DFSCX vs. SPSM
Compare and contrast key facts about DFA U.S. Micro Cap Portfolio (DFSCX) and SPDR Portfolio S&P 600 Small Cap ETF (SPSM).
DFSCX is managed by Dimensional Fund Advisors LP. It was launched on Dec 23, 1981. SPSM is a passively managed fund by State Street that tracks the performance of the S&P SmallCap 600 Index. It was launched on Jul 8, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFSCX or SPSM.
Performance
DFSCX vs. SPSM - Performance Comparison
Returns By Period
In the year-to-date period, DFSCX achieves a 16.14% return, which is significantly higher than SPSM's 12.85% return. Both investments have delivered pretty close results over the past 10 years, with DFSCX having a 9.36% annualized return and SPSM not far behind at 9.14%.
DFSCX
16.14%
3.06%
11.25%
29.66%
12.62%
9.36%
SPSM
12.85%
2.31%
10.59%
26.90%
10.33%
9.14%
Key characteristics
| DFSCX | SPSM | |
|---|---|---|
| Sharpe Ratio | 1.47 | 1.37 |
| Sortino Ratio | 2.23 | 2.07 |
| Omega Ratio | 1.26 | 1.25 |
| Calmar Ratio | 0.51 | 1.52 |
| Martin Ratio | 8.50 | 7.77 |
| Ulcer Index | 3.54% | 3.53% |
| Daily Std Dev | 20.40% | 19.95% |
| Max Drawdown | -97.78% | -42.89% |
| Current Drawdown | -45.69% | -4.24% |
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DFSCX vs. SPSM - Expense Ratio Comparison
DFSCX has a 0.41% expense ratio, which is higher than SPSM's 0.05% expense ratio.
Correlation
The correlation between DFSCX and SPSM 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.
Risk-Adjusted Performance
DFSCX vs. SPSM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Micro Cap Portfolio (DFSCX) and SPDR Portfolio S&P 600 Small Cap ETF (SPSM). 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. SPSM - Dividend Comparison
DFSCX's dividend yield for the trailing twelve months is around 0.97%, less than SPSM's 1.80% 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% |
SPSM SPDR Portfolio S&P 600 Small Cap ETF | 1.80% | 1.61% | 1.38% | 1.41% | 1.17% | 1.58% | 1.82% | 1.51% | 1.49% | 2.37% | 1.70% | 0.68% |
Drawdowns
DFSCX vs. SPSM - Drawdown Comparison
The maximum DFSCX drawdown since its inception was -97.78%, which is greater than SPSM's maximum drawdown of -42.89%. Use the drawdown chart below to compare losses from any high point for DFSCX and SPSM. For additional features, visit the drawdowns tool.
Volatility
DFSCX vs. SPSM - Volatility Comparison
DFA U.S. Micro Cap Portfolio (DFSCX) has a higher volatility of 8.22% compared to SPDR Portfolio S&P 600 Small Cap ETF (SPSM) at 7.48%. This indicates that DFSCX's price experiences larger fluctuations and is considered to be riskier than SPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.