DFELX vs. SPY
Compare and contrast key facts about DFA Enhanced U.S. Large Company Portfolio (DFELX) and State Street SPDR S&P 500 ETF (SPY).
DFELX is managed by Dimensional. It was launched on Jul 2, 1996. 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.
Performance
DFELX vs. SPY - Performance Comparison
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DFELX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFELX DFA Enhanced U.S. Large Company Portfolio | -7.31% | 16.16% | 24.57% | 26.57% | -22.41% | -10.98% | 18.48% | 32.76% | -5.48% | 20.57% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, DFELX achieves a -7.31% return, which is significantly lower than SPY's -4.37% return. Over the past 10 years, DFELX has underperformed SPY with an annualized return of 8.68%, while SPY has yielded a comparatively higher 13.98% annualized return.
DFELX
- 1D
- -0.37%
- 1M
- -7.93%
- YTD
- -7.31%
- 6M
- -5.07%
- 1Y
- 12.99%
- 3Y*
- 16.34%
- 5Y*
- 2.02%
- 10Y*
- 8.68%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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DFELX vs. SPY - Expense Ratio Comparison
DFELX has a 0.15% 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%.
Return for Risk
DFELX vs. SPY — Risk / Return Rank
DFELX
SPY
DFELX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Enhanced U.S. Large Company Portfolio (DFELX) and State Street 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.
| DFELX | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.80 | 0.93 | -0.12 |
Sortino ratioReturn per unit of downside risk | 1.26 | 1.45 | -0.19 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.22 | -0.03 |
Calmar ratioReturn relative to maximum drawdown | 0.37 | 1.53 | -1.15 |
Martin ratioReturn relative to average drawdown | 1.59 | 7.30 | -5.71 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DFELX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.80 | 0.93 | -0.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.10 | 0.69 | -0.59 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.78 | -0.35 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.56 | -0.16 |
Correlation
The correlation between DFELX and SPY is 0.98, 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.
Dividends
DFELX vs. SPY - Dividend Comparison
DFELX's dividend yield for the trailing twelve months is around 18.81%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFELX DFA Enhanced U.S. Large Company Portfolio | 18.81% | 17.26% | 3.77% | 3.00% | 1.76% | 1.21% | 7.55% | 9.97% | 7.79% | 16.57% | 3.36% | 6.99% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
DFELX vs. SPY - Drawdown Comparison
The maximum DFELX drawdown since its inception was -55.54%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFELX and SPY.
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Drawdown Indicators
| DFELX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.54% | -55.19% | -0.35% |
Max Drawdown (1Y)Largest decline over 1 year | -12.35% | -12.05% | -0.30% |
Max Drawdown (5Y)Largest decline over 5 years | -49.14% | -24.50% | -24.64% |
Max Drawdown (10Y)Largest decline over 10 years | -49.14% | -33.72% | -15.42% |
Current DrawdownCurrent decline from peak | -9.09% | -6.24% | -2.85% |
Average DrawdownAverage peak-to-trough decline | -12.77% | -9.09% | -3.68% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.94% | 2.52% | +1.42% |
Volatility
DFELX vs. SPY - Volatility Comparison
The current volatility for DFA Enhanced U.S. Large Company Portfolio (DFELX) is 4.32%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that DFELX 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.
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Volatility by Period
| DFELX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.32% | 5.31% | -0.99% |
Volatility (6M)Calculated over the trailing 6-month period | 8.98% | 9.47% | -0.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.85% | 19.05% | -0.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.73% | 17.06% | +4.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.32% | 17.92% | +2.40% |