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

Performance

DFSIX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.53%
12.85%
DFSIX
VOO

Returns By Period

The year-to-date returns for both stocks are quite close, with DFSIX having a 26.69% return and VOO slightly lower at 26.16%. Both investments have delivered pretty close results over the past 10 years, with DFSIX having a 13.05% annualized return and VOO not far ahead at 13.18%.


DFSIX

YTD

26.69%

1M

4.61%

6M

14.53%

1Y

35.36%

5Y (annualized)

16.04%

10Y (annualized)

13.05%

VOO

YTD

26.16%

1M

1.77%

6M

13.62%

1Y

32.33%

5Y (annualized)

15.68%

10Y (annualized)

13.18%

Key characteristics


DFSIXVOO
Sharpe Ratio2.672.70
Sortino Ratio3.613.60
Omega Ratio1.491.50
Calmar Ratio4.303.90
Martin Ratio17.0917.65
Ulcer Index2.07%1.86%
Daily Std Dev13.23%12.19%
Max Drawdown-53.65%-33.99%
Current Drawdown-0.42%-0.86%

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DFSIX vs. VOO - Expense Ratio Comparison

DFSIX has a 0.18% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.01.0

The correlation between DFSIX and VOO 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. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Sustainability Core 1 Portfolio (DFSIX) and Vanguard S&P 500 ETF (VOO). 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.


Sharpe ratio
The chart of Sharpe ratio for DFSIX, currently valued at 2.67, compared to the broader market-1.000.001.002.003.004.005.002.672.65
The chart of Sortino ratio for DFSIX, currently valued at 3.61, compared to the broader market0.005.0010.003.613.54
The chart of Omega ratio for DFSIX, currently valued at 1.49, compared to the broader market1.002.003.004.001.491.50
The chart of Calmar ratio for DFSIX, currently valued at 4.30, compared to the broader market0.005.0010.0015.0020.004.303.83
The chart of Martin ratio for DFSIX, currently valued at 17.09, compared to the broader market0.0020.0040.0060.0080.00100.0017.0917.34
DFSIX
VOO

The current DFSIX Sharpe Ratio is 2.67, which is comparable to the VOO Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of DFSIX and VOO, 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.67
2.65
DFSIX
VOO

Dividends

DFSIX vs. VOO - Dividend Comparison

DFSIX's dividend yield for the trailing twelve months is around 1.02%, less than VOO's 1.24% 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%
VOO
Vanguard S&P 500 ETF
1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

DFSIX vs. VOO - Drawdown Comparison

The maximum DFSIX drawdown since its inception was -53.65%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DFSIX and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.42%
-0.86%
DFSIX
VOO

Volatility

DFSIX vs. VOO - Volatility Comparison

DFA U.S. Sustainability Core 1 Portfolio (DFSIX) has a higher volatility of 4.56% compared to Vanguard S&P 500 ETF (VOO) at 3.99%. This indicates that DFSIX's price experiences larger fluctuations and is considered to be riskier than VOO 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
4.56%
3.99%
DFSIX
VOO