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

Performance

DUSLX vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA U.S. Large Cap Growth Portfolio (DUSLX) and S&P 500 (^GSPC). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.13%
12.53%
DUSLX
^GSPC

Returns By Period

In the year-to-date period, DUSLX achieves a 27.47% return, which is significantly higher than ^GSPC's 25.15% return. Over the past 10 years, DUSLX has outperformed ^GSPC with an annualized return of 14.13%, while ^GSPC has yielded a comparatively lower 11.18% annualized return.


DUSLX

YTD

27.47%

1M

2.51%

6M

14.13%

1Y

33.20%

5Y (annualized)

16.52%

10Y (annualized)

14.13%

^GSPC

YTD

25.15%

1M

2.74%

6M

12.53%

1Y

30.93%

5Y (annualized)

13.79%

10Y (annualized)

11.18%

Key characteristics


DUSLX^GSPC
Sharpe Ratio2.672.53
Sortino Ratio3.713.39
Omega Ratio1.481.47
Calmar Ratio4.313.65
Martin Ratio15.8216.21
Ulcer Index2.11%1.91%
Daily Std Dev12.51%12.23%
Max Drawdown-30.86%-56.78%
Current Drawdown-1.00%-0.53%

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Correlation

-0.50.00.51.01.0

The correlation between DUSLX and ^GSPC 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

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.


Sharpe ratio
The chart of Sharpe ratio for DUSLX, currently valued at 2.67, compared to the broader market-1.000.001.002.003.004.005.002.672.53
The chart of Sortino ratio for DUSLX, currently valued at 3.71, compared to the broader market0.005.0010.003.713.39
The chart of Omega ratio for DUSLX, currently valued at 1.48, compared to the broader market1.002.003.004.001.481.47
The chart of Calmar ratio for DUSLX, currently valued at 4.31, compared to the broader market0.005.0010.0015.0020.004.313.65
The chart of Martin ratio for DUSLX, currently valued at 15.82, compared to the broader market0.0020.0040.0060.0080.00100.0015.8216.21
DUSLX
^GSPC

The current DUSLX Sharpe Ratio is 2.67, which is comparable to the ^GSPC Sharpe Ratio of 2.53. 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
2.67
2.53
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%JuneJulyAugustSeptemberOctoberNovember
-1.00%
-0.53%
DUSLX
^GSPC

Volatility

DUSLX vs. ^GSPC - Volatility Comparison

DFA U.S. Large Cap Growth Portfolio (DUSLX) and S&P 500 (^GSPC) have volatilities of 3.87% and 3.97%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.87%
3.97%
DUSLX
^GSPC