SNPE vs. DFAU
Compare and contrast key facts about Xtrackers S&P 500 ESG ETF (SNPE) and Dimensional US Core Equity Market ETF (DFAU).
SNPE and DFAU are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SNPE is a passively managed fund by Deutsche Bank that tracks the performance of the S&P 500 ESG Index. It was launched on Jun 26, 2019. DFAU is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Nov 17, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SNPE or DFAU.
Key characteristics
| SNPE | DFAU | |
|---|---|---|
| YTD Return | 26.58% | 26.02% |
| 1Y Return | 38.55% | 39.82% |
| 3Y Return (Ann) | 10.83% | 9.62% |
| Sharpe Ratio | 2.95 | 3.07 |
| Sortino Ratio | 3.92 | 4.11 |
| Omega Ratio | 1.54 | 1.58 |
| Calmar Ratio | 4.15 | 4.54 |
| Martin Ratio | 18.42 | 19.82 |
| Ulcer Index | 2.03% | 1.96% |
| Daily Std Dev | 12.67% | 12.61% |
| Max Drawdown | -33.37% | -23.61% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between SNPE and DFAU 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
SNPE vs. DFAU - Performance Comparison
The year-to-date returns for both stocks are quite close, with SNPE having a 26.58% return and DFAU slightly lower at 26.02%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SNPE vs. DFAU - Expense Ratio Comparison
SNPE has a 0.10% expense ratio, which is lower than DFAU's 0.12% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
SNPE vs. DFAU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Xtrackers S&P 500 ESG ETF (SNPE) and Dimensional US Core Equity Market ETF (DFAU). 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
SNPE vs. DFAU - Dividend Comparison
SNPE's dividend yield for the trailing twelve months is around 1.11%, more than DFAU's 1.02% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
SNPE Xtrackers S&P 500 ESG ETF | 1.11% | 1.32% | 1.65% | 1.08% | 1.43% | 1.20% |
DFAU Dimensional US Core Equity Market ETF | 1.02% | 1.29% | 1.40% | 1.00% | 0.13% | 0.00% |
Drawdowns
SNPE vs. DFAU - Drawdown Comparison
The maximum SNPE drawdown since its inception was -33.37%, which is greater than DFAU's maximum drawdown of -23.61%. Use the drawdown chart below to compare losses from any high point for SNPE and DFAU. For additional features, visit the drawdowns tool.
Volatility
SNPE vs. DFAU - Volatility Comparison
Xtrackers S&P 500 ESG ETF (SNPE) and Dimensional US Core Equity Market ETF (DFAU) have volatilities of 4.10% and 4.17%, 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.