DFAI vs. SPHQ

Last updated Jun 16, 2026

DFAI (Dimensional International Core Equity Market ETF) and SPHQ (Invesco S&P 500 Quality ETF) are both exchange-traded funds - DFAI is a Foreign Large Cap Equities fund actively managed by Dimensional, while SPHQ is a S&P 500 fund tracking the S&P 500 Quality Index. DFAI is actively managed, while SPHQ is passively managed. Over the past 5 years, DFAI returned 9.68%/yr vs 15.06%/yr for SPHQ. A 0.75 correlation means they provide meaningful diversification when combined. DFAI charges 0.18%/yr vs 0.15%/yr for SPHQ.

Performance

DFAI vs. SPHQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional International Core Equity Market ETF (DFAI) and Invesco S&P 500 Quality ETF (SPHQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFAI achieves a 10.55% return, which is significantly lower than SPHQ's 18.64% return.

DFAI

• 1D: 0.45%
• 1M: 2.91%
• YTD: 10.55%
• 6M: 11.38%
• 1Y: 25.58%
• 3Y*: 17.58%
• 5Y*: 9.68%
• 10Y*: —

SPHQ

• 1D: 1.58%
• 1M: 7.41%
• YTD: 18.64%
• 6M: 17.69%
• 1Y: 28.53%
• 3Y*: 22.52%
• 5Y*: 15.06%
• 10Y*: 15.47%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFAI vs. SPHQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
DFAI Dimensional International Core Equity Market ETF	10.55%	34.04%	4.68%	17.60%	-12.95%	13.86%	5.34%
SPHQ Invesco S&P 500 Quality ETF	18.64%	13.25%	25.44%	24.83%	-15.76%	28.03%	4.21%

Correlation

The correlation between DFAI and SPHQ is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (All Time) Calculated using the full available price history since Nov 18, 2020	0.75

The correlation between DFAI and SPHQ has been stable across timeframes, ranging from 0.69 to 0.75 - a consistent structural relationship.

DFAI vs. SPHQ - Sectors Allocation Comparison

Sectors	DFAI	SPHQ
Financial Services	23.5%	12.6%
Industrials	18.4%	20.7%
Basic Materials	10.0%	2.0%
Consumer Cyclical	9.0%	4.4%
Healthcare	8.5%	8.0%
Technology	7.7%	33.1%
Energy	7.2%	0.7%
Consumer Defensive	6.4%	14.7%
Utilities	4.0%	3.4%
Communication Services	3.5%	0.4%
Real Estate	1.4%	-

Return for Risk

DFAI vs. SPHQ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFAI

DFAI Risk / Return Rank: 56
DFAI Sharpe Ratio Rank: 58
DFAI Sortino Ratio Rank: 58
DFAI Omega Ratio Rank: 58
DFAI Calmar Ratio Rank: 52
DFAI Martin Ratio Rank: 57

SPHQ

SPHQ Risk / Return Rank: 75
SPHQ Sharpe Ratio Rank: 76
SPHQ Sortino Ratio Rank: 79
SPHQ Omega Ratio Rank: 71
SPHQ Calmar Ratio Rank: 70
SPHQ Martin Ratio Rank: 79

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DFAI vs. SPHQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional International Core Equity Market ETF (DFAI) and Invesco S&P 500 Quality ETF (SPHQ). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DFAI	SPHQ	Difference
Sharpe ratio: Return per unit of total volatility	1.77	2.18	-0.42
Sortino ratio: Return per unit of downside risk	2.48	3.13	-0.64
Omega ratio: Gain probability vs. loss probability	1.32	1.37	-0.06
Calmar ratio: Return relative to maximum drawdown	2.35	3.22	-0.87
Martin ratio: Return relative to average drawdown	9.14	13.80	-4.66

DFAI vs. SPHQ - Sharpe Ratio Comparison

The current DFAI Sharpe Ratio is 1.77, which is comparable to the SPHQ Sharpe Ratio of 2.18. The chart below compares the historical Sharpe Ratios of DFAI and SPHQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DFAI vs. SPHQ - Drawdown Comparison

The maximum DFAI drawdown since its inception was -27.44%, smaller than the maximum SPHQ drawdown of -57.83%. Use the drawdown chart below to compare losses from any high point for DFAI and SPHQ.

Drawdown Indicators

	DFAI	SPHQ	Difference
Max Drawdown Largest peak-to-trough decline	-27.44%	-57.83%	+30.39%
Max Drawdown (1Y) Largest decline over 1 year	-10.95%	-8.90%	-2.05%
Max Drawdown (3Y) Largest decline over 3 years	-13.25%	-16.57%	+3.32%
Max Drawdown (5Y) Largest decline over 5 years	-27.44%	-25.04%	-2.40%
Max Drawdown (10Y) Largest decline over 10 years	—	-31.60%	—
Current Drawdown Current decline from peak	-0.35%	0.00%	-0.35%
Average Drawdown Average peak-to-trough decline	-5.10%	-10.68%	+5.58%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.81%	2.07%	+0.74%

Volatility

DFAI vs. SPHQ - Volatility Comparison

Dimensional International Core Equity Market ETF (DFAI) and Invesco S&P 500 Quality ETF (SPHQ) have volatilities of 5.12% and 5.05%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFAI	SPHQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.12%	5.05%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	12.28%	10.88%	+1.40%
Volatility (1Y) Calculated over the trailing 1-year period	14.58%	13.16%	+1.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.01%	16.55%	-0.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.74%	17.91%	-2.17%

DFAI vs. SPHQ - Expense Ratio Comparison

DFAI has a 0.18% expense ratio, which is higher than SPHQ's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

DFAI vs. SPHQ - Dividend Comparison

DFAI's dividend yield for the trailing twelve months is around 2.23%, more than SPHQ's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFAI Dimensional International Core Equity Market ETF	2.23%	2.45%	2.72%	2.64%	2.72%	2.06%	0.09%	0.00%	0.00%	0.00%	0.00%	0.00%
SPHQ Invesco S&P 500 Quality ETF	1.01%	1.09%	1.15%	1.42%	1.85%	1.19%	1.55%	1.51%	1.85%	1.57%	1.67%	2.29%

Frequently Asked Questions

Can I hold both DFAI and SPHQ in my portfolio?

DFAI and SPHQ have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFAI or SPHQ?

DFAI has higher volatility (5.12%) compared to SPHQ (5.05%). In terms of maximum drawdown, DFAI dropped -27.44% vs SPHQ's -57.83%.

Which ETF is better, DFAI or SPHQ?

On 5-year performance, SPHQ leads with 15.06% vs 9.68% for DFAI. On fees, SPHQ is cheaper at 0.15% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DFAI or SPHQ?

Over the 5-year period, SPHQ has performed better with a 15.06% return vs 9.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DFAI or SPHQ?

SPHQ is cheaper with a 0.15% expense ratio, compared with 0.18% for DFAI.

Which ETF pays a higher dividend yield, DFAI or SPHQ?

DFAI has the higher dividend yield at 2.23%, compared with 1.01% for SPHQ.

What is the main difference between DFAI and SPHQ?

DFAI is categorized as Foreign Large Cap Equities, while SPHQ is S&P 500. They also come from different issuers: Dimensional and Invesco. Their fees differ too: 0.18% for DFAI and 0.15% for SPHQ.

Which has better risk-adjusted returns?

SPHQ currently has the higher Sharpe Ratio (2.18 vs 1.77), 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.