SVPFX vs. DFIEX
Compare and contrast key facts about Goldman Sachs Strategic Volatility Premium Fund (SVPFX) and DFA International Core Equity Portfolio I (DFIEX).
SVPFX is managed by Goldman Sachs. It was launched on Mar 28, 2021. DFIEX is managed by Dimensional. It was launched on Sep 15, 2005.
Performance
SVPFX vs. DFIEX - Performance Comparison
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SVPFX vs. DFIEX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 0.97% | 4.19% | 3.82% | 5.30% | -4.37% | 0.78% |
DFIEX DFA International Core Equity Portfolio I | 2.80% | 36.18% | 3.99% | 17.50% | -13.51% | 4.94% |
Returns By Period
In the year-to-date period, SVPFX achieves a 0.97% return, which is significantly lower than DFIEX's 2.80% return.
SVPFX
- 1D
- 0.10%
- 1M
- -0.15%
- YTD
- 0.97%
- 6M
- 2.58%
- 1Y
- 3.37%
- 3Y*
- 4.12%
- 5Y*
- —
- 10Y*
- —
DFIEX
- 1D
- 3.02%
- 1M
- -6.42%
- YTD
- 2.80%
- 6M
- 8.00%
- 1Y
- 30.46%
- 3Y*
- 16.74%
- 5Y*
- 9.40%
- 10Y*
- 9.64%
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SVPFX vs. DFIEX - Expense Ratio Comparison
SVPFX has a 0.38% expense ratio, which is higher than DFIEX's 0.24% expense ratio.
Return for Risk
SVPFX vs. DFIEX — Risk / Return Rank
SVPFX
DFIEX
SVPFX vs. DFIEX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Strategic Volatility Premium Fund (SVPFX) and DFA International Core Equity Portfolio I (DFIEX). 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.
| SVPFX | DFIEX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.48 | 1.95 | -1.47 |
Sortino ratioReturn per unit of downside risk | 0.66 | 2.55 | -1.88 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.39 | -0.19 |
Calmar ratioReturn relative to maximum drawdown | 0.61 | 2.57 | -1.96 |
Martin ratioReturn relative to average drawdown | 3.32 | 10.07 | -6.75 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SVPFX | DFIEX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.48 | 1.95 | -1.47 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.60 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.59 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.38 | 0.35 | +0.03 |
Correlation
The correlation between SVPFX and DFIEX is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
SVPFX vs. DFIEX - Dividend Comparison
SVPFX's dividend yield for the trailing twelve months is around 2.48%, less than DFIEX's 3.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 2.48% | 1.83% | 4.37% | 4.29% | 0.76% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DFIEX DFA International Core Equity Portfolio I | 3.14% | 3.22% | 3.42% | 3.36% | 2.88% | 2.98% | 1.77% | 2.90% | 2.95% | 2.49% | 2.76% | 4.20% |
Drawdowns
SVPFX vs. DFIEX - Drawdown Comparison
The maximum SVPFX drawdown since its inception was -6.37%, smaller than the maximum DFIEX drawdown of -62.22%. Use the drawdown chart below to compare losses from any high point for SVPFX and DFIEX.
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Drawdown Indicators
| SVPFX | DFIEX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -6.37% | -62.22% | +55.85% |
Max Drawdown (1Y)Largest decline over 1 year | -5.22% | -11.01% | +5.79% |
Max Drawdown (5Y)Largest decline over 5 years | — | -28.66% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -41.04% | — |
Current DrawdownCurrent decline from peak | -0.35% | -7.75% | +7.40% |
Average DrawdownAverage peak-to-trough decline | -1.99% | -12.26% | +10.27% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.98% | 2.81% | -1.83% |
Volatility
SVPFX vs. DFIEX - Volatility Comparison
The current volatility for Goldman Sachs Strategic Volatility Premium Fund (SVPFX) is 0.85%, while DFA International Core Equity Portfolio I (DFIEX) has a volatility of 7.09%. This indicates that SVPFX experiences smaller price fluctuations and is considered to be less risky than DFIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SVPFX | DFIEX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.85% | 7.09% | -6.24% |
Volatility (6M)Calculated over the trailing 6-month period | 1.37% | 10.45% | -9.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.01% | 15.90% | -7.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.59% | 15.65% | -10.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.59% | 16.35% | -10.76% |