DFALX vs. QQQ
Compare and contrast key facts about DFA Large Cap International Portfolio (DFALX) and Invesco QQQ (QQQ).
DFALX is managed by Dimensional Fund Advisors LP. It was launched on Jul 17, 1991. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFALX or QQQ.
Key characteristics
| DFALX | QQQ | |
|---|---|---|
| YTD Return | 7.96% | 26.09% |
| 1Y Return | 19.86% | 39.88% |
| 3Y Return (Ann) | 2.93% | 9.90% |
| 5Y Return (Ann) | 6.78% | 21.46% |
| 10Y Return (Ann) | 5.59% | 18.52% |
| Sharpe Ratio | 1.58 | 2.22 |
| Sortino Ratio | 2.22 | 2.92 |
| Omega Ratio | 1.28 | 1.40 |
| Calmar Ratio | 2.13 | 2.86 |
| Martin Ratio | 8.94 | 10.44 |
| Ulcer Index | 2.22% | 3.72% |
| Daily Std Dev | 12.55% | 17.47% |
| Max Drawdown | -59.59% | -82.98% |
| Current Drawdown | -5.50% | 0.00% |
Correlation
The correlation between DFALX and QQQ is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
DFALX vs. QQQ - Performance Comparison
In the year-to-date period, DFALX achieves a 7.96% return, which is significantly lower than QQQ's 26.09% return. Over the past 10 years, DFALX has underperformed QQQ with an annualized return of 5.59%, while QQQ has yielded a comparatively higher 18.52% annualized 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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DFALX vs. QQQ - Expense Ratio Comparison
DFALX has a 0.18% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
DFALX vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Large Cap International Portfolio (DFALX) and Invesco QQQ (QQQ). 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
DFALX vs. QQQ - Dividend Comparison
DFALX's dividend yield for the trailing twelve months is around 3.20%, more than QQQ's 0.59% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFALX DFA Large Cap International Portfolio | 3.20% | 3.24% | 2.85% | 3.00% | 1.88% | 2.88% | 3.07% | 2.55% | 2.89% | 2.95% | 3.54% | 2.53% |
QQQ Invesco QQQ | 0.59% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
Drawdowns
DFALX vs. QQQ - Drawdown Comparison
The maximum DFALX drawdown since its inception was -59.59%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for DFALX and QQQ. For additional features, visit the drawdowns tool.
Volatility
DFALX vs. QQQ - Volatility Comparison
The current volatility for DFA Large Cap International Portfolio (DFALX) is 3.66%, while Invesco QQQ (QQQ) has a volatility of 5.17%. This indicates that DFALX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.