SNPE vs. DFAU

Last updated Jun 24, 2026

SNPE (Xtrackers S&P 500 ESG ETF) and DFAU (Dimensional US Core Equity Market ETF) are both exchange-traded funds - SNPE is a S&P 500 fund tracking the S&P 500 ESG Index, while DFAU is a Large Cap Blend Equities fund actively managed by Dimensional. SNPE is passively managed, while DFAU is actively managed. Over the past 5 years, SNPE returned 13.94%/yr vs 12.38%/yr for DFAU. With a 0.97 correlation, they move nearly in lockstep. SNPE charges 0.10%/yr vs 0.12%/yr for DFAU.

Performance

SNPE vs. DFAU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Xtrackers S&P 500 ESG ETF (SNPE) and Dimensional US Core Equity Market ETF (DFAU). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with SNPE having a 8.65% return and DFAU slightly higher at 8.85%.

SNPE

• 1D: -1.60%
• 1M: -0.30%
• YTD: 8.65%
• 6M: 7.98%
• 1Y: 27.55%
• 3Y*: 20.76%
• 5Y*: 13.94%
• 10Y*: —

DFAU

• 1D: -1.55%
• 1M: -0.82%
• YTD: 8.85%
• 6M: 7.70%
• 1Y: 24.46%
• 3Y*: 20.24%
• 5Y*: 12.38%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

SNPE vs. DFAU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SNPE Xtrackers S&P 500 ESG ETF	8.65%	18.56%	23.85%	27.79%	-17.67%	31.43%	3.92%
DFAU Dimensional US Core Equity Market ETF	8.85%	16.78%	23.17%	24.79%	-16.99%	26.89%	4.87%

Correlation

The correlation between SNPE and DFAU is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.96
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (All Time) Calculated using the full available price history since Nov 18, 2020	0.97

The correlation between SNPE and DFAU has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.

SNPE vs. DFAU - Sectors Allocation Comparison

Sectors	SNPE	DFAU
Technology	38.0%	36.0%
Communication Services	12.6%	9.8%
Financial Services	12.3%	12.1%
Healthcare	10.6%	8.3%
Industrials	8.2%	10.1%
Consumer Defensive	5.1%	4.4%
Consumer Cyclical	5.0%	10.6%
Energy	2.7%	4.1%
Real Estate	2.2%	0.1%
Basic Materials	2.0%	2.4%
Utilities	1.4%	2.3%

Return for Risk

SNPE vs. DFAU — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

SNPE

SNPE Risk / Return Rank: 70
SNPE Sharpe Ratio Rank: 72
SNPE Sortino Ratio Rank: 70
SNPE Omega Ratio Rank: 70
SNPE Calmar Ratio Rank: 62
SNPE Martin Ratio Rank: 74

DFAU

DFAU Risk / Return Rank: 62
DFAU Sharpe Ratio Rank: 61
DFAU Sortino Ratio Rank: 58
DFAU Omega Ratio Rank: 59
DFAU Calmar Ratio Rank: 60
DFAU Martin Ratio Rank: 70

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

SNPE vs. DFAU - Risk-Adjusted Trends 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	SNPE	DFAU	Difference
Sharpe ratio: Return per unit of total volatility	2.18	1.93	+0.25
Sortino ratio: Return per unit of downside risk	3.01	2.63	+0.38
Omega ratio: Gain probability vs. loss probability	1.39	1.35	+0.04
Calmar ratio: Return relative to maximum drawdown	2.92	2.83	+0.09
Martin ratio: Return relative to average drawdown	13.28	12.54	+0.73

SNPE vs. DFAU - Sharpe Ratio Comparison

The current SNPE Sharpe Ratio is 2.18, which is comparable to the DFAU Sharpe Ratio of 1.93. The chart below compares the historical Sharpe Ratios of SNPE and DFAU, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	SNPE	DFAU	Difference
Max Drawdown Largest peak-to-trough decline	-33.37%	-23.61%	-9.76%
Max Drawdown (1Y) Largest decline over 1 year	-9.46%	-8.67%	-0.79%
Max Drawdown (3Y) Largest decline over 3 years	-19.15%	-19.36%	+0.21%
Max Drawdown (5Y) Largest decline over 5 years	-24.65%	-23.61%	-1.04%
Current Drawdown Current decline from peak	-2.45%	-2.87%	+0.42%
Average Drawdown Average peak-to-trough decline	-4.93%	-4.96%	+0.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.08%	1.95%	+0.13%

Volatility

SNPE vs. DFAU - Volatility Comparison

Xtrackers S&P 500 ESG ETF (SNPE) and Dimensional US Core Equity Market ETF (DFAU) have volatilities of 5.18% and 4.95%, 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.

Volatility by Period

	SNPE	DFAU	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.18%	4.95%	+0.23%
Volatility (6M) Calculated over the trailing 6-month period	10.18%	9.98%	+0.20%
Volatility (1Y) Calculated over the trailing 1-year period	12.71%	12.72%	-0.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.21%	17.12%	+0.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.68%	16.78%	+2.90%

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%.

Dividends

SNPE vs. DFAU - Dividend Comparison

SNPE's dividend yield for the trailing twelve months is around 0.97%, more than DFAU's 0.92% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
DFAU Dimensional US Core Equity Market ETF	0.92%	0.95%	1.10%	1.29%	1.40%	1.00%	0.13%	0.00%
SNPE Xtrackers S&P 500 ESG ETF	0.97%	1.01%	1.17%	1.32%	1.65%	1.08%	1.42%	1.20%

Frequently Asked Questions

Can I hold both SNPE and DFAU in my portfolio?

With a correlation of 0.96, SNPE and DFAU move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, SNPE or DFAU?

SNPE has higher volatility (5.18%) compared to DFAU (4.95%). In terms of maximum drawdown, SNPE dropped -33.37% vs DFAU's -23.61%.

Which ETF is better, SNPE or DFAU?

On 5-year performance, SNPE leads with 13.94% vs 12.38% for DFAU. On fees, SNPE is cheaper at 0.10% per year. On volatility, DFAU has been the lower-risk option at 4.95%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SNPE or DFAU?

Over the 5-year period, SNPE has performed better with a 13.94% return vs 12.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SNPE or DFAU?

SNPE is cheaper with a 0.10% expense ratio, compared with 0.12% for DFAU.

Which ETF pays a higher dividend yield, SNPE or DFAU?

SNPE has the higher dividend yield at 0.97%, compared with 0.92% for DFAU.

What is the main difference between SNPE and DFAU?

SNPE is categorized as S&P 500, while DFAU is Large Cap Blend Equities. They also come from different issuers: Deutsche Bank and Dimensional. Their fees differ too: 0.10% for SNPE and 0.12% for DFAU.

Which has better risk-adjusted returns?

SNPE currently has the higher Sharpe Ratio (2.18 vs 1.93), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.