DFSIX vs. SPY
Compare and contrast key facts about DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and SPDR S&P 500 ETF (SPY).
DFSIX is managed by Dimensional Fund Advisors LP. It was launched on Mar 12, 2008. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFSIX or SPY.
Performance
DFSIX vs. SPY - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with DFSIX having a 26.69% return and SPY slightly lower at 26.47%. Both investments have delivered pretty close results over the past 10 years, with DFSIX having a 13.05% annualized return and SPY not far ahead at 13.14%.
DFSIX
26.69%
4.61%
14.53%
35.36%
16.04%
13.05%
SPY
26.47%
3.03%
13.19%
32.65%
15.68%
13.14%
Key characteristics
| DFSIX | SPY | |
|---|---|---|
| Sharpe Ratio | 2.67 | 2.69 |
| Sortino Ratio | 3.61 | 3.59 |
| Omega Ratio | 1.49 | 1.50 |
| Calmar Ratio | 4.30 | 3.88 |
| Martin Ratio | 17.09 | 17.47 |
| Ulcer Index | 2.07% | 1.87% |
| Daily Std Dev | 13.23% | 12.14% |
| Max Drawdown | -53.65% | -55.19% |
| Current Drawdown | -0.42% | -0.54% |
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DFSIX vs. SPY - Expense Ratio Comparison
DFSIX has a 0.18% expense ratio, which is higher than SPY's 0.09% 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%.
Correlation
The correlation between DFSIX and SPY is 0.97, 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. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and SPDR S&P 500 ETF (SPY). 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. SPY - Dividend Comparison
DFSIX's dividend yield for the trailing twelve months is around 1.02%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
DFSIX vs. SPY - Drawdown Comparison
The maximum DFSIX drawdown since its inception was -53.65%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFSIX and SPY. For additional features, visit the drawdowns tool.
Volatility
DFSIX vs. SPY - Volatility Comparison
DFA U.S. Sustainability Core 1 Portfolio (DFSIX) has a higher volatility of 4.56% compared to SPDR S&P 500 ETF (SPY) at 3.98%. This indicates that DFSIX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.