DURPX vs. VOO
Compare and contrast key facts about DFA US High Relative Profitability Portfolio (DURPX) and Vanguard S&P 500 ETF (VOO).
DURPX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DURPX or VOO.
Performance
DURPX vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, DURPX achieves a 24.18% return, which is significantly lower than VOO's 26.16% return.
DURPX
24.18%
1.44%
13.56%
31.30%
15.60%
N/A
VOO
26.16%
1.77%
13.62%
32.33%
15.68%
13.18%
Key characteristics
| DURPX | VOO | |
|---|---|---|
| Sharpe Ratio | 2.76 | 2.70 |
| Sortino Ratio | 3.86 | 3.60 |
| Omega Ratio | 1.51 | 1.50 |
| Calmar Ratio | 4.22 | 3.90 |
| Martin Ratio | 16.56 | 17.65 |
| Ulcer Index | 1.92% | 1.86% |
| Daily Std Dev | 11.53% | 12.19% |
| Max Drawdown | -31.02% | -33.99% |
| Current Drawdown | -0.67% | -0.86% |
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DURPX vs. VOO - Expense Ratio Comparison
DURPX has a 0.23% expense ratio, which is higher than VOO's 0.03% 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 DURPX and VOO 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.
Risk-Adjusted Performance
DURPX vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA US High Relative Profitability Portfolio (DURPX) and Vanguard S&P 500 ETF (VOO). 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
DURPX vs. VOO - Dividend Comparison
DURPX's dividend yield for the trailing twelve months is around 1.19%, less than VOO's 1.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DURPX DFA US High Relative Profitability Portfolio | 1.19% | 1.49% | 1.63% | 1.19% | 1.35% | 1.36% | 1.70% | 0.77% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
DURPX vs. VOO - Drawdown Comparison
The maximum DURPX drawdown since its inception was -31.02%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DURPX and VOO. For additional features, visit the drawdowns tool.
Volatility
DURPX vs. VOO - Volatility Comparison
The current volatility for DFA US High Relative Profitability Portfolio (DURPX) is 3.67%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.99%. This indicates that DURPX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.