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DFUSX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.01.0

Performance

DFUSX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Large Company Portfolio (DFUSX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

440.00%460.00%480.00%500.00%520.00%540.00%JulyAugustSeptemberOctoberNovemberDecember
520.46%
512.96%
DFUSX
SPY

Key characteristics

Sharpe Ratio

DFUSX:

2.18

SPY:

2.21

Sortino Ratio

DFUSX:

2.90

SPY:

2.93

Omega Ratio

DFUSX:

1.40

SPY:

1.41

Calmar Ratio

DFUSX:

3.23

SPY:

3.26

Martin Ratio

DFUSX:

14.22

SPY:

14.43

Ulcer Index

DFUSX:

1.92%

SPY:

1.90%

Daily Std Dev

DFUSX:

12.56%

SPY:

12.41%

Max Drawdown

DFUSX:

-54.96%

SPY:

-55.19%

Current Drawdown

DFUSX:

-2.94%

SPY:

-2.74%

Returns By Period

The year-to-date returns for both investments are quite close, with DFUSX having a 25.42% return and SPY slightly higher at 25.54%. Both investments have delivered pretty close results over the past 10 years, with DFUSX having a 12.99% annualized return and SPY not far behind at 12.97%.


DFUSX

YTD

25.42%

1M

-0.03%

6M

8.79%

1Y

26.06%

5Y*

14.66%

10Y*

12.99%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


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%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
Expense ratio chart for DFUSX: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

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.


Sharpe ratio
The chart of Sharpe ratio for DFUSX, currently valued at 2.18, compared to the broader market-1.000.001.002.003.004.002.182.21
The chart of Sortino ratio for DFUSX, currently valued at 2.90, compared to the broader market-2.000.002.004.006.008.0010.002.902.93
The chart of Omega ratio for DFUSX, currently valued at 1.40, compared to the broader market0.501.001.502.002.503.003.501.401.41
The chart of Calmar ratio for DFUSX, currently valued at 3.23, compared to the broader market0.002.004.006.008.0010.0012.0014.003.233.26
The chart of Martin ratio for DFUSX, currently valued at 14.22, compared to the broader market0.0020.0040.0060.0014.2214.43
DFUSX
SPY

The current DFUSX Sharpe Ratio is 2.18, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of DFUSX and SPY, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.18
2.21
DFUSX
SPY

Dividends

DFUSX vs. SPY - Dividend Comparison

DFUSX's dividend yield for the trailing twelve months is around 0.84%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
DFUSX
DFA U.S. Large Company Portfolio
0.84%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
0.86%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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.94%
-2.74%
DFUSX
SPY

Volatility

DFUSX vs. SPY - Volatility Comparison

DFA U.S. Large Company Portfolio (DFUSX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.83% and 3.72%, 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.83%
3.72%
DFUSX
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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