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

Performance

DFUS vs. QQQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional U.S. Equity ETF (DFUS) and Invesco QQQ (QQQ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.76%
10.78%
DFUS
QQQ

Returns By Period

In the year-to-date period, DFUS achieves a 26.67% return, which is significantly higher than QQQ's 24.04% return.


DFUS

YTD

26.67%

1M

4.11%

6M

13.76%

1Y

33.61%

5Y (annualized)

N/A

10Y (annualized)

N/A

QQQ

YTD

24.04%

1M

3.57%

6M

10.78%

1Y

30.56%

5Y (annualized)

20.99%

10Y (annualized)

18.03%

Key characteristics


DFUSQQQ
Sharpe Ratio2.651.76
Sortino Ratio3.512.35
Omega Ratio1.491.32
Calmar Ratio3.882.25
Martin Ratio17.058.18
Ulcer Index1.97%3.74%
Daily Std Dev12.69%17.36%
Max Drawdown-24.62%-82.98%
Current Drawdown-0.40%-1.62%

Compare stocks, funds, or ETFs

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


DFUS vs. QQQ - Expense Ratio Comparison

DFUS has a 0.11% 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%.


QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for DFUS: 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%

Correlation

-0.50.00.51.00.9

The correlation between DFUS and QQQ is 0.93, 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

DFUS vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional U.S. Equity ETF (DFUS) 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.


Sharpe ratio
The chart of Sharpe ratio for DFUS, currently valued at 2.65, compared to the broader market0.002.004.002.651.76
The chart of Sortino ratio for DFUS, currently valued at 3.51, compared to the broader market-2.000.002.004.006.008.0010.0012.003.512.35
The chart of Omega ratio for DFUS, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.32
The chart of Calmar ratio for DFUS, currently valued at 3.88, compared to the broader market0.005.0010.0015.003.882.25
The chart of Martin ratio for DFUS, currently valued at 17.05, compared to the broader market0.0020.0040.0060.0080.00100.0017.058.18
DFUS
QQQ

The current DFUS Sharpe Ratio is 2.65, which is higher than the QQQ Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of DFUS and QQQ, 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
2.65
1.76
DFUS
QQQ

Dividends

DFUS vs. QQQ - Dividend Comparison

DFUS's dividend yield for the trailing twelve months is around 1.03%, more than QQQ's 0.60% yield.


TTM20232022202120202019201820172016201520142013
DFUS
Dimensional U.S. Equity ETF
1.03%1.33%1.48%0.85%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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

DFUS vs. QQQ - Drawdown Comparison

The maximum DFUS drawdown since its inception was -24.62%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for DFUS and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.40%
-1.62%
DFUS
QQQ

Volatility

DFUS vs. QQQ - Volatility Comparison

The current volatility for Dimensional U.S. Equity ETF (DFUS) is 4.30%, while Invesco QQQ (QQQ) has a volatility of 5.36%. This indicates that DFUS 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.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.30%
5.36%
DFUS
QQQ