model1.01-0.170.020.060.04-0.56%99.51%
Factor regression from Feb 1984 to May 2020. Statistically significant values in bold.
Rolling returns summary
Roll PeriodDFA US Micro Cap IVanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year12.91%60.72%-36.72%12.61%37.45%-37.02%
3 years11.28%29.16%-11.35%11.06%31.03%-14.60%
5 years11.43%24.47%-2.71%10.70%28.49%-2.38%
7 years11.71%23.23%2.61%10.41%21.44%-1.64%
10 years11.55%17.47%6.30%9.86%19.04%-1.46%
15 years11.40%17.13%7.55%9.14%18.68%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods