DGSIX vs. SPY
Compare and contrast key facts about DFA Global Allocation 60/40 Portfolio (DGSIX) and SPDR S&P 500 ETF (SPY).
DGSIX is managed by Dimensional Fund Advisors LP. It was launched on Dec 23, 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: DGSIX or SPY.
Key characteristics
| DGSIX | SPY | |
|---|---|---|
| YTD Return | 12.56% | 26.01% |
| 1Y Return | 18.60% | 33.73% |
| 3Y Return (Ann) | 4.34% | 9.91% |
| 5Y Return (Ann) | 8.05% | 15.54% |
| 10Y Return (Ann) | 6.86% | 13.25% |
| Sharpe Ratio | 2.58 | 2.82 |
| Sortino Ratio | 3.68 | 3.76 |
| Omega Ratio | 1.49 | 1.53 |
| Calmar Ratio | 3.86 | 4.05 |
| Martin Ratio | 17.33 | 18.33 |
| Ulcer Index | 1.08% | 1.86% |
| Daily Std Dev | 7.25% | 12.07% |
| Max Drawdown | -38.20% | -55.19% |
| Current Drawdown | -0.97% | -0.90% |
Correlation
The correlation between DGSIX and SPY is 0.93, 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
DGSIX vs. SPY - Performance Comparison
In the year-to-date period, DGSIX achieves a 12.56% return, which is significantly lower than SPY's 26.01% return. Over the past 10 years, DGSIX has underperformed SPY with an annualized return of 6.86%, while SPY has yielded a comparatively higher 13.25% 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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DGSIX vs. SPY - Expense Ratio Comparison
DGSIX has a 0.24% 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
DGSIX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Global Allocation 60/40 Portfolio (DGSIX) 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
DGSIX vs. SPY - Dividend Comparison
DGSIX's dividend yield for the trailing twelve months is around 2.52%, more than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DGSIX DFA Global Allocation 60/40 Portfolio | 2.52% | 2.55% | 1.69% | 1.69% | 1.20% | 1.94% | 2.60% | 1.82% | 1.88% | 1.92% | 1.98% | 1.62% |
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
DGSIX vs. SPY - Drawdown Comparison
The maximum DGSIX drawdown since its inception was -38.20%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DGSIX and SPY. For additional features, visit the drawdowns tool.
Volatility
DGSIX vs. SPY - Volatility Comparison
The current volatility for DFA Global Allocation 60/40 Portfolio (DGSIX) is 2.09%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.84%. This indicates that DGSIX 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.