^XAX vs. DFAC
^XAX (NYSE American Composite Index) is an index, while DFAC (Dimensional U.S. Core Equity 2 ETF) is Large Cap Blend Equities fund actively managed by Dimensional. Over the past 3 years, ^XAX returned 29.41%/yr vs 20.56%/yr for DFAC. At a 0.48 correlation, their price movements are largely independent.
Performance
^XAX vs. DFAC - Performance Comparison
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Returns By Period
In the year-to-date period, ^XAX achieves a 27.43% return, which is significantly higher than DFAC's 11.90% return.
^XAX
- 1D
- -0.14%
- 1M
- -2.59%
- YTD
- 27.43%
- 6M
- 19.70%
- 1Y
- 63.31%
- 3Y*
- 29.41%
- 5Y*
- 21.64%
- 10Y*
- 14.18%
DFAC
- 1D
- -0.67%
- 1M
- 4.57%
- YTD
- 11.90%
- 6M
- 12.19%
- 1Y
- 28.89%
- 3Y*
- 20.56%
- 5Y*
- —
- 10Y*
- —
^XAX vs. DFAC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
^XAX NYSE American Composite Index | 27.43% | 46.53% | 2.00% | 11.10% | 20.66% | 3.52% |
DFAC Dimensional U.S. Core Equity 2 ETF | 11.90% | 15.66% | 19.61% | 21.96% | -14.93% | 9.51% |
Correlation
The correlation between ^XAX and DFAC is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (All Time) Calculated using the full available price history since Jun 15, 2021 | 0.48 |
Over the past year, the correlation between ^XAX and DFAC has dropped to 0.27 - well below their long-term average of 0.48, suggesting their price drivers have been diverging.
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Return for Risk
^XAX vs. DFAC — Risk / Return Rank
^XAX
DFAC
^XAX vs. DFAC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NYSE American Composite Index (^XAX) and Dimensional U.S. Core Equity 2 ETF (DFAC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| ^XAX | DFAC | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.07 | 2.39 | +0.68 |
Sortino ratioReturn per unit of downside risk | 3.77 | 3.31 | +0.46 |
Omega ratioGain probability vs. loss probability | 1.50 | 1.43 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 6.66 | 3.42 | +3.24 |
Martin ratioReturn relative to average drawdown | 22.63 | 15.17 | +7.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ^XAX | DFAC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.07 | 2.39 | +0.68 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.71 | -0.20 |
Drawdowns
^XAX vs. DFAC - Drawdown Comparison
The maximum ^XAX drawdown since its inception was -54.41%, which is greater than DFAC's maximum drawdown of -23.12%. Use the drawdown chart below to compare losses from any high point for ^XAX and DFAC.
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Drawdown Indicators
| ^XAX | DFAC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.41% | -23.12% | -31.29% |
Max Drawdown (1Y)Largest decline over 1 year | -9.56% | -8.49% | -1.07% |
Max Drawdown (3Y)Largest decline over 3 years | -18.79% | -20.02% | +1.23% |
Max Drawdown (5Y)Largest decline over 5 years | -19.28% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -52.59% | — | — |
Current DrawdownCurrent decline from peak | -5.61% | -0.67% | -4.94% |
Average DrawdownAverage peak-to-trough decline | -10.30% | -5.45% | -4.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.81% | 1.91% | +0.90% |
Volatility
^XAX vs. DFAC - Volatility Comparison
NYSE American Composite Index (^XAX) has a higher volatility of 6.44% compared to Dimensional U.S. Core Equity 2 ETF (DFAC) at 3.01%. This indicates that ^XAX's price experiences larger fluctuations and is considered to be riskier than DFAC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^XAX | DFAC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.44% | 3.01% | +3.43% |
Volatility (6M)Calculated over the trailing 6-month period | 17.08% | 8.96% | +8.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.77% | 12.15% | +8.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.54% | 17.13% | +5.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.85% | 17.13% | +4.72% |
Frequently Asked Questions
^XAX and DFAC have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^XAX has higher volatility (6.44%) compared to DFAC (3.01%). In terms of maximum drawdown, ^XAX dropped -54.41% vs DFAC's -23.12%.
^XAX currently has the higher Sharpe Ratio (3.07 vs 2.39), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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