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.
Key characteristics
| DFLVX | SPYV | |
|---|---|---|
| YTD Return | 20.75% | 18.44% |
| 1Y Return | 33.70% | 30.81% |
| 3Y Return (Ann) | 8.56% | 11.91% |
| 5Y Return (Ann) | 10.85% | 12.61% |
| 10Y Return (Ann) | 9.51% | 10.72% |
| Sharpe Ratio | 2.92 | 3.19 |
| Sortino Ratio | 4.14 | 4.52 |
| Omega Ratio | 1.53 | 1.59 |
| Calmar Ratio | 4.46 | 5.99 |
| Martin Ratio | 16.87 | 19.37 |
| Ulcer Index | 2.10% | 1.68% |
| Daily Std Dev | 12.09% | 10.15% |
| Max Drawdown | -65.65% | -58.45% |
| Current Drawdown | 0.00% | 0.00% |
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.
Performance
DFLVX vs. SPYV - Performance Comparison
In the year-to-date period, DFLVX achieves a 20.75% return, which is significantly higher than SPYV's 18.44% return. Over the past 10 years, DFLVX has underperformed SPYV with an annualized return of 9.51%, while SPYV has yielded a comparatively higher 10.72% 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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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%.
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 1.72%, less than SPYV's 1.93% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFLVX DFA U.S. Large Cap Value Portfolio | 1.72% | 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 | 1.93% | 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 4.72% compared to SPDR Portfolio S&P 500 Value ETF (SPYV) at 3.40%. 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.