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DFA Tax-Managed US Small Cap (DFTSX)
On
Dec 24
:
18.13
0.08
(0.44%)
MORE ON DFTSX
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Research Reports
Risk
As of 30-Nov-09
Get
Risk
for:
RISK OVERVIEW
Morningstar Risk Rating:
Above average
Number of Years Up:
3
Number of Years Down:
2
Best 1 Yr Total Return
(2004)
:
17.61%
Worst 1 Yr Total Return
(2008)
:
-38.43%
RISK (MODERN PORTFOLIO THEORY) STATISTICS
3 Years
Statistic
DFTSX
Category
Alpha (against Standard Index)
-3.00
-0.48
Beta (against Standard Index)
1.19
1.16
Mean Annual Return
-10.73
-0.45
R-squared (against Standard Index)
89
86.39
Standard Deviation
25.05
24.75
Sharpe Ratio
-0.41
N/A
Treynor Ratio
-10.94
N/A
5 Years
Statistic
DFTSX
Category
Alpha (against Standard Index)
-1.24
0.00
Beta (against Standard Index)
1.23
1.17
Mean Annual Return
-1.76
0.16
R-squared (against Standard Index)
85
83.41
Standard Deviation
21.45
20.64
Sharpe Ratio
-0.11
N/A
Treynor Ratio
-3.85
N/A
10 Years
Statistic
DFTSX
Category
Alpha (against Standard Index)
6.57
7.16
Beta (against Standard Index)
1.12
1.00
Mean Annual Return
4.53
0.66
R-squared (against Standard Index)
63
64.42
Standard Deviation
22.91
20.26
Sharpe Ratio
0.18
N/A
Treynor Ratio
1.42
N/A
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