DFEOX vs. QQQM
Compare and contrast key facts about DFA US Core Equity 1 Portfolio I (DFEOX) and Invesco NASDAQ 100 ETF (QQQM).
DFEOX is managed by Dimensional. It was launched on Sep 15, 2005. QQQM is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Oct 13, 2020.
Performance
DFEOX vs. QQQM - Performance Comparison
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DFEOX vs. QQQM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DFEOX DFA US Core Equity 1 Portfolio I | -4.34% | 16.00% | 21.35% | 22.97% | -14.99% | 27.51% | 10.59% |
QQQM Invesco NASDAQ 100 ETF | -5.92% | 20.85% | 25.68% | 55.01% | -32.52% | 27.45% | 6.67% |
Returns By Period
In the year-to-date period, DFEOX achieves a -4.34% return, which is significantly higher than QQQM's -5.92% return.
DFEOX
- 1D
- -0.49%
- 1M
- -7.30%
- YTD
- -4.34%
- 6M
- -1.81%
- 1Y
- 15.78%
- 3Y*
- 16.13%
- 5Y*
- 10.46%
- 10Y*
- 12.94%
QQQM
- 1D
- 3.37%
- 1M
- -4.84%
- YTD
- -5.92%
- 6M
- -3.59%
- 1Y
- 23.76%
- 3Y*
- 22.41%
- 5Y*
- 12.96%
- 10Y*
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DFEOX vs. QQQM - Expense Ratio Comparison
DFEOX has a 0.14% expense ratio, which is lower than QQQM's 0.15% expense ratio. Despite the difference, 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
DFEOX vs. QQQM — Risk / Return Rank
DFEOX
QQQM
DFEOX vs. QQQM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US Core Equity 1 Portfolio I (DFEOX) and Invesco NASDAQ 100 ETF (QQQM). 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.
| DFEOX | QQQM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.93 | 1.06 | -0.13 |
Sortino ratioReturn per unit of downside risk | 1.43 | 1.65 | -0.22 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.24 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 0.98 | 1.89 | -0.91 |
Martin ratioReturn relative to average drawdown | 4.74 | 6.96 | -2.22 |
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
| DFEOX | QQQM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.93 | 1.06 | -0.13 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.62 | 0.59 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.72 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.51 | 0.63 | -0.12 |
Correlation
The correlation between DFEOX and QQQM is 0.85, 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
DFEOX vs. QQQM - Dividend Comparison
DFEOX's dividend yield for the trailing twelve months is around 1.12%, more than QQQM's 0.53% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEOX DFA US Core Equity 1 Portfolio I | 1.12% | 1.06% | 1.13% | 1.43% | 4.08% | 3.69% | 1.36% | 3.02% | 2.37% | 1.61% | 1.61% | 2.98% |
QQQM Invesco NASDAQ 100 ETF | 0.53% | 0.50% | 0.61% | 0.65% | 0.83% | 0.40% | 0.16% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DFEOX vs. QQQM - Drawdown Comparison
The maximum DFEOX drawdown since its inception was -56.77%, which is greater than QQQM's maximum drawdown of -35.04%. Use the drawdown chart below to compare losses from any high point for DFEOX and QQQM.
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Drawdown Indicators
| DFEOX | QQQM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -56.77% | -35.04% | -21.73% |
Max Drawdown (1Y)Largest decline over 1 year | -12.58% | -12.55% | -0.03% |
Max Drawdown (5Y)Largest decline over 5 years | -22.86% | -35.04% | +12.18% |
Max Drawdown (10Y)Largest decline over 10 years | -36.55% | — | — |
Current DrawdownCurrent decline from peak | -8.28% | -8.99% | +0.71% |
Average DrawdownAverage peak-to-trough decline | -7.25% | -8.47% | +1.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.69% | 3.41% | -0.72% |
Volatility
DFEOX vs. QQQM - Volatility Comparison
The current volatility for DFA US Core Equity 1 Portfolio I (DFEOX) is 4.20%, while Invesco NASDAQ 100 ETF (QQQM) has a volatility of 6.48%. This indicates that DFEOX experiences smaller price fluctuations and is considered to be less risky than QQQM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFEOX | QQQM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.20% | 6.48% | -2.28% |
Volatility (6M)Calculated over the trailing 6-month period | 8.49% | 12.73% | -4.24% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.87% | 22.42% | -4.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.88% | 22.25% | -5.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.98% | 22.27% | -4.29% |