DGTSX vs. SPY

Last updated Jun 23, 2026

DGTSX (DFA Global Allocation 25/75 Portfolio) and SPY (State Street SPDR S&P 500 ETF) are both funds - DGTSX is a Diversified Portfolio fund managed by Dimensional, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, DGTSX returned 5.23%/yr vs 15.70%/yr for SPY. Their correlation of 0.87 suggests significant overlap in exposure. DGTSX charges 0.24%/yr vs 0.09%/yr for SPY.

Performance

DGTSX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Global Allocation 25/75 Portfolio (DGTSX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DGTSX achieves a 4.30% return, which is significantly lower than SPY's 9.74% return. Over the past 10 years, DGTSX has underperformed SPY with an annualized return of 5.23%, while SPY has yielded a comparatively higher 15.70% annualized return.

DGTSX

• 1D: 0.34%
• 1M: 0.76%
• YTD: 4.30%
• 6M: 4.30%
• 1Y: 9.92%
• 3Y*: 8.27%
• 5Y*: 5.39%
• 10Y*: 5.23%

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DGTSX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DGTSX DFA Global Allocation 25/75 Portfolio	4.30%	8.39%	7.43%	8.93%	-8.06%	10.20%	7.29%	9.80%	-1.85%	5.83%
SPY State Street SPDR S&P 500 ETF	9.74%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between DGTSX and SPY is 0.90, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (10Y) Calculated over the trailing 10-year period	0.88
Correlation (All Time) Calculated using the full available price history since Dec 26, 2003	0.87

The correlation between DGTSX and SPY has been stable across timeframes, ranging from 0.87 to 0.90 - a consistent structural relationship.

Return for Risk

DGTSX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DGTSX

DGTSX Risk / Return Rank: 89
DGTSX Sharpe Ratio Rank: 91
DGTSX Sortino Ratio Rank: 91
DGTSX Omega Ratio Rank: 88
DGTSX Calmar Ratio Rank: 85
DGTSX Martin Ratio Rank: 90

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DGTSX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Global Allocation 25/75 Portfolio (DGTSX) and State Street 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DGTSX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.79	2.16	+0.63
Sortino ratio: Return per unit of downside risk	4.16	2.91	+1.25
Omega ratio: Gain probability vs. loss probability	1.57	1.39	+0.18
Calmar ratio: Return relative to maximum drawdown	3.79	3.01	+0.78
Martin ratio: Return relative to average drawdown	16.65	13.54	+3.11

DGTSX vs. SPY - Sharpe Ratio Comparison

The current DGTSX Sharpe Ratio is 2.79, which is comparable to the SPY Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of DGTSX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DGTSX vs. SPY - Drawdown Comparison

The maximum DGTSX drawdown since its inception was -16.71%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DGTSX and SPY.

Drawdown Indicators

	DGTSX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-16.71%	-55.19%	+38.48%
Max Drawdown (1Y) Largest decline over 1 year	-2.64%	-8.88%	+6.24%
Max Drawdown (3Y) Largest decline over 3 years	-7.46%	-18.76%	+11.30%
Max Drawdown (5Y) Largest decline over 5 years	-11.26%	-24.50%	+13.24%
Max Drawdown (10Y) Largest decline over 10 years	-11.26%	-33.72%	+22.46%
Current Drawdown Current decline from peak	-0.14%	-1.75%	+1.61%
Average Drawdown Average peak-to-trough decline	-1.64%	-9.04%	+7.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.60%	1.97%	-1.37%

Volatility

DGTSX vs. SPY - Volatility Comparison

The current volatility for DFA Global Allocation 25/75 Portfolio (DGTSX) is 1.42%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.64%. This indicates that DGTSX 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.

Volatility by Period

	DGTSX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.42%	4.64%	-3.22%
Volatility (6M) Calculated over the trailing 6-month period	2.98%	9.75%	-6.77%
Volatility (1Y) Calculated over the trailing 1-year period	3.59%	12.43%	-8.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.98%	17.14%	-11.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.24%	17.99%	-12.75%

DGTSX vs. SPY - Expense Ratio Comparison

DGTSX 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%.

Dividends

DGTSX vs. SPY - Dividend Comparison

DGTSX's dividend yield for the trailing twelve months is around 5.70%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DGTSX DFA Global Allocation 25/75 Portfolio	5.70%	5.54%	7.28%	4.75%	2.77%	7.62%	2.12%	2.57%	2.99%	1.25%	1.26%	1.50%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both DGTSX and SPY in my portfolio?

With a correlation of 0.90, DGTSX and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, DGTSX or SPY?

SPY has higher volatility (4.64%) compared to DGTSX (1.42%). In terms of maximum drawdown, DGTSX dropped -16.71% vs SPY's -55.19%.

Which has better risk-adjusted returns?

DGTSX currently has the higher Sharpe Ratio (2.79 vs 2.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.