DFQTX vs. ^GSPC
Compare and contrast key facts about DFA US Core Equity 2 Portfolio I (DFQTX) and S&P 500 (^GSPC).
DFQTX is managed by Dimensional Fund Advisors LP.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFQTX or ^GSPC.
Key characteristics
| DFQTX | ^GSPC | |
|---|---|---|
| YTD Return | 6.27% | 6.92% |
| 1Y Return | 23.49% | 23.33% |
| 3Y Return (Ann) | 7.18% | 6.81% |
| 5Y Return (Ann) | 12.59% | 11.66% |
| 10Y Return (Ann) | 10.90% | 10.52% |
| Sharpe Ratio | 2.09 | 2.19 |
| Daily Std Dev | 12.33% | 11.75% |
| Max Drawdown | -59.35% | -56.78% |
| Current Drawdown | -3.40% | -2.94% |
Correlation
The correlation between DFQTX and ^GSPC is 0.96, 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
DFQTX vs. ^GSPC - Performance Comparison
In the year-to-date period, DFQTX achieves a 6.27% return, which is significantly lower than ^GSPC's 6.92% return. Both investments have delivered pretty close results over the past 10 years, with DFQTX having a 10.90% annualized return and ^GSPC not far behind at 10.52%. 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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Risk-Adjusted Performance
DFQTX vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US Core Equity 2 Portfolio I (DFQTX) and S&P 500 (^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.
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. For additional features, visit the drawdowns tool.
Volatility
DFQTX vs. ^GSPC - Volatility Comparison
DFA US Core Equity 2 Portfolio I (DFQTX) and S&P 500 (^GSPC) have volatilities of 3.53% and 3.65%, 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.