DFSVX vs. ZPRV.DE
Compare and contrast key facts about DFA U.S. Small Cap Value Portfolio I (DFSVX) and SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE).
DFSVX is managed by Dimensional Fund Advisors LP. It was launched on Mar 2, 1993. ZPRV.DE is a passively managed fund by State Street that tracks the performance of the MSCI USA Small Cap Value Weighted Index. It was launched on Feb 18, 2015.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFSVX or ZPRV.DE.
Performance
DFSVX vs. ZPRV.DE - Performance Comparison
Returns By Period
In the year-to-date period, DFSVX achieves a 14.54% return, which is significantly lower than ZPRV.DE's 18.81% return.
DFSVX
14.54%
2.85%
9.29%
28.01%
14.68%
9.30%
ZPRV.DE
18.81%
5.09%
14.35%
34.64%
14.97%
N/A
Key characteristics
| DFSVX | ZPRV.DE | |
|---|---|---|
| Sharpe Ratio | 1.49 | 1.82 |
| Sortino Ratio | 2.23 | 2.75 |
| Omega Ratio | 1.27 | 1.36 |
| Calmar Ratio | 2.98 | 3.32 |
| Martin Ratio | 8.16 | 9.57 |
| Ulcer Index | 3.65% | 3.58% |
| Daily Std Dev | 20.00% | 18.77% |
| Max Drawdown | -66.70% | -46.04% |
| Current Drawdown | -3.12% | -2.65% |
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DFSVX vs. ZPRV.DE - Expense Ratio Comparison
Both DFSVX and ZPRV.DE have an expense ratio of 0.30%.
Correlation
The correlation between DFSVX and ZPRV.DE is 0.61, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
DFSVX vs. ZPRV.DE - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Small Cap Value Portfolio I (DFSVX) and SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE). 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
DFSVX vs. ZPRV.DE - Dividend Comparison
DFSVX's dividend yield for the trailing twelve months is around 3.28%, while ZPRV.DE has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFSVX DFA U.S. Small Cap Value Portfolio I | 3.28% | 3.67% | 6.77% | 10.40% | 1.96% | 2.83% | 7.54% | 5.62% | 4.53% | 5.83% | 4.53% | 5.09% |
ZPRV.DE SPDR MSCI USA Small Cap Value Weighted UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DFSVX vs. ZPRV.DE - Drawdown Comparison
The maximum DFSVX drawdown since its inception was -66.70%, which is greater than ZPRV.DE's maximum drawdown of -46.04%. Use the drawdown chart below to compare losses from any high point for DFSVX and ZPRV.DE. For additional features, visit the drawdowns tool.
Volatility
DFSVX vs. ZPRV.DE - Volatility Comparison
DFA U.S. Small Cap Value Portfolio I (DFSVX) has a higher volatility of 8.22% compared to SPDR MSCI USA Small Cap Value Weighted UCITS ETF (ZPRV.DE) at 6.80%. This indicates that DFSVX's price experiences larger fluctuations and is considered to be riskier than ZPRV.DE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.