DFAT vs. SPGP
Compare and contrast key facts about Dimensional U.S. Targeted Value ETF (DFAT) and Invesco S&P 500 GARP ETF (SPGP).
DFAT and SPGP are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFAT is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Jun 14, 2021. SPGP is a passively managed fund by Invesco that tracks the performance of the S&P 500 GARP Index. It was launched on Jun 16, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFAT or SPGP.
Performance
DFAT vs. SPGP - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with DFAT having a 14.29% return and SPGP slightly lower at 13.77%.
DFAT
14.29%
7.19%
12.99%
28.92%
N/A
N/A
SPGP
13.77%
4.80%
8.03%
20.45%
14.15%
14.06%
Key characteristics
| DFAT | SPGP | |
|---|---|---|
| Sharpe Ratio | 1.47 | 1.40 |
| Sortino Ratio | 2.20 | 1.98 |
| Omega Ratio | 1.27 | 1.25 |
| Calmar Ratio | 3.01 | 2.17 |
| Martin Ratio | 7.59 | 6.53 |
| Ulcer Index | 3.86% | 3.18% |
| Daily Std Dev | 19.91% | 14.78% |
| Max Drawdown | -20.01% | -42.08% |
| Current Drawdown | -1.40% | -0.50% |
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DFAT vs. SPGP - Expense Ratio Comparison
DFAT has a 0.34% expense ratio, which is lower than SPGP's 0.36% expense ratio.
Correlation
The correlation between DFAT and SPGP is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
DFAT vs. SPGP - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional U.S. Targeted Value ETF (DFAT) and Invesco S&P 500 GARP ETF (SPGP). 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
DFAT vs. SPGP - Dividend Comparison
DFAT's dividend yield for the trailing twelve months is around 1.21%, less than SPGP's 1.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFAT Dimensional U.S. Targeted Value ETF | 1.21% | 1.34% | 1.34% | 1.13% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPGP Invesco S&P 500 GARP ETF | 1.31% | 1.24% | 1.22% | 0.69% | 1.10% | 0.86% | 0.95% | 0.68% | 0.89% | 1.12% | 1.52% | 2.11% |
Drawdowns
DFAT vs. SPGP - Drawdown Comparison
The maximum DFAT drawdown since its inception was -20.01%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for DFAT and SPGP. For additional features, visit the drawdowns tool.
Volatility
DFAT vs. SPGP - Volatility Comparison
Dimensional U.S. Targeted Value ETF (DFAT) has a higher volatility of 7.84% compared to Invesco S&P 500 GARP ETF (SPGP) at 4.90%. This indicates that DFAT's price experiences larger fluctuations and is considered to be riskier than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.