DUSLX vs. SPGP
Compare and contrast key facts about DFA U.S. Large Cap Growth Portfolio (DUSLX) and Invesco S&P 500 GARP ETF (SPGP).
DUSLX is managed by Dimensional Fund Advisors LP. It was launched on Dec 20, 2012. SPGP is a passively managed fund by Invesco that tracks the performance of the S&P 500 GARP Index. It was launched on Jun 16, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DUSLX or SPGP.
Performance
DUSLX vs. SPGP - Performance Comparison
Returns By Period
In the year-to-date period, DUSLX achieves a 26.89% return, which is significantly higher than SPGP's 13.77% return. Both investments have delivered pretty close results over the past 10 years, with DUSLX having a 14.09% annualized return and SPGP not far behind at 14.06%.
DUSLX
26.89%
1.00%
14.23%
32.77%
16.60%
14.09%
SPGP
13.77%
4.80%
8.03%
20.45%
14.15%
14.06%
Key characteristics
| DUSLX | SPGP | |
|---|---|---|
| Sharpe Ratio | 2.66 | 1.40 |
| Sortino Ratio | 3.71 | 1.98 |
| Omega Ratio | 1.48 | 1.25 |
| Calmar Ratio | 4.31 | 2.17 |
| Martin Ratio | 15.81 | 6.53 |
| Ulcer Index | 2.11% | 3.18% |
| Daily Std Dev | 12.51% | 14.78% |
| Max Drawdown | -30.86% | -42.08% |
| Current Drawdown | -1.45% | -0.50% |
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DUSLX vs. SPGP - Expense Ratio Comparison
DUSLX has a 0.18% expense ratio, which is lower than SPGP's 0.36% expense ratio.
Correlation
The correlation between DUSLX and SPGP is 0.85, 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. SPGP - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA U.S. Large Cap Growth Portfolio (DUSLX) and Invesco S&P 500 GARP ETF (SPGP). 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
DUSLX vs. SPGP - Dividend Comparison
DUSLX's dividend yield for the trailing twelve months is around 1.01%, less than SPGP's 1.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DUSLX DFA U.S. Large Cap Growth Portfolio | 1.01% | 1.27% | 1.52% | 1.10% | 1.43% | 1.53% | 1.90% | 1.50% | 1.72% | 1.75% | 1.49% | 1.14% |
SPGP Invesco S&P 500 GARP ETF | 1.31% | 1.24% | 1.22% | 0.69% | 1.10% | 0.86% | 0.95% | 0.68% | 0.89% | 1.12% | 1.52% | 2.11% |
Drawdowns
DUSLX vs. SPGP - Drawdown Comparison
The maximum DUSLX drawdown since its inception was -30.86%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for DUSLX and SPGP. For additional features, visit the drawdowns tool.
Volatility
DUSLX vs. SPGP - Volatility Comparison
The current volatility for DFA U.S. Large Cap Growth Portfolio (DUSLX) is 3.86%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 4.90%. This indicates that DUSLX experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.