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 | 24.63% | 25.45% |
| 1Y Return | 37.85% | 35.64% |
| 3Y Return (Ann) | 9.45% | 8.55% |
| 5Y Return (Ann) | 15.21% | 14.13% |
| 10Y Return (Ann) | 11.92% | 11.39% |
| Sharpe Ratio | 2.92 | 2.90 |
| Sortino Ratio | 3.97 | 3.87 |
| Omega Ratio | 1.55 | 1.54 |
| Calmar Ratio | 4.59 | 4.19 |
| Martin Ratio | 18.95 | 18.72 |
| Ulcer Index | 1.99% | 1.90% |
| Daily Std Dev | 12.91% | 12.27% |
| Max Drawdown | -59.35% | -56.78% |
| Current Drawdown | -0.47% | -0.29% |
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
The year-to-date returns for both investments are quite close, with DFQTX having a 24.63% return and ^GSPC slightly higher at 25.45%. Both investments have delivered pretty close results over the past 10 years, with DFQTX having a 11.92% annualized return and ^GSPC not far behind at 11.39%. 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) has a higher volatility of 4.38% compared to S&P 500 (^GSPC) at 3.86%. This indicates that DFQTX's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.