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 Fund Advisors LP. 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.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEOX or QQQM.
Key characteristics
| DFEOX | QQQM | |
|---|---|---|
| YTD Return | 25.42% | 26.20% |
| 1Y Return | 39.89% | 39.98% |
| 3Y Return (Ann) | 9.74% | 9.99% |
| Sharpe Ratio | 3.02 | 2.23 |
| Sortino Ratio | 4.10 | 2.93 |
| Omega Ratio | 1.57 | 1.40 |
| Calmar Ratio | 4.67 | 2.87 |
| Martin Ratio | 19.82 | 10.49 |
| Ulcer Index | 1.95% | 3.71% |
| Daily Std Dev | 12.81% | 17.42% |
| Max Drawdown | -56.78% | -35.05% |
| Current Drawdown | 0.00% | 0.00% |
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.
Performance
DFEOX vs. QQQM - Performance Comparison
The year-to-date returns for both investments are quite close, with DFEOX having a 25.42% return and QQQM slightly higher at 26.20%. 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. 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%.
Risk-Adjusted Performance
DFEOX vs. QQQM - Risk-Adjusted Performance 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.
Dividends
DFEOX vs. QQQM - Dividend Comparison
DFEOX's dividend yield for the trailing twelve months is around 1.17%, more than QQQM's 0.64% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEOX DFA US Core Equity 1 Portfolio I | 1.17% | 1.43% | 1.57% | 1.12% | 1.36% | 1.41% | 1.67% | 1.58% | 1.72% | 1.74% | 1.48% | 1.38% |
QQQM Invesco NASDAQ 100 ETF | 0.64% | 0.65% | 0.83% | 0.40% | 0.16% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DFEOX vs. QQQM - Drawdown Comparison
The maximum DFEOX drawdown since its inception was -56.78%, which is greater than QQQM's maximum drawdown of -35.05%. Use the drawdown chart below to compare losses from any high point for DFEOX and QQQM. For additional features, visit the drawdowns tool.
Volatility
DFEOX vs. QQQM - Volatility Comparison
The current volatility for DFA US Core Equity 1 Portfolio I (DFEOX) is 4.33%, while Invesco NASDAQ 100 ETF (QQQM) has a volatility of 5.15%. 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.