DGEIX vs. SPY
Compare and contrast key facts about DFA Global Equity Portfolio Institutional Class (DGEIX) and SPDR S&P 500 ETF (SPY).
DGEIX is managed by Dimensional Fund Advisors LP. It was launched on Dec 24, 2003. 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: DGEIX or SPY.
Key characteristics
| DGEIX | SPY | |
|---|---|---|
| YTD Return | 18.89% | 26.83% |
| 1Y Return | 28.08% | 34.88% |
| 3Y Return (Ann) | 6.93% | 10.16% |
| 5Y Return (Ann) | 12.16% | 15.71% |
| 10Y Return (Ann) | 9.89% | 13.33% |
| Sharpe Ratio | 2.62 | 3.08 |
| Sortino Ratio | 3.58 | 4.10 |
| Omega Ratio | 1.48 | 1.58 |
| Calmar Ratio | 3.99 | 4.46 |
| Martin Ratio | 17.32 | 20.22 |
| Ulcer Index | 1.81% | 1.85% |
| Daily Std Dev | 11.98% | 12.18% |
| Max Drawdown | -59.77% | -55.19% |
| Current Drawdown | -1.02% | -0.26% |
Correlation
The correlation between DGEIX and SPY is 0.94, 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
DGEIX vs. SPY - Performance Comparison
In the year-to-date period, DGEIX achieves a 18.89% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, DGEIX has underperformed SPY with an annualized return of 9.89%, while SPY has yielded a comparatively higher 13.33% annualized return. 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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DGEIX vs. SPY - Expense Ratio Comparison
DGEIX has a 0.25% 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
DGEIX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Equity Portfolio Institutional Class (DGEIX) 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
DGEIX vs. SPY - Dividend Comparison
DGEIX's dividend yield for the trailing twelve months is around 1.67%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGEIX DFA Global Equity Portfolio Institutional Class | 1.67% | 1.97% | 1.89% | 1.67% | 1.44% | 1.73% | 1.99% | 1.83% | 1.91% | 1.99% | 1.88% | 1.70% |
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
DGEIX vs. SPY - Drawdown Comparison
The maximum DGEIX drawdown since its inception was -59.77%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DGEIX and SPY. For additional features, visit the drawdowns tool.
Volatility
DGEIX vs. SPY - Volatility Comparison
The current volatility for DFA Global Equity Portfolio Institutional Class (DGEIX) is 3.40%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.77%. This indicates that DGEIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.