DFEOX vs. SPY

Last updated Jun 24, 2026

DFEOX (DFA US Core Equity 1 Portfolio I) and SPY (State Street SPDR S&P 500 ETF) are both funds - DFEOX is a Large Cap Blend Equities fund managed by Dimensional, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, DFEOX returned 14.82%/yr vs 15.53%/yr for SPY. With a 0.97 correlation, they move nearly in lockstep. DFEOX charges 0.14%/yr vs 0.09%/yr for SPY.

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 State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFEOX achieves a 11.47% return, which is significantly higher than SPY's 8.15% return. Both investments have delivered pretty close results over the past 10 years, with DFEOX having a 14.82% annualized return and SPY not far ahead at 15.53%.

DFEOX

• 1D: -0.11%
• 1M: 0.95%
• YTD: 11.47%
• 6M: 10.31%
• 1Y: 26.47%
• 3Y*: 20.52%
• 5Y*: 12.65%
• 10Y*: 14.82%

SPY

• 1D: -1.45%
• 1M: -1.36%
• YTD: 8.15%
• 6M: 7.20%
• 1Y: 23.59%
• 3Y*: 20.68%
• 5Y*: 13.05%
• 10Y*: 15.53%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFEOX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFEOX DFA US Core Equity 1 Portfolio I	11.47%	16.00%	21.35%	22.97%	-14.99%	27.51%	16.44%	30.20%	-7.81%	20.26%
SPY State Street SPDR S&P 500 ETF	8.15%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between DFEOX and SPY is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (10Y) Calculated over the trailing 10-year period	0.96
Correlation (All Time) Calculated using the full available price history since Sep 16, 2005	0.97

The correlation between DFEOX and SPY has been stable across timeframes, ranging from 0.93 to 0.97 - a consistent structural relationship.

Return for Risk

DFEOX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFEOX

DFEOX Risk / Return Rank: 77
DFEOX Sharpe Ratio Rank: 77
DFEOX Sortino Ratio Rank: 74
DFEOX Omega Ratio Rank: 69
DFEOX Calmar Ratio Rank: 78
DFEOX Martin Ratio Rank: 86

SPY

SPY Risk / Return Rank: 59
SPY Sharpe Ratio Rank: 58
SPY Sortino Ratio Rank: 56
SPY Omega Ratio Rank: 57
SPY Calmar Ratio Rank: 56
SPY Martin Ratio Rank: 67

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DFEOX vs. SPY - Risk-Adjusted Trends Comparison

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

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DFEOX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.35	1.90	+0.45
Sortino ratio: Return per unit of downside risk	3.27	2.58	+0.69
Omega ratio: Gain probability vs. loss probability	1.42	1.34	+0.08
Calmar ratio: Return relative to maximum drawdown	3.38	2.67	+0.71
Martin ratio: Return relative to average drawdown	15.05	11.92	+3.13

DFEOX vs. SPY - Sharpe Ratio Comparison

The current DFEOX Sharpe Ratio is 2.35, which is comparable to the SPY Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of DFEOX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DFEOX vs. SPY - Drawdown Comparison

The maximum DFEOX drawdown since its inception was -56.77%, 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.

Drawdown Indicators

	DFEOX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-56.77%	-55.19%	-1.58%
Max Drawdown (1Y) Largest decline over 1 year	-8.28%	-8.88%	+0.60%
Max Drawdown (3Y) Largest decline over 3 years	-19.24%	-18.76%	-0.48%
Max Drawdown (5Y) Largest decline over 5 years	-22.86%	-24.50%	+1.64%
Max Drawdown (10Y) Largest decline over 10 years	-36.55%	-33.72%	-2.83%
Current Drawdown Current decline from peak	-0.79%	-3.17%	+2.38%
Average Drawdown Average peak-to-trough decline	-7.18%	-9.04%	+1.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.85%	1.98%	-0.13%

Volatility

DFEOX vs. SPY - Volatility Comparison

The current volatility for DFA US Core Equity 1 Portfolio I (DFEOX) is 4.16%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.87%. This indicates that DFEOX 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.

Volatility by Period

	DFEOX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.16%	4.87%	-0.71%
Volatility (6M) Calculated over the trailing 6-month period	9.41%	9.85%	-0.44%
Volatility (1Y) Calculated over the trailing 1-year period	11.91%	12.50%	-0.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.94%	17.15%	-0.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.04%	17.95%	+0.09%

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%.

Dividends

DFEOX vs. SPY - Dividend Comparison

DFEOX's dividend yield for the trailing twelve months is around 0.96%, less than SPY's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEOX DFA US Core Equity 1 Portfolio I	0.96%	1.06%	1.13%	1.43%	4.08%	3.69%	1.36%	3.02%	2.37%	1.61%	1.61%	2.98%
SPY State Street SPDR S&P 500 ETF	1.03%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both DFEOX and SPY in my portfolio?

With a correlation of 0.93, DFEOX and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, DFEOX or SPY?

SPY has higher volatility (4.87%) compared to DFEOX (4.16%). In terms of maximum drawdown, DFEOX dropped -56.77% vs SPY's -55.19%.

Which has better risk-adjusted returns?

DFEOX currently has the higher Sharpe Ratio (2.35 vs 1.90), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.