DFCF vs. SPY
Compare and contrast key facts about Dimensional Core Fixed Income ETF (DFCF) and SPDR S&P 500 ETF (SPY).
DFCF and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFCF is an actively managed fund by Dimensional. It was launched on Nov 15, 2021. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFCF or SPY.
Key characteristics
| DFCF | SPY | |
|---|---|---|
| YTD Return | 2.07% | 26.77% |
| 1Y Return | 8.59% | 37.43% |
| Sharpe Ratio | 1.52 | 3.06 |
| Sortino Ratio | 2.32 | 4.08 |
| Omega Ratio | 1.28 | 1.58 |
| Calmar Ratio | 0.57 | 4.44 |
| Martin Ratio | 5.90 | 20.11 |
| Ulcer Index | 1.41% | 1.85% |
| Daily Std Dev | 5.46% | 12.18% |
| Max Drawdown | -19.56% | -55.19% |
| Current Drawdown | -7.14% | -0.31% |
Correlation
The correlation between DFCF and SPY is 0.22, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
DFCF vs. SPY - Performance Comparison
In the year-to-date period, DFCF achieves a 2.07% return, which is significantly lower than SPY's 26.77% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
DFCF vs. SPY - Expense Ratio Comparison
DFCF has a 0.17% 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%.
Risk-Adjusted Performance
DFCF vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Core Fixed Income ETF (DFCF) 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.
Dividends
DFCF vs. SPY - Dividend Comparison
DFCF's dividend yield for the trailing twelve months is around 4.64%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFCF Dimensional Core Fixed Income ETF | 4.64% | 4.52% | 3.28% | 0.16% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
DFCF vs. SPY - Drawdown Comparison
The maximum DFCF drawdown since its inception was -19.56%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFCF and SPY. For additional features, visit the drawdowns tool.
Volatility
DFCF vs. SPY - Volatility Comparison
The current volatility for Dimensional Core Fixed Income ETF (DFCF) is 1.83%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.88%. This indicates that DFCF 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.