DFUS vs. SPY
Compare and contrast key facts about Dimensional U.S. Equity ETF (DFUS) and SPDR S&P 500 ETF (SPY).
DFUS and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFUS is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Jun 14, 2021. 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: DFUS or SPY.
Key characteristics
| DFUS | SPY | |
|---|---|---|
| YTD Return | 26.67% | 26.77% |
| 1Y Return | 38.29% | 37.43% |
| 3Y Return (Ann) | 9.78% | 10.15% |
| Sharpe Ratio | 3.00 | 3.06 |
| Sortino Ratio | 3.97 | 4.08 |
| Omega Ratio | 1.56 | 1.58 |
| Calmar Ratio | 4.42 | 4.44 |
| Martin Ratio | 19.56 | 20.11 |
| Ulcer Index | 1.95% | 1.85% |
| Daily Std Dev | 12.75% | 12.18% |
| Max Drawdown | -24.62% | -55.19% |
| Current Drawdown | -0.40% | -0.31% |
Correlation
The correlation between DFUS and SPY is 0.99, 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
DFUS vs. SPY - Performance Comparison
The year-to-date returns for both investments are quite close, with DFUS having a 26.67% return and SPY slightly higher at 26.77%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DFUS vs. SPY - Expense Ratio Comparison
DFUS has a 0.11% 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%.
Risk-Adjusted Performance
DFUS vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional U.S. Equity ETF (DFUS) 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
DFUS vs. SPY - Dividend Comparison
DFUS's dividend yield for the trailing twelve months is around 1.03%, less than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
DFUS vs. SPY - Drawdown Comparison
The maximum DFUS drawdown since its inception was -24.62%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFUS and SPY. For additional features, visit the drawdowns tool.
Volatility
DFUS vs. SPY - Volatility Comparison
Dimensional U.S. Equity ETF (DFUS) has a higher volatility of 4.23% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that DFUS'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.