PortfoliosLab logo
DFEOX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFEOX and SPY 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.


-0.50.00.51.01.0

Maximize Your Portfolio’s Potential

Does your portfolio have the optimal asset allocation aligned with your goals? Find it out with our portfolio optimizer

Try portfolio optimization now

Performance

DFEOX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA US Core Equity 1 Portfolio I (DFEOX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
7.82%
7.91%
DFEOX
SPY

Key characteristics

Sharpe Ratio

DFEOX:

1.90

SPY:

2.22

Sortino Ratio

DFEOX:

2.58

SPY:

2.95

Omega Ratio

DFEOX:

1.35

SPY:

1.41

Calmar Ratio

DFEOX:

2.94

SPY:

3.32

Martin Ratio

DFEOX:

11.27

SPY:

14.42

Ulcer Index

DFEOX:

2.16%

SPY:

1.93%

Daily Std Dev

DFEOX:

12.87%

SPY:

12.58%

Max Drawdown

DFEOX:

-56.78%

SPY:

-55.19%

Current Drawdown

DFEOX:

-3.95%

SPY:

-2.28%

Returns By Period

In the year-to-date period, DFEOX achieves a 1.09% return, which is significantly higher than SPY's 1.00% return. Over the past 10 years, DFEOX has underperformed SPY with an annualized return of 12.44%, while SPY has yielded a comparatively higher 13.46% annualized return.


DFEOX

YTD

1.09%

1M

-3.95%

6M

7.54%

1Y

24.79%

5Y*

13.70%

10Y*

12.44%

SPY

YTD

1.00%

1M

-2.26%

6M

7.41%

1Y

28.30%

5Y*

14.67%

10Y*

13.46%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DFA US Core Equity 1 Portfolio I

SPDR S&P 500 ETF

DFEOX vs. SPY - Expense Ratio Comparison

DFEOX has a 0.14% 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%.


Expense ratio chart for DFEOX: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

DFEOX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA US Core Equity 1 Portfolio I (DFEOX) 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.


The chart of Sharpe ratio for DFEOX, currently valued at 1.97, compared to the broader market-1.000.001.002.003.001.972.31
The chart of Sortino ratio for DFEOX, currently valued at 2.67, compared to the broader market-2.000.002.004.006.008.002.673.05
The chart of Omega ratio for DFEOX, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.43
The chart of Calmar ratio for DFEOX, currently valued at 3.06, compared to the broader market0.002.004.006.008.0010.003.063.46
The chart of Martin ratio for DFEOX, currently valued at 11.66, compared to the broader market0.0010.0020.0030.0040.0050.0011.6615.00
DFEOX
SPY

The current DFEOX Sharpe Ratio is 1.90, which is comparable to the SPY Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of DFEOX and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50AugustSeptemberOctoberNovemberDecember2025
1.97
2.31
DFEOX
SPY

Dividends

DFEOX vs. SPY - Dividend Comparison

DFEOX's dividend yield for the trailing twelve months is around 0.86%, less than SPY's 1.19% yield.


TTM20242023202220212020201920182017201620152014
DFEOX
DFA US Core Equity 1 Portfolio I
0.86%0.87%1.43%1.57%1.12%1.36%1.41%1.67%1.58%1.72%1.74%1.48%
SPY
SPDR S&P 500 ETF
1.19%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

DFEOX vs. SPY - Drawdown Comparison

The maximum DFEOX drawdown since its inception was -56.78%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFEOX and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.51%
-1.72%
DFEOX
SPY

Volatility

DFEOX vs. SPY - Volatility Comparison

DFA US Core Equity 1 Portfolio I (DFEOX) and SPDR S&P 500 ETF (SPY) have volatilities of 4.23% and 4.37%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%AugustSeptemberOctoberNovemberDecember2025
4.23%
4.37%
DFEOX
SPY

User Portfolios with DFEOX or SPY


NVDA
AAPL
QQQ
SMH
AMZN
GOOG
AMD
TSM
CDNS
SNPS
TSLA
CRM
NFLX
SPY
ngawi
10%
YTD
BTC-USD
ETH-USD
SPY
AXP
ASML
MSFT
JPM
SBUX
1 / 160

Recent discussions