DFUVX vs. SPYV
Compare and contrast key facts about DFA U.S. Large Cap Value III Portfolio (DFUVX) and SPDR Portfolio S&P 500 Value ETF (SPYV).
DFUVX is managed by Dimensional Fund Advisors LP. It was launched on Feb 2, 1995. SPYV is a passively managed fund by State Street that tracks the performance of the S&P 500 Value. It was launched on Sep 25, 2000.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFUVX or SPYV.
Performance
DFUVX vs. SPYV - Performance Comparison
Returns By Period
In the year-to-date period, DFUVX achieves a 21.26% return, which is significantly higher than SPYV's 19.18% return. Over the past 10 years, DFUVX has underperformed SPYV with an annualized return of 9.48%, while SPYV has yielded a comparatively higher 10.64% annualized return.
DFUVX
21.26%
4.27%
11.54%
29.79%
10.93%
9.48%
SPYV
19.18%
2.74%
12.34%
26.94%
12.65%
10.64%
Key characteristics
| DFUVX | SPYV | |
|---|---|---|
| Sharpe Ratio | 2.48 | 2.70 |
| Sortino Ratio | 3.53 | 3.77 |
| Omega Ratio | 1.44 | 1.48 |
| Calmar Ratio | 4.83 | 4.94 |
| Martin Ratio | 14.18 | 15.89 |
| Ulcer Index | 2.10% | 1.70% |
| Daily Std Dev | 12.02% | 9.99% |
| Max Drawdown | -65.60% | -58.45% |
| Current Drawdown | 0.00% | 0.00% |
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DFUVX vs. SPYV - Expense Ratio Comparison
DFUVX has a 0.14% expense ratio, which is higher than SPYV's 0.04% 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%.
Correlation
The correlation between DFUVX and SPYV is 0.88, 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
DFUVX vs. SPYV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Cap Value III Portfolio (DFUVX) and SPDR Portfolio S&P 500 Value ETF (SPYV). 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
DFUVX vs. SPYV - Dividend Comparison
DFUVX's dividend yield for the trailing twelve months is around 1.80%, less than SPYV's 1.92% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFUVX DFA U.S. Large Cap Value III Portfolio | 1.80% | 2.09% | 2.18% | 1.64% | 2.09% | 2.06% | 2.42% | 2.00% | 2.07% | 2.36% | 1.89% | 1.57% |
SPYV SPDR Portfolio S&P 500 Value ETF | 1.92% | 1.75% | 2.23% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% | 2.19% | 1.96% |
Drawdowns
DFUVX vs. SPYV - Drawdown Comparison
The maximum DFUVX drawdown since its inception was -65.60%, which is greater than SPYV's maximum drawdown of -58.45%. Use the drawdown chart below to compare losses from any high point for DFUVX and SPYV. For additional features, visit the drawdowns tool.
Volatility
DFUVX vs. SPYV - Volatility Comparison
DFA U.S. Large Cap Value III Portfolio (DFUVX) has a higher volatility of 4.76% compared to SPDR Portfolio S&P 500 Value ETF (SPYV) at 3.56%. This indicates that DFUVX's price experiences larger fluctuations and is considered to be riskier than SPYV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.