SPGM vs. DFAI

Last updated Jun 4, 2026

SPGM (SPDR Portfolio MSCI Global Stock Market ETF) and DFAI (Dimensional International Core Equity Market ETF) are both Global Equities funds. SPGM is passively managed, while DFAI is actively managed. Over the past 5 years, SPGM returned 11.48%/yr vs 9.36%/yr for DFAI. Their correlation of 0.89 suggests significant overlap in exposure. SPGM charges 0.09%/yr vs 0.18%/yr for DFAI.

Performance

SPGM vs. DFAI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio MSCI Global Stock Market ETF (SPGM) and Dimensional International Core Equity Market ETF (DFAI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SPGM achieves a 12.88% return, which is significantly higher than DFAI's 9.16% return.

SPGM

• 1D: -0.87%
• 1M: 4.94%
• YTD: 12.88%
• 6M: 13.62%
• 1Y: 31.70%
• 3Y*: 21.46%
• 5Y*: 11.48%
• 10Y*: 12.95%

DFAI

• 1D: -0.84%
• 1M: 2.67%
• YTD: 9.16%
• 6M: 11.79%
• 1Y: 24.65%
• 3Y*: 18.12%
• 5Y*: 9.36%
• 10Y*: —

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

SPGM vs. DFAI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SPGM SPDR Portfolio MSCI Global Stock Market ETF	12.88%	23.62%	16.75%	21.34%	-17.53%	21.13%	5.46%
DFAI Dimensional International Core Equity Market ETF	9.16%	34.04%	4.68%	17.60%	-12.95%	13.86%	6.13%

Correlation

The correlation between SPGM and DFAI is 0.87, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.86
Correlation (5Y) Calculated over the trailing 5-year period	0.89
Correlation (All Time) Calculated using the full available price history since Nov 19, 2020	0.89

The correlation between SPGM and DFAI has been stable across timeframes, ranging from 0.86 to 0.89 - a consistent structural relationship.

SPGM vs. DFAI - Sectors Allocation Comparison

Sectors	SPGM	DFAI
Technology	27.4%	9.3%
Financial Services	16.4%	22.5%
Industrials	13.1%	19.5%
Consumer Cyclical	9.2%	8.6%
Communication Services	8.5%	3.7%
Healthcare	8.2%	8.8%
Consumer Defensive	4.8%	6.4%
Energy	4.5%	6.8%
Basic Materials	3.9%	8.8%
Utilities	2.2%	4.0%
Real Estate	1.9%	1.5%

Return for Risk

SPGM vs. DFAI — Risk / Return Rank

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

SPGM

SPGM Risk / Return Rank: 73
SPGM Sharpe Ratio Rank: 74
SPGM Sortino Ratio Rank: 73
SPGM Omega Ratio Rank: 74
SPGM Calmar Ratio Rank: 66
SPGM Martin Ratio Rank: 77

DFAI

DFAI Risk / Return Rank: 49
DFAI Sharpe Ratio Rank: 50
DFAI Sortino Ratio Rank: 50
DFAI Omega Ratio Rank: 50
DFAI Calmar Ratio Rank: 45
DFAI Martin Ratio Rank: 52

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.

SPGM vs. DFAI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio MSCI Global Stock Market ETF (SPGM) and Dimensional International Core Equity Market ETF (DFAI). 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.

	SPGM	DFAI	Difference
Sharpe ratio Return per unit of total volatility	2.47	1.76	+0.71
Sortino ratio Return per unit of downside risk	3.39	2.49	+0.90
Omega ratio Gain probability vs. loss probability	1.45	1.32	+0.13
Calmar ratio Return relative to maximum drawdown	3.35	2.26	+1.09
Martin ratio Return relative to average drawdown	15.14	8.87	+6.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SPGM vs. DFAI - Sharpe Ratio Comparison

The current SPGM Sharpe Ratio is 2.47, which is higher than the DFAI Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of SPGM and DFAI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SPGM	DFAI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.47	1.76	+0.71
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.72	0.59	+0.13
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.74	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.66	0.78	-0.12

Drawdowns

SPGM vs. DFAI - Drawdown Comparison

The maximum SPGM drawdown since its inception was -33.97%, which is greater than DFAI's maximum drawdown of -27.44%. Use the drawdown chart below to compare losses from any high point for SPGM and DFAI.

Drawdown Indicators

	SPGM	DFAI	Difference
Max Drawdown Largest peak-to-trough decline	-33.97%	-27.44%	-6.53%
Max Drawdown (1Y) Largest decline over 1 year	-9.50%	-10.95%	+1.45%
Max Drawdown (3Y) Largest decline over 3 years	-16.90%	-13.25%	-3.65%
Max Drawdown (5Y) Largest decline over 5 years	-25.93%	-27.44%	+1.51%
Max Drawdown (10Y) Largest decline over 10 years	-33.97%	—	—
Current Drawdown Current decline from peak	-0.87%	-1.61%	+0.74%
Average Drawdown Average peak-to-trough decline	-4.81%	-5.12%	+0.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.10%	2.79%	-0.69%

Volatility

SPGM vs. DFAI - Volatility Comparison

The current volatility for SPDR Portfolio MSCI Global Stock Market ETF (SPGM) is 3.92%, while Dimensional International Core Equity Market ETF (DFAI) has a volatility of 4.45%. This indicates that SPGM experiences smaller price fluctuations and is considered to be less risky than DFAI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SPGM	DFAI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.92%	4.45%	-0.53%
Volatility (6M) Calculated over the trailing 6-month period	10.35%	11.68%	-1.33%
Volatility (1Y) Calculated over the trailing 1-year period	12.88%	14.08%	-1.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.03%	15.92%	+0.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.57%	15.70%	+1.87%

SPGM vs. DFAI - Expense Ratio Comparison

SPGM has a 0.09% expense ratio, which is lower than DFAI's 0.18% 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

SPGM vs. DFAI - Dividend Comparison

SPGM's dividend yield for the trailing twelve months is around 1.79%, less than DFAI's 2.26% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFAI Dimensional International Core Equity Market ETF	2.26%	2.45%	2.72%	2.64%	2.72%	2.06%	0.09%	0.00%	0.00%	0.00%	0.00%	0.00%
SPGM SPDR Portfolio MSCI Global Stock Market ETF	1.79%	1.89%	1.98%	2.09%	2.37%	1.94%	1.45%	2.46%	1.89%	2.29%	1.87%	3.70%

Frequently Asked Questions

Can I hold both SPGM and DFAI in my portfolio?

SPGM and DFAI have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPGM or DFAI?

DFAI has higher volatility (4.45%) compared to SPGM (3.92%). In terms of maximum drawdown, SPGM dropped -33.97% vs DFAI's -27.44%.

Which ETF is better, SPGM or DFAI?

On 5-year performance, SPGM leads with 11.48% vs 9.36% for DFAI. On fees, SPGM is cheaper at 0.09% per year. On volatility, SPGM has been the lower-risk option at 3.92%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPGM or DFAI?

Over the 5-year period, SPGM has performed better with a 11.48% return vs 9.36%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPGM or DFAI?

SPGM is cheaper with a 0.09% expense ratio, compared with 0.18% for DFAI.

Which ETF pays a higher dividend yield, SPGM or DFAI?

DFAI has the higher dividend yield at 2.26%, compared with 1.79% for SPGM.

What is the main difference between SPGM and DFAI?

They also come from different issuers: State Street and Dimensional. Their fees differ too: 0.09% for SPGM and 0.18% for DFAI.

Which has better risk-adjusted returns?

SPGM currently has the higher Sharpe Ratio (2.47 vs 1.76), 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.