DFIV vs. SPY
Compare and contrast key facts about Dimensional International Value ETF (DFIV) and SPDR S&P 500 ETF (SPY).
DFIV and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFIV is an actively managed fund by Dimensional. It was launched on Apr 16, 1999. 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: DFIV or SPY.
Key characteristics
| DFIV | SPY | |
|---|---|---|
| YTD Return | 10.06% | 27.04% |
| 1Y Return | 20.94% | 39.75% |
| 3Y Return (Ann) | 7.08% | 10.21% |
| Sharpe Ratio | 1.65 | 3.15 |
| Sortino Ratio | 2.24 | 4.19 |
| Omega Ratio | 1.28 | 1.59 |
| Calmar Ratio | 2.83 | 4.60 |
| Martin Ratio | 9.58 | 20.85 |
| Ulcer Index | 2.20% | 1.85% |
| Daily Std Dev | 12.76% | 12.29% |
| Max Drawdown | -25.42% | -55.19% |
| Current Drawdown | -4.22% | 0.00% |
Correlation
The correlation between DFIV and SPY is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
DFIV vs. SPY - Performance Comparison
In the year-to-date period, DFIV achieves a 10.06% return, which is significantly lower than SPY's 27.04% 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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DFIV vs. SPY - Expense Ratio Comparison
DFIV has a 0.27% 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
DFIV vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional International Value ETF (DFIV) 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
DFIV vs. SPY - Dividend Comparison
DFIV's dividend yield for the trailing twelve months is around 3.71%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFIV Dimensional International Value ETF | 3.71% | 3.93% | 3.84% | 2.31% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
DFIV vs. SPY - Drawdown Comparison
The maximum DFIV drawdown since its inception was -25.42%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFIV and SPY. For additional features, visit the drawdowns tool.
Volatility
DFIV vs. SPY - Volatility Comparison
The current volatility for Dimensional International Value ETF (DFIV) is 3.67%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that DFIV 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.