DFLVX vs. SPYV
Compare and contrast key facts about DFA U.S. Large Cap Value Portfolio (DFLVX) and SPDR Portfolio S&P 500 Value ETF (SPYV).
DFLVX is managed by Dimensional Fund Advisors LP. It was launched on Feb 19, 1993. 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: DFLVX or SPYV.
Performance
DFLVX vs. SPYV - Performance Comparison
Returns By Period
In the year-to-date period, DFLVX achieves a 20.11% return, which is significantly higher than SPYV's 18.29% return. Over the past 10 years, DFLVX has underperformed SPYV with an annualized return of 9.24%, while SPYV has yielded a comparatively higher 10.53% annualized return.
DFLVX
20.11%
3.07%
11.11%
28.49%
10.64%
9.24%
SPYV
18.29%
1.88%
11.95%
25.98%
12.49%
10.53%
Key characteristics
| DFLVX | SPYV | |
|---|---|---|
| Sharpe Ratio | 2.42 | 2.67 |
| Sortino Ratio | 3.46 | 3.74 |
| Omega Ratio | 1.44 | 1.48 |
| Calmar Ratio | 4.71 | 4.89 |
| Martin Ratio | 13.76 | 15.72 |
| Ulcer Index | 2.11% | 1.70% |
| Daily Std Dev | 12.00% | 9.98% |
| Max Drawdown | -65.65% | -58.45% |
| Current Drawdown | -0.53% | -0.13% |
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DFLVX vs. SPYV - Expense Ratio Comparison
DFLVX has a 0.22% expense ratio, which is higher than SPYV's 0.04% 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%.
Correlation
The correlation between DFLVX and SPYV is 0.88, 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
DFLVX vs. SPYV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Cap Value Portfolio (DFLVX) 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
DFLVX vs. SPYV - Dividend Comparison
DFLVX's dividend yield for the trailing twelve months is around 1.73%, less than SPYV's 1.94% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFLVX DFA U.S. Large Cap Value Portfolio | 1.73% | 1.99% | 2.05% | 1.54% | 1.97% | 1.93% | 2.22% | 1.80% | 1.90% | 2.14% | 1.72% | 1.44% |
SPYV SPDR Portfolio S&P 500 Value ETF | 1.94% | 1.75% | 2.23% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% | 2.19% | 1.96% |
Drawdowns
DFLVX vs. SPYV - Drawdown Comparison
The maximum DFLVX drawdown since its inception was -65.65%, which is greater than SPYV's maximum drawdown of -58.45%. Use the drawdown chart below to compare losses from any high point for DFLVX and SPYV. For additional features, visit the drawdowns tool.
Volatility
DFLVX vs. SPYV - Volatility Comparison
DFA U.S. Large Cap Value Portfolio (DFLVX) has a higher volatility of 4.74% compared to SPDR Portfolio S&P 500 Value ETF (SPYV) at 3.52%. This indicates that DFLVX'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.