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DFSIX vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DFSIXQQQ
YTD Return21.60%20.71%
1Y Return35.59%34.23%
3Y Return (Ann)8.18%8.03%
5Y Return (Ann)15.26%20.54%
10Y Return (Ann)12.78%18.09%
Sharpe Ratio2.732.02
Sortino Ratio3.652.66
Omega Ratio1.501.36
Calmar Ratio4.152.57
Martin Ratio17.369.35
Ulcer Index2.05%3.72%
Daily Std Dev13.03%17.23%
Max Drawdown-53.65%-82.98%
Current Drawdown-1.33%-2.00%

Correlation

-0.50.00.51.00.9

The correlation between DFSIX and QQQ is 0.86, 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

DFSIX vs. QQQ - Performance Comparison

The year-to-date returns for both stocks are quite close, with DFSIX having a 21.60% return and QQQ slightly lower at 20.71%. Over the past 10 years, DFSIX has underperformed QQQ with an annualized return of 12.78%, while QQQ has yielded a comparatively higher 18.09% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.24%
12.19%
DFSIX
QQQ

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DFSIX vs. QQQ - Expense Ratio Comparison

DFSIX has a 0.18% expense ratio, which is lower than QQQ's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for DFSIX: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Risk-Adjusted Performance

DFSIX vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and Invesco QQQ (QQQ). 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.


DFSIX
Sharpe ratio
The chart of Sharpe ratio for DFSIX, currently valued at 2.73, compared to the broader market0.002.004.002.73
Sortino ratio
The chart of Sortino ratio for DFSIX, currently valued at 3.65, compared to the broader market0.005.0010.003.65
Omega ratio
The chart of Omega ratio for DFSIX, currently valued at 1.50, compared to the broader market1.002.003.004.001.50
Calmar ratio
The chart of Calmar ratio for DFSIX, currently valued at 4.15, compared to the broader market0.005.0010.0015.0020.004.15
Martin ratio
The chart of Martin ratio for DFSIX, currently valued at 17.36, compared to the broader market0.0020.0040.0060.0080.00100.0017.36
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.02, compared to the broader market0.002.004.002.02
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.66, compared to the broader market0.005.0010.002.66
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.36, compared to the broader market1.002.003.004.001.36
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.56, compared to the broader market0.005.0010.0015.0020.002.57
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 9.35, compared to the broader market0.0020.0040.0060.0080.00100.009.35

DFSIX vs. QQQ - Sharpe Ratio Comparison

The current DFSIX Sharpe Ratio is 2.73, which is higher than the QQQ Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of DFSIX and QQQ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.73
2.02
DFSIX
QQQ

Dividends

DFSIX vs. QQQ - Dividend Comparison

DFSIX's dividend yield for the trailing twelve months is around 1.06%, more than QQQ's 0.62% yield.


TTM20232022202120202019201820172016201520142013
DFSIX
DFA U.S. Sustainability Core 1 Portfolio
1.06%1.21%1.35%0.95%1.19%1.18%1.34%1.43%1.49%1.55%1.36%1.23%
QQQ
Invesco QQQ
0.62%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

DFSIX vs. QQQ - Drawdown Comparison

The maximum DFSIX drawdown since its inception was -53.65%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for DFSIX and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.33%
-2.00%
DFSIX
QQQ

Volatility

DFSIX vs. QQQ - Volatility Comparison

The current volatility for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) is 3.24%, while Invesco QQQ (QQQ) has a volatility of 4.50%. This indicates that DFSIX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
3.24%
4.50%
DFSIX
QQQ