DFQTX vs. SVPFX
Compare and contrast key facts about DFA US Core Equity 2 Portfolio I (DFQTX) and Goldman Sachs Strategic Volatility Premium Fund (SVPFX).
DFQTX is managed by Dimensional. SVPFX is managed by Goldman Sachs. It was launched on Mar 28, 2021.
Performance
DFQTX vs. SVPFX - Performance Comparison
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DFQTX vs. SVPFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
DFQTX DFA US Core Equity 2 Portfolio I | -4.02% | 15.99% | 20.27% | 21.88% | -14.21% | 13.98% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 0.87% | 4.19% | 3.82% | 5.30% | -4.37% | 0.78% |
Returns By Period
In the year-to-date period, DFQTX achieves a -4.02% return, which is significantly lower than SVPFX's 0.87% return.
DFQTX
- 1D
- -0.54%
- 1M
- -7.31%
- YTD
- -4.02%
- 6M
- -1.55%
- 1Y
- 16.25%
- 3Y*
- 15.75%
- 5Y*
- 10.23%
- 10Y*
- 12.61%
SVPFX
- 1D
- 0.36%
- 1M
- -0.45%
- YTD
- 0.87%
- 6M
- 2.58%
- 1Y
- 3.47%
- 3Y*
- 4.08%
- 5Y*
- —
- 10Y*
- —
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DFQTX vs. SVPFX - Expense Ratio Comparison
DFQTX has a 0.19% expense ratio, which is lower than SVPFX's 0.38% expense ratio.
Return for Risk
DFQTX vs. SVPFX — Risk / Return Rank
DFQTX
SVPFX
DFQTX vs. SVPFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US Core Equity 2 Portfolio I (DFQTX) and Goldman Sachs Strategic Volatility Premium Fund (SVPFX). 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 | SVPFX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.95 | 0.44 | +0.51 |
Sortino ratioReturn per unit of downside risk | 1.45 | 0.61 | +0.84 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.18 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.00 | 0.57 | +0.43 |
Martin ratioReturn relative to average drawdown | 4.74 | 3.10 | +1.63 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DFQTX | SVPFX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.95 | 0.44 | +0.51 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.61 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.69 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.38 | +0.10 |
Correlation
The correlation between DFQTX and SVPFX is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
DFQTX vs. SVPFX - Dividend Comparison
DFQTX's dividend yield for the trailing twelve months is around 1.12%, less than SVPFX's 2.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFQTX DFA US Core Equity 2 Portfolio I | 1.12% | 1.06% | 1.15% | 1.74% | 4.43% | 4.74% | 1.29% | 3.50% | 2.84% | 1.97% | 1.80% | 3.78% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 2.49% | 1.83% | 4.37% | 4.29% | 0.76% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DFQTX vs. SVPFX - Drawdown Comparison
The maximum DFQTX drawdown since its inception was -59.35%, which is greater than SVPFX's maximum drawdown of -6.37%. Use the drawdown chart below to compare losses from any high point for DFQTX and SVPFX.
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Drawdown Indicators
| DFQTX | SVPFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.35% | -6.37% | -52.98% |
Max Drawdown (1Y)Largest decline over 1 year | -12.73% | -5.22% | -7.51% |
Max Drawdown (5Y)Largest decline over 5 years | -22.64% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -37.21% | — | — |
Current DrawdownCurrent decline from peak | -8.47% | -0.45% | -8.02% |
Average DrawdownAverage peak-to-trough decline | -7.84% | -1.99% | -5.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.79% | 0.98% | +1.81% |
Volatility
DFQTX vs. SVPFX - Volatility Comparison
DFA US Core Equity 2 Portfolio I (DFQTX) has a higher volatility of 4.27% compared to Goldman Sachs Strategic Volatility Premium Fund (SVPFX) at 0.87%. This indicates that DFQTX's price experiences larger fluctuations and is considered to be riskier than SVPFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFQTX | SVPFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.27% | 0.87% | +3.40% |
Volatility (6M)Calculated over the trailing 6-month period | 8.67% | 1.37% | +7.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.07% | 8.02% | +10.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.00% | 5.60% | +11.40% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.25% | 5.60% | +12.65% |