DFAAX vs. SPY
Compare and contrast key facts about DFA Global Core Plus Real Return Portfolio (DFAAX) and SPDR S&P 500 ETF (SPY).
DFAAX is managed by Dimensional Fund Advisors. It was launched on May 5, 2021. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFAAX or SPY.
Key characteristics
| DFAAX | SPY | |
|---|---|---|
| YTD Return | 5.34% | 27.16% |
| 1Y Return | 11.46% | 37.73% |
| 3Y Return (Ann) | -0.31% | 10.28% |
| Sharpe Ratio | 2.92 | 3.25 |
| Sortino Ratio | 4.98 | 4.32 |
| Omega Ratio | 1.63 | 1.61 |
| Calmar Ratio | 1.01 | 4.74 |
| Martin Ratio | 19.28 | 21.51 |
| Ulcer Index | 0.59% | 1.85% |
| Daily Std Dev | 3.89% | 12.20% |
| Max Drawdown | -17.30% | -55.19% |
| Current Drawdown | -1.01% | 0.00% |
Correlation
The correlation between DFAAX and SPY is 0.29, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
DFAAX vs. SPY - Performance Comparison
In the year-to-date period, DFAAX achieves a 5.34% return, which is significantly lower than SPY's 27.16% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DFAAX vs. SPY - Expense Ratio Comparison
DFAAX has a 0.29% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
DFAAX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Core Plus Real Return Portfolio (DFAAX) and SPDR S&P 500 ETF (SPY). 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.
Dividends
DFAAX vs. SPY - Dividend Comparison
DFAAX's dividend yield for the trailing twelve months is around 4.78%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFAAX DFA Global Core Plus Real Return Portfolio | 4.78% | 3.97% | 2.06% | 0.83% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
DFAAX vs. SPY - Drawdown Comparison
The maximum DFAAX drawdown since its inception was -17.30%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFAAX and SPY. For additional features, visit the drawdowns tool.
Volatility
DFAAX vs. SPY - Volatility Comparison
The current volatility for DFA Global Core Plus Real Return Portfolio (DFAAX) is 0.95%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. This indicates that DFAAX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.