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DFALX vs. QQQ
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Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

DFALX vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Large Cap International Portfolio (DFALX) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-1.74%
10.79%
DFALX
QQQ

Returns By Period

In the year-to-date period, DFALX achieves a 6.06% return, which is significantly lower than QQQ's 23.47% return. Over the past 10 years, DFALX has underperformed QQQ with an annualized return of 5.32%, while QQQ has yielded a comparatively higher 18.10% annualized return.


DFALX

YTD

6.06%

1M

-4.50%

6M

-1.74%

1Y

12.33%

5Y (annualized)

6.60%

10Y (annualized)

5.32%

QQQ

YTD

23.47%

1M

1.82%

6M

10.79%

1Y

29.73%

5Y (annualized)

20.93%

10Y (annualized)

18.10%

Key characteristics


DFALXQQQ
Sharpe Ratio1.031.80
Sortino Ratio1.472.40
Omega Ratio1.181.32
Calmar Ratio1.622.31
Martin Ratio5.078.39
Ulcer Index2.52%3.73%
Daily Std Dev12.36%17.41%
Max Drawdown-59.59%-82.98%
Current Drawdown-7.16%-2.08%

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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%.


QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for DFALX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.6

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.

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.


Sharpe ratio
The chart of Sharpe ratio for DFALX, currently valued at 1.03, compared to the broader market0.002.004.001.031.80
The chart of Sortino ratio for DFALX, currently valued at 1.47, compared to the broader market0.005.0010.001.472.40
The chart of Omega ratio for DFALX, currently valued at 1.18, compared to the broader market1.002.003.004.001.181.32
The chart of Calmar ratio for DFALX, currently valued at 1.62, compared to the broader market0.005.0010.0015.0020.0025.001.622.31
The chart of Martin ratio for DFALX, currently valued at 5.07, compared to the broader market0.0020.0040.0060.0080.00100.005.078.39
DFALX
QQQ

The current DFALX Sharpe Ratio is 1.03, which is lower than the QQQ Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of DFALX and QQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.03
1.80
DFALX
QQQ

Dividends

DFALX vs. QQQ - Dividend Comparison

DFALX's dividend yield for the trailing twelve months is around 3.26%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
DFALX
DFA Large Cap International Portfolio
3.26%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
0.60%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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.16%
-2.08%
DFALX
QQQ

Volatility

DFALX vs. QQQ - Volatility Comparison

The current volatility for DFA Large Cap International Portfolio (DFALX) is 3.53%, while Invesco QQQ (QQQ) has a volatility of 5.66%. 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.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JuneJulyAugustSeptemberOctoberNovember
3.53%
5.66%
DFALX
QQQ