DFEQX vs. SPGP
Compare and contrast key facts about DFA Short-Term Extended Quality Portfolio (DFEQX) and Invesco S&P 500 GARP ETF (SPGP).
DFEQX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 2009. SPGP is a passively managed fund by Invesco that tracks the performance of the S&P 500 GARP Index. It was launched on Jun 16, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEQX or SPGP.
Key characteristics
| DFEQX | SPGP | |
|---|---|---|
| YTD Return | 4.92% | 13.32% |
| 1Y Return | 6.15% | 20.22% |
| 3Y Return (Ann) | 1.64% | 6.46% |
| 5Y Return (Ann) | 1.34% | 13.81% |
| 10Y Return (Ann) | 1.74% | 14.17% |
| Sharpe Ratio | 8.83 | 1.39 |
| Sortino Ratio | 52.68 | 1.97 |
| Omega Ratio | 33.66 | 1.25 |
| Calmar Ratio | 2.52 | 2.14 |
| Martin Ratio | 1,445.51 | 6.48 |
| Ulcer Index | 0.00% | 3.17% |
| Daily Std Dev | 0.68% | 14.74% |
| Max Drawdown | -8.40% | -42.08% |
| Current Drawdown | 0.00% | -0.89% |
Correlation
The correlation between DFEQX and SPGP is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
DFEQX vs. SPGP - Performance Comparison
In the year-to-date period, DFEQX achieves a 4.92% return, which is significantly lower than SPGP's 13.32% return. Over the past 10 years, DFEQX has underperformed SPGP with an annualized return of 1.74%, while SPGP has yielded a comparatively higher 14.17% 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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DFEQX vs. SPGP - Expense Ratio Comparison
DFEQX has a 0.19% expense ratio, which is lower than SPGP's 0.36% expense ratio.
Risk-Adjusted Performance
DFEQX vs. SPGP - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Short-Term Extended Quality Portfolio (DFEQX) and Invesco S&P 500 GARP ETF (SPGP). 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
DFEQX vs. SPGP - Dividend Comparison
DFEQX's dividend yield for the trailing twelve months is around 4.31%, more than SPGP's 1.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEQX DFA Short-Term Extended Quality Portfolio | 4.31% | 3.34% | 1.78% | 0.91% | 0.47% | 2.18% | 3.15% | 1.90% | 1.79% | 1.58% | 1.53% | 1.45% |
SPGP Invesco S&P 500 GARP ETF | 1.31% | 1.24% | 1.22% | 0.69% | 1.10% | 0.86% | 0.95% | 0.68% | 0.89% | 1.12% | 1.52% | 2.11% |
Drawdowns
DFEQX vs. SPGP - Drawdown Comparison
The maximum DFEQX drawdown since its inception was -8.40%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for DFEQX and SPGP. For additional features, visit the drawdowns tool.
Volatility
DFEQX vs. SPGP - Volatility Comparison
The current volatility for DFA Short-Term Extended Quality Portfolio (DFEQX) is 0.18%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 5.00%. This indicates that DFEQX experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.