DFQTX vs. ^GSPC

Last updated Jun 4, 2026

DFQTX (DFA US Core Equity 2 Portfolio I) is Large Cap Blend Equities fund managed by Dimensional, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, DFQTX returned 14.12%/yr vs 13.66%/yr for ^GSPC. With a 0.96 correlation, they move nearly in lockstep.

Performance

DFQTX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA US Core Equity 2 Portfolio I (DFQTX) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFQTX achieves a 12.21% return, which is significantly higher than ^GSPC's 10.35% return. Both investments have delivered pretty close results over the past 10 years, with DFQTX having a 14.12% annualized return and ^GSPC not far behind at 13.66%.

DFQTX

• 1D: 0.51%
• 1M: 5.05%
• YTD: 12.21%
• 6M: 12.50%
• 1Y: 29.00%
• 3Y*: 20.95%
• 5Y*: 12.51%
• 10Y*: 14.12%

^GSPC

• 1D: -0.74%
• 1M: 4.90%
• YTD: 10.35%
• 6M: 10.28%
• 1Y: 26.52%
• 3Y*: 20.83%
• 5Y*: 12.30%
• 10Y*: 13.66%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFQTX vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFQTX DFA US Core Equity 2 Portfolio I	12.21%	15.99%	20.27%	21.88%	-14.21%	28.46%	15.72%	29.41%	-9.65%	18.26%
^GSPC S&P 500 Index	10.35%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Correlation

The correlation between DFQTX and ^GSPC is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.92
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (10Y) Calculated over the trailing 10-year period	0.95
Correlation (All Time) Calculated using the full available price history since Sep 19, 2005	0.96

The correlation between DFQTX and ^GSPC has been stable across timeframes, ranging from 0.92 to 0.96 - a consistent structural relationship.

Return for Risk

DFQTX vs. ^GSPC — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFQTX

DFQTX Risk / Return Rank: 78
DFQTX Sharpe Ratio Rank: 81
DFQTX Sortino Ratio Rank: 77
DFQTX Omega Ratio Rank: 70
DFQTX Calmar Ratio Rank: 79
DFQTX Martin Ratio Rank: 83

^GSPC

^GSPC Risk / Return Rank: 73
^GSPC Sharpe Ratio Rank: 71
^GSPC Sortino Ratio Rank: 71
^GSPC Omega Ratio Rank: 72
^GSPC Calmar Ratio Rank: 67
^GSPC Martin Ratio Rank: 81

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DFQTX vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA US Core Equity 2 Portfolio I (DFQTX) and S&P 500 Index (^GSPC). 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.

	DFQTX	^GSPC	Difference
Sharpe ratio: Return per unit of total volatility	2.62	2.24	+0.37
Sortino ratio: Return per unit of downside risk	3.69	3.07	+0.61
Omega ratio: Gain probability vs. loss probability	1.47	1.41	+0.06
Calmar ratio: Return relative to maximum drawdown	3.60	2.93	+0.68
Martin ratio: Return relative to average drawdown	15.77	13.52	+2.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DFQTX vs. ^GSPC - Sharpe Ratio Comparison

The current DFQTX Sharpe Ratio is 2.62, which is comparable to the ^GSPC Sharpe Ratio of 2.24. The chart below compares the historical Sharpe Ratios of DFQTX and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DFQTX	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.62	2.24	+0.37
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.74	0.73	+0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.78	0.76	+0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.51	0.47	+0.04

Drawdowns

DFQTX vs. ^GSPC - Drawdown Comparison

The maximum DFQTX drawdown since its inception was -59.35%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DFQTX and ^GSPC.

Drawdown Indicators

	DFQTX	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-59.35%	-56.78%	-2.57%
Max Drawdown (1Y) Largest decline over 1 year	-8.47%	-9.10%	+0.63%
Max Drawdown (3Y) Largest decline over 3 years	-19.71%	-18.90%	-0.81%
Max Drawdown (5Y) Largest decline over 5 years	-22.64%	-25.43%	+2.79%
Max Drawdown (10Y) Largest decline over 10 years	-37.21%	-33.92%	-3.29%
Current Drawdown Current decline from peak	0.00%	-0.74%	+0.74%
Average Drawdown Average peak-to-trough decline	-7.78%	-10.72%	+2.94%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.92%	1.97%	-0.05%

Volatility

DFQTX vs. ^GSPC - Volatility Comparison

DFA US Core Equity 2 Portfolio I (DFQTX) and S&P 500 Index (^GSPC) have volatilities of 2.94% and 2.93%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFQTX	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.94%	2.93%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	8.90%	8.99%	-0.09%
Volatility (1Y) Calculated over the trailing 1-year period	11.67%	11.89%	-0.22%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.99%	16.90%	+0.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.26%	18.06%	+0.20%

Frequently Asked Questions

Can I hold both DFQTX and ^GSPC in my portfolio?

With a correlation of 0.92, DFQTX and ^GSPC move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, DFQTX or ^GSPC?

DFQTX has higher volatility (2.94%) compared to ^GSPC (2.93%). In terms of maximum drawdown, DFQTX dropped -59.35% vs ^GSPC's -56.78%.

Which has better risk-adjusted returns?

DFQTX currently has the higher Sharpe Ratio (2.62 vs 2.24), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.