PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DFSIX vs. SPFFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DFSIXSPFFX
YTD Return26.39%24.81%
1Y Return36.56%33.16%
3Y Return (Ann)9.54%9.19%
Sharpe Ratio3.002.74
Sortino Ratio4.053.67
Omega Ratio1.561.51
Calmar Ratio4.853.87
Martin Ratio19.5317.10
Ulcer Index2.05%2.09%
Daily Std Dev13.32%13.07%
Max Drawdown-53.65%-25.11%
Current Drawdown-0.66%-0.50%

Correlation

-0.50.00.51.01.0

The correlation between DFSIX and SPFFX 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

DFSIX vs. SPFFX - Performance Comparison

In the year-to-date period, DFSIX achieves a 26.39% return, which is significantly higher than SPFFX's 24.81% 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
13.91%
12.42%
DFSIX
SPFFX

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DFSIX vs. SPFFX - Expense Ratio Comparison

DFSIX has a 0.18% expense ratio, which is higher than SPFFX's 0.11% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DFSIX
DFA U.S. Sustainability Core 1 Portfolio
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%
Expense ratio chart for SPFFX: current value at 0.11% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.11%

Risk-Adjusted Performance

DFSIX vs. SPFFX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and Sphere 500 Fossil Free Fund (SPFFX). 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 3.00, compared to the broader market0.002.004.003.00
Sortino ratio
The chart of Sortino ratio for DFSIX, currently valued at 4.05, compared to the broader market0.005.0010.004.05
Omega ratio
The chart of Omega ratio for DFSIX, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for DFSIX, currently valued at 4.85, compared to the broader market0.005.0010.0015.0020.004.85
Martin ratio
The chart of Martin ratio for DFSIX, currently valued at 19.53, compared to the broader market0.0020.0040.0060.0080.00100.0019.53
SPFFX
Sharpe ratio
The chart of Sharpe ratio for SPFFX, currently valued at 2.74, compared to the broader market0.002.004.002.74
Sortino ratio
The chart of Sortino ratio for SPFFX, currently valued at 3.67, compared to the broader market0.005.0010.003.67
Omega ratio
The chart of Omega ratio for SPFFX, currently valued at 1.51, compared to the broader market1.002.003.004.001.51
Calmar ratio
The chart of Calmar ratio for SPFFX, currently valued at 3.87, compared to the broader market0.005.0010.0015.0020.003.87
Martin ratio
The chart of Martin ratio for SPFFX, currently valued at 17.10, compared to the broader market0.0020.0040.0060.0080.00100.0017.10

DFSIX vs. SPFFX - Sharpe Ratio Comparison

The current DFSIX Sharpe Ratio is 3.00, which is comparable to the SPFFX Sharpe Ratio of 2.74. The chart below compares the historical Sharpe Ratios of DFSIX and SPFFX, 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
3.00
2.74
DFSIX
SPFFX

Dividends

DFSIX vs. SPFFX - Dividend Comparison

DFSIX's dividend yield for the trailing twelve months is around 1.02%, less than SPFFX's 1.06% yield.


TTM20232022202120202019201820172016201520142013
DFSIX
DFA U.S. Sustainability Core 1 Portfolio
1.02%1.21%1.35%0.95%1.19%1.18%1.34%1.43%1.49%1.55%1.36%1.23%
SPFFX
Sphere 500 Fossil Free Fund
1.06%1.32%0.73%0.06%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DFSIX vs. SPFFX - Drawdown Comparison

The maximum DFSIX drawdown since its inception was -53.65%, which is greater than SPFFX's maximum drawdown of -25.11%. Use the drawdown chart below to compare losses from any high point for DFSIX and SPFFX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.66%
-0.50%
DFSIX
SPFFX

Volatility

DFSIX vs. SPFFX - Volatility Comparison

DFA U.S. Sustainability Core 1 Portfolio (DFSIX) has a higher volatility of 4.34% compared to Sphere 500 Fossil Free Fund (SPFFX) at 3.97%. This indicates that DFSIX's price experiences larger fluctuations and is considered to be riskier than SPFFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.34%
3.97%
DFSIX
SPFFX