DFEOX vs. FXAIX
Compare and contrast key facts about DFA US Core Equity 1 Portfolio I (DFEOX) and Fidelity 500 Index Fund (FXAIX).
DFEOX is managed by Dimensional Fund Advisors LP. It was launched on Sep 15, 2005. FXAIX is managed by Fidelity.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEOX or FXAIX.
Key characteristics
| DFEOX | FXAIX | |
|---|---|---|
| YTD Return | 25.25% | 26.92% |
| 1Y Return | 37.75% | 37.57% |
| 3Y Return (Ann) | 9.69% | 10.24% |
| 5Y Return (Ann) | 15.28% | 15.96% |
| 10Y Return (Ann) | 12.47% | 13.30% |
| Sharpe Ratio | 2.96 | 3.05 |
| Sortino Ratio | 4.02 | 4.06 |
| Omega Ratio | 1.56 | 1.57 |
| Calmar Ratio | 4.54 | 4.44 |
| Martin Ratio | 19.27 | 20.09 |
| Ulcer Index | 1.95% | 1.86% |
| Daily Std Dev | 12.72% | 12.28% |
| Max Drawdown | -56.78% | -33.79% |
| Current Drawdown | -0.42% | -0.28% |
Correlation
The correlation between DFEOX and FXAIX is 0.97, 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.
Performance
DFEOX vs. FXAIX - Performance Comparison
In the year-to-date period, DFEOX achieves a 25.25% return, which is significantly lower than FXAIX's 26.92% return. Over the past 10 years, DFEOX has underperformed FXAIX with an annualized return of 12.47%, while FXAIX has yielded a comparatively higher 13.30% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DFEOX vs. FXAIX - Expense Ratio Comparison
DFEOX has a 0.14% expense ratio, which is higher than FXAIX's 0.02% 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
DFEOX vs. FXAIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US Core Equity 1 Portfolio I (DFEOX) and Fidelity 500 Index Fund (FXAIX). 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
DFEOX vs. FXAIX - Dividend Comparison
DFEOX's dividend yield for the trailing twelve months is around 1.18%, less than FXAIX's 1.21% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEOX DFA US Core Equity 1 Portfolio I | 1.18% | 1.43% | 1.57% | 1.12% | 1.36% | 1.41% | 1.67% | 1.58% | 1.72% | 1.74% | 1.48% | 1.38% |
FXAIX Fidelity 500 Index Fund | 1.21% | 1.45% | 1.69% | 1.22% | 1.60% | 1.95% | 2.07% | 1.81% | 2.01% | 2.56% | 2.63% | 1.84% |
Drawdowns
DFEOX vs. FXAIX - Drawdown Comparison
The maximum DFEOX drawdown since its inception was -56.78%, which is greater than FXAIX's maximum drawdown of -33.79%. Use the drawdown chart below to compare losses from any high point for DFEOX and FXAIX. For additional features, visit the drawdowns tool.
Volatility
DFEOX vs. FXAIX - Volatility Comparison
DFA US Core Equity 1 Portfolio I (DFEOX) has a higher volatility of 4.26% compared to Fidelity 500 Index Fund (FXAIX) at 3.85%. This indicates that DFEOX's price experiences larger fluctuations and is considered to be riskier than FXAIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.