SPHQ vs. DFAI

Last updated Jun 16, 2026

SPHQ (Invesco S&P 500 Quality ETF) and DFAI (Dimensional International Core Equity Market ETF) are both exchange-traded funds - SPHQ is a S&P 500 fund tracking the S&P 500 Quality Index, while DFAI is a Foreign Large Cap Equities fund actively managed by Dimensional. SPHQ is passively managed, while DFAI is actively managed. Over the past 5 years, SPHQ returned 15.06%/yr vs 9.68%/yr for DFAI. A 0.75 correlation means they provide meaningful diversification when combined. SPHQ charges 0.15%/yr vs 0.18%/yr for DFAI.

Performance

SPHQ vs. DFAI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500 Quality ETF (SPHQ) 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, SPHQ achieves a 18.64% return, which is significantly higher than DFAI's 10.55% return.

SPHQ

• 1D: 1.58%
• 1M: 7.41%
• YTD: 18.64%
• 6M: 17.69%
• 1Y: 28.53%
• 3Y*: 22.52%
• 5Y*: 15.06%
• 10Y*: 15.47%

DFAI

• 1D: 0.45%
• 1M: 2.91%
• YTD: 10.55%
• 6M: 11.38%
• 1Y: 25.58%
• 3Y*: 17.58%
• 5Y*: 9.68%
• 10Y*: —

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

SPHQ vs. DFAI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
SPHQ Invesco S&P 500 Quality ETF	18.64%	13.25%	25.44%	24.83%	-15.76%	28.03%	4.21%
DFAI Dimensional International Core Equity Market ETF	10.55%	34.04%	4.68%	17.60%	-12.95%	13.86%	5.34%

Correlation

The correlation between SPHQ and DFAI is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (All Time) Calculated using the full available price history since Nov 18, 2020	0.75

The correlation between SPHQ and DFAI has been stable across timeframes, ranging from 0.69 to 0.75 - a consistent structural relationship.

SPHQ vs. DFAI - Sectors Allocation Comparison

Sectors	SPHQ	DFAI
Technology	33.1%	7.7%
Industrials	20.7%	18.4%
Consumer Defensive	14.7%	6.4%
Financial Services	12.6%	23.5%
Healthcare	8.0%	8.5%
Consumer Cyclical	4.4%	9.0%
Utilities	3.4%	4.0%
Basic Materials	2.0%	10.0%
Energy	0.7%	7.2%
Communication Services	0.4%	3.5%
Real Estate	-	1.4%

Return for Risk

SPHQ vs. DFAI — Risk / Return Rank

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

SPHQ

SPHQ Risk / Return Rank: 75
SPHQ Sharpe Ratio Rank: 76
SPHQ Sortino Ratio Rank: 79
SPHQ Omega Ratio Rank: 71
SPHQ Calmar Ratio Rank: 70
SPHQ Martin Ratio Rank: 79

DFAI

DFAI Risk / Return Rank: 56
DFAI Sharpe Ratio Rank: 58
DFAI Sortino Ratio Rank: 58
DFAI Omega Ratio Rank: 58
DFAI Calmar Ratio Rank: 52
DFAI Martin Ratio Rank: 57

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.

SPHQ vs. DFAI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Quality ETF (SPHQ) 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.

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.

	SPHQ	DFAI	Difference
Sharpe ratio: Return per unit of total volatility	2.18	1.77	+0.42
Sortino ratio: Return per unit of downside risk	3.13	2.48	+0.64
Omega ratio: Gain probability vs. loss probability	1.37	1.32	+0.06
Calmar ratio: Return relative to maximum drawdown	3.22	2.35	+0.87
Martin ratio: Return relative to average drawdown	13.80	9.14	+4.66

SPHQ vs. DFAI - Sharpe Ratio Comparison

The current SPHQ Sharpe Ratio is 2.18, which is comparable to the DFAI Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of SPHQ 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.

Drawdowns

SPHQ vs. DFAI - Drawdown Comparison

The maximum SPHQ drawdown since its inception was -57.83%, which is greater than DFAI's maximum drawdown of -27.44%. Use the drawdown chart below to compare losses from any high point for SPHQ and DFAI.

Drawdown Indicators

	SPHQ	DFAI	Difference
Max Drawdown Largest peak-to-trough decline	-57.83%	-27.44%	-30.39%
Max Drawdown (1Y) Largest decline over 1 year	-8.90%	-10.95%	+2.05%
Max Drawdown (3Y) Largest decline over 3 years	-16.57%	-13.25%	-3.32%
Max Drawdown (5Y) Largest decline over 5 years	-25.04%	-27.44%	+2.40%
Max Drawdown (10Y) Largest decline over 10 years	-31.60%	—	—
Current Drawdown Current decline from peak	0.00%	-0.35%	+0.35%
Average Drawdown Average peak-to-trough decline	-10.68%	-5.10%	-5.58%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.07%	2.81%	-0.74%

Volatility

SPHQ vs. DFAI - Volatility Comparison

Invesco S&P 500 Quality ETF (SPHQ) and Dimensional International Core Equity Market ETF (DFAI) have volatilities of 5.05% and 5.12%, 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

	SPHQ	DFAI	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.05%	5.12%	-0.07%
Volatility (6M) Calculated over the trailing 6-month period	10.88%	12.28%	-1.40%
Volatility (1Y) Calculated over the trailing 1-year period	13.16%	14.58%	-1.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.55%	16.01%	+0.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.91%	15.74%	+2.17%

SPHQ vs. DFAI - Expense Ratio Comparison

SPHQ has a 0.15% 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

SPHQ vs. DFAI - Dividend Comparison

SPHQ's dividend yield for the trailing twelve months is around 1.01%, less than DFAI's 2.23% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFAI Dimensional International Core Equity Market ETF	2.23%	2.45%	2.72%	2.64%	2.72%	2.06%	0.09%	0.00%	0.00%	0.00%	0.00%	0.00%
SPHQ Invesco S&P 500 Quality ETF	1.01%	1.09%	1.15%	1.42%	1.85%	1.19%	1.55%	1.51%	1.85%	1.57%	1.67%	2.29%

Frequently Asked Questions

Can I hold both SPHQ and DFAI in my portfolio?

SPHQ and DFAI have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPHQ or DFAI?

DFAI has higher volatility (5.12%) compared to SPHQ (5.05%). In terms of maximum drawdown, SPHQ dropped -57.83% vs DFAI's -27.44%.

Which ETF is better, SPHQ or DFAI?

On 5-year performance, SPHQ leads with 15.06% vs 9.68% for DFAI. On fees, SPHQ is cheaper at 0.15% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPHQ or DFAI?

Over the 5-year period, SPHQ has performed better with a 15.06% return vs 9.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPHQ or DFAI?

SPHQ is cheaper with a 0.15% expense ratio, compared with 0.18% for DFAI.

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

DFAI has the higher dividend yield at 2.23%, compared with 1.01% for SPHQ.

What is the main difference between SPHQ and DFAI?

SPHQ is categorized as S&P 500, while DFAI is Foreign Large Cap Equities. They also come from different issuers: Invesco and Dimensional. Their fees differ too: 0.15% for SPHQ and 0.18% for DFAI.

Which has better risk-adjusted returns?

SPHQ currently has the higher Sharpe Ratio (2.18 vs 1.77), 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.