DFA Inflation-Protected Securities I (DIPSX): Historical Returns

Data Source: from January 1985 to May 2024 (~39 years)
Consolidated Returns as of 31 May 2024
Live Update: Jun 14 2024
Category: Fixed Income
DFA Inflation-Protected Securities I (DIPSX) Fund
Currency: USD
FUND • LIVE PERFORMANCE (USD currency)
0.09%
1 Day
Jun 14 2024
0.92%
Current Month
June 2024

In the last 30 Years, the DFA Inflation-Protected Securities I (DIPSX) Fund obtained a 5.43% compound annual return, with a 6.17% standard deviation. It suffered a maximum drawdown of -13.93% that required 29 months to be recovered.

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The DFA Inflation-Protected Securities I (DIPSX) Fund is part of the following Lazy Portfolios:

Portfolio Name Author DIPSX Weight Currency
Dimensional Retirement Income Fund DFA 47.60% USD

Investment Returns as of May 31, 2024

The DFA Inflation-Protected Securities I (DIPSX) Fund guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
DFA INFLATION-PROTECTED SECURITIES I (DIPSX) FUND
Consolidated returns as of 31 May 2024
Live Update: Jun 14 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of May 31, 2024
  1 Day Time ET(*) Jun 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~39Y)
DFA Inflation-Protected Securities I (DIPSX) Fund 0.09 0.92 1.78 2.71 1.50 2.03 1.88 5.43 6.81
US Inflation Adjusted return 1.78 1.00 -1.69 -2.06 -0.93 2.82 3.91
Returns over 1 year are annualized | Available data source: since Jan 1985
(*) Eastern Time (ET - America/New York)
US Inflation is updated to May 2024. Current inflation (annualized) is 1Y: 3.25% , 5Y: 4.17% , 10Y: 2.83% , 30Y: 2.54%

In 2023, the DFA Inflation-Protected Securities I (DIPSX) Fund granted a 3.78% dividend yield. If you are interested in getting periodic income, please refer to the DFA Inflation-Protected Securities I (DIPSX) Fund: Dividend Yield page.

Capital Growth as of May 31, 2024

An investment of 1$, since June 1994, now would be worth 4.89$, with a total return of 389.26% (5.43% annualized).

The Inflation Adjusted Capital now would be 2.30$, with a net total return of 130.40% (2.82% annualized).
An investment of 1$, since January 1985, now would be worth 13.44$, with a total return of 1243.95% (6.81% annualized).

The Inflation Adjusted Capital now would be 4.53$, with a net total return of 352.67% (3.91% annualized).

Investment Metrics as of May 31, 2024

Metrics of DFA Inflation-Protected Securities I (DIPSX) Fund, updated as of 31 May 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
DFA INFLATION-PROTECTED SECURITIES I (DIPSX) FUND
Advanced Metrics
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Swipe left to see all data
Metrics as of May 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~39Y)
Investment Return (%) 1.78 0.84 2.71 1.50 -1.55 2.03 1.88 3.59 5.43 6.81
Infl. Adjusted Return (%)
1.78 0.14 1.00 -1.69 -6.49 -2.06 -0.93 0.99 2.82 3.91
US Inflation (%) 0.01 0.70 1.69 3.25 5.28 4.17 2.83 2.58 2.54 2.80
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -3.86 -13.93 -13.93 -13.93 -13.93 -13.93 -13.93
Start to Recovery (# months)
7 29* 29* 29* 29* 29* 29*
Start (yyyy mm) 2023 06 2022 01 2022 01 2022 01 2022 01 2022 01 2022 01
Start to Bottom (# months) 5 9 9 9 9 9 9
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2022 09 2022 09 2022 09
Bottom to End (# months) 2 20 20 20 20 20 20
End (yyyy mm) 2023 12 - - - - - -
Longest Drawdown Depth (%)
same

same

same

same
-9.90 -9.90 -9.90
Start to Recovery (# months)
76 76 76
Start (yyyy mm) 2023 06 2022 01 2022 01 2022 01 2012 12 2012 12 2012 12
Start to Bottom (# months) 5 9 9 9 13 13 13
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2013 12 2013 12 2013 12
Bottom to End (# months) 2 20 20 20 63 63 63
End (yyyy mm) 2023 12 - - - 2019 03 2019 03 2019 03
Longest negative period (# months)
11 36* 46 46 76 76 76
Period Start (yyyy mm) 2023 06 2021 06 2020 07 2020 07 2012 08 2012 08 2012 08
Period End (yyyy mm) 2024 04 2024 05 2024 04 2024 04 2018 11 2018 11 2018 11
Annualized Return (%) -0.30 -1.55 -0.12 -0.12 -0.07 -0.07 -0.07
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -5.16 -22.79 -22.79 -22.79 -22.79 -22.79 -22.79
Start to Recovery (# months)
12* 34* 34* 34* 34* 34* 34*
Start (yyyy mm) 2023 06 2021 08 2021 08 2021 08 2021 08 2021 08 2021 08
Start to Bottom (# months) 5 27 27 27 27 27 27
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10 2023 10
Bottom to End (# months) 7 7 7 7 7 7 7
End (yyyy mm) - - - - - - -
Longest Drawdown Depth (%)
same

same

same
-6.80 -11.27 -11.27 -11.27
Start to Recovery (# months)
37 89 89 89
Start (yyyy mm) 2023 06 2021 08 2021 08 2016 08 2012 12 2012 12 2012 12
Start to Bottom (# months) 5 27 27 27 71 71 71
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2018 10 2018 10 2018 10 2018 10
Bottom to End (# months) 7 7 7 10 18 18 18
End (yyyy mm) - - - 2019 08 2020 04 2020 04 2020 04
Longest negative period (# months)
12* 36* 60* 120* 167 167 167
Period Start (yyyy mm) 2023 06 2021 06 2019 06 2014 06 2009 12 2009 12 2009 12
Period End (yyyy mm) 2024 05 2024 05 2024 05 2024 05 2023 10 2023 10 2023 10
Annualized Return (%) -1.69 -6.49 -2.06 -0.93 -0.04 -0.04 -0.04
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 5.24 7.70 6.62 5.44 6.12 6.17 6.77
Sharpe Ratio -0.74 -0.57 0.01 0.10 0.36 0.51 0.42
Sortino Ratio -1.14 -0.78 0.01 0.14 0.48 0.69 0.58
Ulcer Index 1.60 8.49 6.64 4.87 4.55 3.95 3.86
Ratio: Return / Standard Deviation 0.29 -0.20 0.31 0.34 0.59 0.88 1.01
Ratio: Return / Deepest Drawdown 0.39 -0.11 0.15 0.13 0.26 0.39 0.49
Positive Months (%)
50.00 50.00 60.00 58.33 63.33 65.27 66.17
Positive Months 6 18 36 70 152 235 313
Negative Months 6 18 24 50 88 125 160
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 1.88 5.38 9.83 11.39
Worst 10 Years Return (%) - Annualized 0.90 0.90 0.90
Best 10 Years Return (%) - Annualized -0.93 3.15 7.18 7.55
Worst 10 Years Return (%) - Annualized -1.58 -1.58 -1.58
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· Over the latest 30Y
Best Rolling Return (%) - Annualized 23.02 14.69 11.54 9.83 7.30 5.43
Worst Rolling Return (%) - Annualized -12.23 -2.52 -0.35 0.90 3.43
Positive Periods (%) 79.3 92.6 97.6 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 19.98 12.19 8.74 7.18 4.83 2.82
Worst Rolling Return (%) - Annualized -18.88 -7.50 -2.09 -1.58 0.82
Positive Periods (%) 67.0 80.0 84.0 89.2 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
2.47 3.70 4.43 6.41 3.80 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 3.21 4.98 6.24 8.80 5.52 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
3.68 5.80 7.40 12.04 6.76 1.47 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 4.46 7.14 9.29 12.23 7.52 1.66 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 89.98 29.36 18.51 9.42 5.96 6.25
Perpetual Withdrawal Rate (%) --- --- --- --- 0.89 3.54
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Jan 1985 - May 2024)
Best Rolling Return (%) - Annualized 40.52 17.65 14.27 11.39 10.27 8.40
Worst Rolling Return (%) - Annualized -12.23 -2.52 -0.35 0.90 3.43 4.94
Positive Periods (%) 81.1 94.5 98.3 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 37.55 13.96 9.87 7.55 7.04 5.57
Worst Rolling Return (%) - Annualized -18.88 -7.50 -2.09 -1.58 0.82 2.36
Positive Periods (%) 68.6 84.9 88.4 92.6 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
2.64 3.86 4.45 6.21 2.33 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 3.45 5.26 6.44 8.43 4.79 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
3.97 6.16 7.71 10.66 6.68 0.91 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 4.82 7.63 9.79 11.87 7.27 1.59 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 89.98 29.36 18.51 9.42 5.96 5.52
Perpetual Withdrawal Rate (%) --- --- --- --- 0.89 2.79
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of May 31, 2024

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

The following table shows the monthly correlations of DFA Inflation-Protected Securities I (DIPSX) Fund vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

DFA INFLATION-PROTECTED SECURITIES I (DIPSX) FUND
Monthly correlations as of 31 May 2024
Swipe left to see all data
Correlation vs DIPSX
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
VTI
US Total Stock Market
0.74
0.65
0.48
0.19
0.20
SPY
US Large Cap
0.74
0.66
0.48
0.20
0.21
IJR
US Small Cap
0.74
0.51
0.34
0.11
0.12
VNQ
US REITs
0.82
0.66
0.61
0.33
0.34
QQQ
US Technology
0.77
0.70
0.52
0.12
0.12
PFF
Preferred Stocks
0.80
0.60
0.56
0.35
0.35
EFA
EAFE Stocks
0.81
0.61
0.49
0.21
0.21
VT
World All Countries
0.75
0.64
0.50
0.20
0.22
EEM
Emerging Markets
0.54
0.48
0.44
0.17
0.20
VGK
Europe
0.83
0.60
0.48
0.20
0.21
VPL
Pacific
0.75
0.60
0.48
0.21
0.21
FLLA
Latin America
0.58
0.32
0.30
0.14
0.14
BND
US Total Bond Market
0.97
0.84
0.83
0.81
0.82
TLT
Long Term Treasuries
0.93
0.68
0.69
0.65
0.66
BIL
US Cash
0.13
-0.07
-0.02
0.10
0.10
TIP
TIPS
1.00
0.99
0.99
0.99
0.99
LQD
Invest. Grade Bonds
0.94
0.82
0.80
0.72
0.73
HYG
High Yield Bonds
0.89
0.71
0.61
0.38
0.40
CWB
US Convertible Bonds
0.76
0.58
0.47
0.24
0.25
BNDX
International Bonds
0.88
0.83
0.77
0.61
0.63
EMB
Emerg. Market Bonds
0.87
0.67
0.66
0.44
0.45
GLD
Gold
0.27
0.48
0.50
0.36
0.33
DBC
Commodities
-0.24
0.11
0.10
0.26
0.25

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DFA INFLATION-PROTECTED SECURITIES I (DIPSX) FUND
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Inflation Adjusted:
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Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

DFA INFLATION-PROTECTED SECURITIES I (DIPSX) FUND
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the DFA Inflation-Protected Securities I (DIPSX) Fund: Rolling Returns page.

Seasonality

In which months is it better to invest in DFA Inflation-Protected Securities I (DIPSX) Fund?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the DFA Inflation-Protected Securities I (DIPSX) Fund over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

DFA INFLATION-PROTECTED SECURITIES I (DIPSX) FUND
Monthly Returns Distribution
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 January 1985 - 31 May 2024 (~39 years)
235 Positive Months (65%) - 125 Negative Months (35%)
313 Positive Months (66%) - 160 Negative Months (34%)
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(Scroll down to see all data)
Investment Returns, up to December 2006, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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