DFSCX vs. RWJ
Compare and contrast key facts about DFA U.S. Micro Cap Portfolio (DFSCX) and Invesco S&P SmallCap 600 Revenue ETF (RWJ).
DFSCX is managed by Dimensional Fund Advisors LP. It was launched on Dec 23, 1981. RWJ is a passively managed fund by Invesco that tracks the performance of the S&P SmallCap 600 Revenue-Weighted Index. It was launched on Feb 22, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFSCX or RWJ.
Performance
DFSCX vs. RWJ - Performance Comparison
Returns By Period
In the year-to-date period, DFSCX achieves a 16.14% return, which is significantly higher than RWJ's 13.64% return. Over the past 10 years, DFSCX has underperformed RWJ with an annualized return of 9.36%, while RWJ has yielded a comparatively higher 10.89% annualized return.
DFSCX
16.14%
3.06%
11.25%
29.66%
12.62%
9.36%
RWJ
13.64%
0.41%
12.09%
27.73%
18.23%
10.89%
Key characteristics
| DFSCX | RWJ | |
|---|---|---|
| Sharpe Ratio | 1.47 | 1.31 |
| Sortino Ratio | 2.23 | 2.00 |
| Omega Ratio | 1.26 | 1.24 |
| Calmar Ratio | 0.51 | 2.06 |
| Martin Ratio | 8.50 | 7.14 |
| Ulcer Index | 3.54% | 4.01% |
| Daily Std Dev | 20.40% | 21.77% |
| Max Drawdown | -97.78% | -55.97% |
| Current Drawdown | -45.69% | -4.29% |
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DFSCX vs. RWJ - Expense Ratio Comparison
DFSCX has a 0.41% expense ratio, which is higher than RWJ's 0.39% expense ratio.
Correlation
The correlation between DFSCX and RWJ is 0.92, 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.
Risk-Adjusted Performance
DFSCX vs. RWJ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Micro Cap Portfolio (DFSCX) and Invesco S&P SmallCap 600 Revenue ETF (RWJ). 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
DFSCX vs. RWJ - Dividend Comparison
DFSCX's dividend yield for the trailing twelve months is around 0.97%, less than RWJ's 1.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFSCX DFA U.S. Micro Cap Portfolio | 0.97% | 1.04% | 1.08% | 0.92% | 0.87% | 0.81% | 0.83% | 0.78% | 0.74% | 0.89% | 0.71% | 0.52% |
RWJ Invesco S&P SmallCap 600 Revenue ETF | 1.24% | 1.34% | 1.02% | 0.61% | 0.89% | 1.22% | 1.44% | 0.91% | 0.60% | 0.74% | 0.57% | 1.27% |
Drawdowns
DFSCX vs. RWJ - Drawdown Comparison
The maximum DFSCX drawdown since its inception was -97.78%, which is greater than RWJ's maximum drawdown of -55.97%. Use the drawdown chart below to compare losses from any high point for DFSCX and RWJ. For additional features, visit the drawdowns tool.
Volatility
DFSCX vs. RWJ - Volatility Comparison
DFA U.S. Micro Cap Portfolio (DFSCX) has a higher volatility of 8.22% compared to Invesco S&P SmallCap 600 Revenue ETF (RWJ) at 7.60%. This indicates that DFSCX's price experiences larger fluctuations and is considered to be riskier than RWJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.