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DURPX vs. TISPX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DURPXTISPX
YTD Return23.35%25.67%
1Y Return35.41%37.28%
3Y Return (Ann)11.21%9.75%
5Y Return (Ann)15.47%15.73%
Sharpe Ratio3.082.93
Sortino Ratio4.333.75
Omega Ratio1.571.57
Calmar Ratio4.754.46
Martin Ratio18.8620.40
Ulcer Index1.90%1.85%
Daily Std Dev11.60%12.87%
Max Drawdown-31.02%-55.16%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.01.0

The correlation between DURPX and TISPX is 0.96, 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

DURPX vs. TISPX - Performance Comparison

In the year-to-date period, DURPX achieves a 23.35% return, which is significantly lower than TISPX's 25.67% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.22%
15.05%
DURPX
TISPX

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DURPX vs. TISPX - Expense Ratio Comparison

DURPX has a 0.23% expense ratio, which is higher than TISPX's 0.05% 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%.


DURPX
DFA US High Relative Profitability Portfolio
Expense ratio chart for DURPX: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
Expense ratio chart for TISPX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

DURPX vs. TISPX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA US High Relative Profitability Portfolio (DURPX) and TIAA-CREF S&P 500 Index Fund (TISPX). 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.


DURPX
Sharpe ratio
The chart of Sharpe ratio for DURPX, currently valued at 3.08, compared to the broader market0.002.004.003.08
Sortino ratio
The chart of Sortino ratio for DURPX, currently valued at 4.33, compared to the broader market0.005.0010.004.33
Omega ratio
The chart of Omega ratio for DURPX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for DURPX, currently valued at 4.75, compared to the broader market0.005.0010.0015.0020.004.75
Martin ratio
The chart of Martin ratio for DURPX, currently valued at 18.86, compared to the broader market0.0020.0040.0060.0080.00100.0018.86
TISPX
Sharpe ratio
The chart of Sharpe ratio for TISPX, currently valued at 2.93, compared to the broader market0.002.004.002.93
Sortino ratio
The chart of Sortino ratio for TISPX, currently valued at 3.75, compared to the broader market0.005.0010.003.75
Omega ratio
The chart of Omega ratio for TISPX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for TISPX, currently valued at 4.46, compared to the broader market0.005.0010.0015.0020.004.46
Martin ratio
The chart of Martin ratio for TISPX, currently valued at 20.40, compared to the broader market0.0020.0040.0060.0080.00100.0020.40

DURPX vs. TISPX - Sharpe Ratio Comparison

The current DURPX Sharpe Ratio is 3.08, which is comparable to the TISPX Sharpe Ratio of 2.93. The chart below compares the historical Sharpe Ratios of DURPX and TISPX, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.08
2.93
DURPX
TISPX

Dividends

DURPX vs. TISPX - Dividend Comparison

DURPX's dividend yield for the trailing twelve months is around 1.20%, more than TISPX's 1.17% yield.


TTM20232022202120202019201820172016201520142013
DURPX
DFA US High Relative Profitability Portfolio
1.20%1.49%1.63%1.19%1.35%1.36%1.70%0.77%0.00%0.00%0.00%0.00%
TISPX
TIAA-CREF S&P 500 Index Fund
1.17%1.48%1.66%1.22%1.53%1.88%2.13%1.82%1.95%2.04%1.77%1.70%

Drawdowns

DURPX vs. TISPX - Drawdown Comparison

The maximum DURPX drawdown since its inception was -31.02%, smaller than the maximum TISPX drawdown of -55.16%. Use the drawdown chart below to compare losses from any high point for DURPX and TISPX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
DURPX
TISPX

Volatility

DURPX vs. TISPX - Volatility Comparison

The current volatility for DFA US High Relative Profitability Portfolio (DURPX) is 3.43%, while TIAA-CREF S&P 500 Index Fund (TISPX) has a volatility of 3.93%. This indicates that DURPX experiences smaller price fluctuations and is considered to be less risky than TISPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.43%
3.93%
DURPX
TISPX