SPSM vs. DFSCX
Compare and contrast key facts about SPDR Portfolio S&P 600 Small Cap ETF (SPSM) and DFA U.S. Micro Cap Portfolio (DFSCX).
SPSM is a passively managed fund by State Street that tracks the performance of the S&P SmallCap 600 Index. It was launched on Jul 8, 2013. DFSCX is managed by Dimensional Fund Advisors LP. It was launched on Dec 23, 1981.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SPSM or DFSCX.
Performance
SPSM vs. DFSCX - Performance Comparison
Returns By Period
In the year-to-date period, SPSM achieves a 13.04% return, which is significantly lower than DFSCX's 16.10% return. Both investments have delivered pretty close results over the past 10 years, with SPSM having a 9.15% annualized return and DFSCX not far ahead at 9.35%.
SPSM
13.04%
4.23%
11.48%
28.62%
10.30%
9.15%
DFSCX
16.10%
4.92%
12.07%
31.09%
12.55%
9.35%
Key characteristics
| SPSM | DFSCX | |
|---|---|---|
| Sharpe Ratio | 1.36 | 1.45 |
| Sortino Ratio | 2.06 | 2.20 |
| Omega Ratio | 1.24 | 1.26 |
| Calmar Ratio | 1.51 | 0.51 |
| Martin Ratio | 7.67 | 8.34 |
| Ulcer Index | 3.54% | 3.55% |
| Daily Std Dev | 19.94% | 20.40% |
| Max Drawdown | -42.89% | -97.78% |
| Current Drawdown | -4.08% | -45.71% |
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SPSM vs. DFSCX - Expense Ratio Comparison
SPSM has a 0.05% expense ratio, which is lower than DFSCX's 0.41% expense ratio.
Correlation
The correlation between SPSM and DFSCX 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
SPSM vs. DFSCX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 600 Small Cap ETF (SPSM) and DFA U.S. Micro Cap Portfolio (DFSCX). 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
SPSM vs. DFSCX - Dividend Comparison
SPSM's dividend yield for the trailing twelve months is around 1.80%, more than DFSCX's 0.97% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPSM SPDR Portfolio S&P 600 Small Cap ETF | 1.80% | 1.61% | 1.38% | 1.41% | 1.17% | 1.58% | 1.82% | 1.51% | 1.49% | 2.37% | 1.70% | 0.68% |
DFSCX DFA U.S. Micro Cap Portfolio | 0.97% | 1.04% | 1.08% | 0.92% | 0.87% | 0.81% | 0.83% | 0.78% | 0.74% | 0.89% | 0.71% | 0.52% |
Drawdowns
SPSM vs. DFSCX - Drawdown Comparison
The maximum SPSM drawdown since its inception was -42.89%, smaller than the maximum DFSCX drawdown of -97.78%. Use the drawdown chart below to compare losses from any high point for SPSM and DFSCX. For additional features, visit the drawdowns tool.
Volatility
SPSM vs. DFSCX - Volatility Comparison
The current volatility for SPDR Portfolio S&P 600 Small Cap ETF (SPSM) is 7.45%, while DFA U.S. Micro Cap Portfolio (DFSCX) has a volatility of 8.17%. This indicates that SPSM experiences smaller price fluctuations and is considered to be less risky than DFSCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.