DFIVX vs. SPYV
Compare and contrast key facts about DFA International Value Portfolio (DFIVX) and SPDR Portfolio S&P 500 Value ETF (SPYV).
DFIVX is managed by Dimensional Fund Advisors LP. It was launched on Feb 14, 1994. SPYV is a passively managed fund by State Street that tracks the performance of the S&P 500 Value. It was launched on Sep 25, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFIVX or SPYV.
Performance
DFIVX vs. SPYV - Performance Comparison
Returns By Period
In the year-to-date period, DFIVX achieves a 8.01% return, which is significantly lower than SPYV's 16.67% return. Over the past 10 years, DFIVX has underperformed SPYV with an annualized return of 5.41%, while SPYV has yielded a comparatively higher 10.46% annualized return.
DFIVX
8.01%
-3.67%
-2.31%
14.02%
7.92%
5.41%
SPYV
16.67%
-0.58%
8.04%
25.64%
12.07%
10.46%
Key characteristics
| DFIVX | SPYV | |
|---|---|---|
| Sharpe Ratio | 1.22 | 2.59 |
| Sortino Ratio | 1.66 | 3.62 |
| Omega Ratio | 1.21 | 1.47 |
| Calmar Ratio | 2.08 | 4.72 |
| Martin Ratio | 6.52 | 15.21 |
| Ulcer Index | 2.33% | 1.69% |
| Daily Std Dev | 12.50% | 9.93% |
| Max Drawdown | -65.67% | -58.45% |
| Current Drawdown | -5.75% | -1.49% |
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DFIVX vs. SPYV - Expense Ratio Comparison
DFIVX has a 0.30% expense ratio, which is higher than SPYV's 0.04% expense ratio.
Correlation
The correlation between DFIVX and SPYV is 0.73, 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.
Risk-Adjusted Performance
DFIVX vs. SPYV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International Value Portfolio (DFIVX) and SPDR Portfolio S&P 500 Value ETF (SPYV). 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
DFIVX vs. SPYV - Dividend Comparison
DFIVX's dividend yield for the trailing twelve months is around 4.26%, more than SPYV's 1.96% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFIVX DFA International Value Portfolio | 4.26% | 4.40% | 3.78% | 4.27% | 2.43% | 3.70% | 3.31% | 2.85% | 3.37% | 3.45% | 4.89% | 2.71% |
SPYV SPDR Portfolio S&P 500 Value ETF | 1.96% | 1.75% | 2.23% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% | 2.19% | 1.96% |
Drawdowns
DFIVX vs. SPYV - Drawdown Comparison
The maximum DFIVX drawdown since its inception was -65.67%, which is greater than SPYV's maximum drawdown of -58.45%. Use the drawdown chart below to compare losses from any high point for DFIVX and SPYV. For additional features, visit the drawdowns tool.
Volatility
DFIVX vs. SPYV - Volatility Comparison
DFA International Value Portfolio (DFIVX) has a higher volatility of 3.64% compared to SPDR Portfolio S&P 500 Value ETF (SPYV) at 3.44%. This indicates that DFIVX's price experiences larger fluctuations and is considered to be riskier than SPYV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.