DUSLX vs. ^GSPC
Compare and contrast key facts about DFA U.S. Large Cap Growth Portfolio (DUSLX) and S&P 500 (^GSPC).
DUSLX is managed by Dimensional Fund Advisors LP. It was launched on Dec 20, 2012.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DUSLX or ^GSPC.
Performance
DUSLX vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, DUSLX achieves a 25.60% return, which is significantly higher than ^GSPC's 24.05% return. Over the past 10 years, DUSLX has outperformed ^GSPC with an annualized return of 14.03%, while ^GSPC has yielded a comparatively lower 11.14% annualized return.
DUSLX
25.60%
-0.49%
12.39%
31.69%
16.44%
14.03%
^GSPC
24.05%
0.89%
11.19%
30.12%
13.82%
11.14%
Key characteristics
| DUSLX | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.61 | 2.54 |
| Sortino Ratio | 3.64 | 3.40 |
| Omega Ratio | 1.47 | 1.47 |
| Calmar Ratio | 4.22 | 3.66 |
| Martin Ratio | 15.54 | 16.28 |
| Ulcer Index | 2.10% | 1.91% |
| Daily Std Dev | 12.51% | 12.25% |
| Max Drawdown | -30.86% | -56.78% |
| Current Drawdown | -2.45% | -1.41% |
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Correlation
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.
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.
Volatility
DUSLX vs. ^GSPC - Volatility Comparison
DFA U.S. Large Cap Growth Portfolio (DUSLX) and S&P 500 (^GSPC) have volatilities of 3.88% and 4.07%, 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.