DFSIX vs. QQQ
Compare and contrast key facts about DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and Invesco QQQ (QQQ).
DFSIX is managed by Dimensional Fund Advisors LP. It was launched on Mar 12, 2008. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFSIX or QQQ.
Performance
DFSIX vs. QQQ - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with DFSIX having a 24.53% return and QQQ slightly lower at 23.47%. Over the past 10 years, DFSIX has underperformed QQQ with an annualized return of 12.90%, while QQQ has yielded a comparatively higher 18.10% annualized return.
DFSIX
24.53%
1.05%
12.29%
33.29%
15.73%
12.90%
QQQ
23.47%
1.82%
10.79%
29.73%
20.93%
18.10%
Key characteristics
| DFSIX | QQQ | |
|---|---|---|
| Sharpe Ratio | 2.58 | 1.80 |
| Sortino Ratio | 3.50 | 2.40 |
| Omega Ratio | 1.47 | 1.32 |
| Calmar Ratio | 4.15 | 2.31 |
| Martin Ratio | 16.53 | 8.39 |
| Ulcer Index | 2.06% | 3.73% |
| Daily Std Dev | 13.22% | 17.41% |
| Max Drawdown | -53.65% | -82.98% |
| Current Drawdown | -2.12% | -2.08% |
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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%.
Correlation
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.
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.
Dividends
DFSIX vs. QQQ - Dividend Comparison
DFSIX's dividend yield for the trailing twelve months is around 1.04%, more than QQQ's 0.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFSIX DFA U.S. Sustainability Core 1 Portfolio | 1.04% | 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 | 0.60% | 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.
Volatility
DFSIX vs. QQQ - Volatility Comparison
The current volatility for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) is 4.62%, while Invesco QQQ (QQQ) has a volatility of 5.66%. 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.