DFIEX vs. SPY
Compare and contrast key facts about DFA International Core Equity Portfolio I (DFIEX) and SPDR S&P 500 ETF (SPY).
DFIEX is managed by Dimensional Fund Advisors LP. It was launched on Sep 15, 2005. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFIEX or SPY.
Key characteristics
| DFIEX | SPY | |
|---|---|---|
| YTD Return | 6.71% | 25.52% |
| 1Y Return | 18.65% | 37.10% |
| 3Y Return (Ann) | 2.12% | 9.68% |
| 5Y Return (Ann) | 6.65% | 15.68% |
| 10Y Return (Ann) | 6.04% | 13.27% |
| Sharpe Ratio | 1.41 | 3.06 |
| Sortino Ratio | 2.00 | 4.08 |
| Omega Ratio | 1.25 | 1.58 |
| Calmar Ratio | 1.60 | 4.46 |
| Martin Ratio | 8.07 | 20.21 |
| Ulcer Index | 2.20% | 1.86% |
| Daily Std Dev | 12.57% | 12.27% |
| Max Drawdown | -62.26% | -55.19% |
| Current Drawdown | -5.78% | 0.00% |
Correlation
The correlation between DFIEX and SPY is 0.80, 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
DFIEX vs. SPY - Performance Comparison
In the year-to-date period, DFIEX achieves a 6.71% return, which is significantly lower than SPY's 25.52% return. Over the past 10 years, DFIEX has underperformed SPY with an annualized return of 6.04%, while SPY has yielded a comparatively higher 13.27% 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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DFIEX vs. SPY - Expense Ratio Comparison
DFIEX has a 0.24% 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%.
Risk-Adjusted Performance
DFIEX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International Core Equity Portfolio I (DFIEX) 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.
Dividends
DFIEX vs. SPY - Dividend Comparison
DFIEX's dividend yield for the trailing twelve months is around 3.38%, more than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFIEX DFA International Core Equity Portfolio I | 3.38% | 3.36% | 2.89% | 2.98% | 1.77% | 2.90% | 2.95% | 2.50% | 2.77% | 2.62% | 3.16% | 2.43% |
SPY SPDR S&P 500 ETF | 1.19% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
DFIEX vs. SPY - Drawdown Comparison
The maximum DFIEX drawdown since its inception was -62.26%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFIEX and SPY. For additional features, visit the drawdowns tool.
Volatility
DFIEX vs. SPY - Volatility Comparison
The current volatility for DFA International Core Equity Portfolio I (DFIEX) is 2.87%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.94%. This indicates that DFIEX 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.