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DUSLX vs. ^GSPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


DUSLX^GSPC
YTD Return28.76%25.70%
1Y Return40.95%37.91%
3Y Return (Ann)12.26%8.59%
5Y Return (Ann)17.04%14.18%
10Y Return (Ann)14.49%11.41%
Sharpe Ratio3.162.97
Sortino Ratio4.383.97
Omega Ratio1.571.56
Calmar Ratio5.133.93
Martin Ratio19.1719.39
Ulcer Index2.07%1.90%
Daily Std Dev12.57%12.38%
Max Drawdown-30.86%-56.78%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.01.0

The correlation between DUSLX and ^GSPC is 0.97, 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

DUSLX vs. ^GSPC - Performance Comparison

In the year-to-date period, DUSLX achieves a 28.76% return, which is significantly higher than ^GSPC's 25.70% return. Over the past 10 years, DUSLX has outperformed ^GSPC with an annualized return of 14.49%, while ^GSPC has yielded a comparatively lower 11.41% annualized 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
17.10%
14.80%
DUSLX
^GSPC

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Risk-Adjusted Performance

DUSLX vs. ^GSPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Cap Growth Portfolio (DUSLX) and S&P 500 (^GSPC). 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.


DUSLX
Sharpe ratio
The chart of Sharpe ratio for DUSLX, currently valued at 3.16, compared to the broader market0.002.004.003.16
Sortino ratio
The chart of Sortino ratio for DUSLX, currently valued at 4.38, compared to the broader market0.005.0010.004.38
Omega ratio
The chart of Omega ratio for DUSLX, currently valued at 1.57, compared to the broader market1.002.003.004.001.57
Calmar ratio
The chart of Calmar ratio for DUSLX, currently valued at 5.13, compared to the broader market0.005.0010.0015.0020.0025.005.13
Martin ratio
The chart of Martin ratio for DUSLX, currently valued at 19.17, compared to the broader market0.0020.0040.0060.0080.00100.0019.17
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.97, compared to the broader market0.002.004.002.97
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.97, compared to the broader market0.005.0010.003.97
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.56, compared to the broader market1.002.003.004.001.56
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.93, compared to the broader market0.005.0010.0015.0020.0025.003.93
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.39, compared to the broader market0.0020.0040.0060.0080.00100.0019.39

DUSLX vs. ^GSPC - Sharpe Ratio Comparison

The current DUSLX Sharpe Ratio is 3.16, which is comparable to the ^GSPC Sharpe Ratio of 2.97. The chart below compares the historical Sharpe Ratios of DUSLX and ^GSPC, 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
3.16
2.97
DUSLX
^GSPC

Drawdowns

DUSLX vs. ^GSPC - Drawdown Comparison

The maximum DUSLX drawdown since its inception was -30.86%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DUSLX and ^GSPC. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
DUSLX
^GSPC

Volatility

DUSLX vs. ^GSPC - Volatility Comparison

The current volatility for DFA U.S. Large Cap Growth Portfolio (DUSLX) is 3.63%, while S&P 500 (^GSPC) has a volatility of 3.92%. This indicates that DUSLX experiences smaller price fluctuations and is considered to be less risky than ^GSPC 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%JuneJulyAugustSeptemberOctoberNovember
3.63%
3.92%
DUSLX
^GSPC