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DFALX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DFALXSPY
YTD Return9.35%26.49%
1Y Return21.41%38.06%
3Y Return (Ann)3.27%9.93%
5Y Return (Ann)7.06%15.84%
10Y Return (Ann)5.79%13.32%
Sharpe Ratio1.693.11
Sortino Ratio2.364.14
Omega Ratio1.291.58
Calmar Ratio2.254.54
Martin Ratio9.6020.57
Ulcer Index2.19%1.86%
Daily Std Dev12.48%12.29%
Max Drawdown-59.59%-55.19%
Current Drawdown-4.28%0.00%

Correlation

-0.50.00.51.00.6

The correlation between DFALX and SPY is 0.62, 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. SPY - Performance Comparison

In the year-to-date period, DFALX achieves a 9.35% return, which is significantly lower than SPY's 26.49% return. Over the past 10 years, DFALX has underperformed SPY with an annualized return of 5.79%, while SPY has yielded a comparatively higher 13.32% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
2.87%
15.23%
DFALX
SPY

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DFALX vs. SPY - Expense Ratio Comparison

DFALX has a 0.18% expense ratio, which is higher than SPY's 0.09% 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%.


DFALX
DFA Large Cap International Portfolio
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%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

DFALX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Large Cap International Portfolio (DFALX) 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.


DFALX
Sharpe ratio
The chart of Sharpe ratio for DFALX, currently valued at 1.69, compared to the broader market0.002.004.001.69
Sortino ratio
The chart of Sortino ratio for DFALX, currently valued at 2.36, compared to the broader market0.005.0010.002.36
Omega ratio
The chart of Omega ratio for DFALX, currently valued at 1.29, compared to the broader market1.002.003.004.001.29
Calmar ratio
The chart of Calmar ratio for DFALX, currently valued at 2.25, compared to the broader market0.005.0010.0015.0020.0025.002.25
Martin ratio
The chart of Martin ratio for DFALX, currently valued at 9.60, compared to the broader market0.0020.0040.0060.0080.00100.009.60
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.11, compared to the broader market0.002.004.003.11
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.14, compared to the broader market0.005.0010.004.14
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market1.002.003.004.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.54, compared to the broader market0.005.0010.0015.0020.0025.004.54
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.57, compared to the broader market0.0020.0040.0060.0080.00100.0020.57

DFALX vs. SPY - Sharpe Ratio Comparison

The current DFALX Sharpe Ratio is 1.69, which is lower than the SPY Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of DFALX and SPY, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.69
3.11
DFALX
SPY

Dividends

DFALX vs. SPY - Dividend Comparison

DFALX's dividend yield for the trailing twelve months is around 3.16%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
DFALX
DFA Large Cap International Portfolio
3.16%3.24%2.85%3.00%1.88%2.88%3.07%2.55%2.89%2.95%3.54%2.53%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

DFALX vs. SPY - Drawdown Comparison

The maximum DFALX drawdown since its inception was -59.59%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFALX and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.28%
0
DFALX
SPY

Volatility

DFALX vs. SPY - Volatility Comparison

The current volatility for DFA Large Cap International Portfolio (DFALX) is 3.46%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that DFALX 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.46%
3.95%
DFALX
SPY