DFUSX vs. SPY
Compare and contrast key facts about DFA U.S. Large Company Portfolio (DFUSX) and SPDR S&P 500 ETF (SPY).
DFUSX is managed by Dimensional Fund Advisors LP. It was launched on Sep 23, 1999. 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: DFUSX or SPY.
Performance
DFUSX vs. SPY - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with DFUSX having a 26.16% return and SPY slightly lower at 26.08%. Both investments have delivered pretty close results over the past 10 years, with DFUSX having a 13.15% annualized return and SPY not far behind at 13.10%.
DFUSX
26.16%
1.78%
13.65%
32.30%
15.65%
13.15%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| DFUSX | SPY | |
|---|---|---|
| Sharpe Ratio | 2.67 | 2.70 |
| Sortino Ratio | 3.56 | 3.60 |
| Omega Ratio | 1.50 | 1.50 |
| Calmar Ratio | 3.88 | 3.90 |
| Martin Ratio | 17.45 | 17.52 |
| Ulcer Index | 1.88% | 1.87% |
| Daily Std Dev | 12.27% | 12.14% |
| Max Drawdown | -54.96% | -55.19% |
| Current Drawdown | -0.80% | -0.85% |
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DFUSX vs. SPY - Expense Ratio Comparison
DFUSX has a 0.08% expense ratio, which is lower than SPY's 0.09% 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%.
Correlation
The correlation between DFUSX and SPY is 0.98, 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
DFUSX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Company Portfolio (DFUSX) 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
DFUSX vs. SPY - Dividend Comparison
DFUSX's dividend yield for the trailing twelve months is around 1.10%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFUSX DFA U.S. Large Company Portfolio | 1.10% | 1.34% | 1.58% | 1.14% | 1.60% | 1.76% | 1.95% | 1.86% | 2.08% | 2.02% | 1.81% | 1.79% |
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
DFUSX vs. SPY - Drawdown Comparison
The maximum DFUSX drawdown since its inception was -54.96%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFUSX and SPY. For additional features, visit the drawdowns tool.
Volatility
DFUSX vs. SPY - Volatility Comparison
DFA U.S. Large Company Portfolio (DFUSX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.96% and 3.98%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.