TISPX vs. DURPX
Compare and contrast key facts about TIAA-CREF S&P 500 Index Fund (TISPX) and DFA US High Relative Profitability Portfolio (DURPX).
TISPX is managed by TIAA Investments. It was launched on Oct 1, 2002. DURPX is managed by Dimensional Fund Advisors LP. It was launched on May 16, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: TISPX or DURPX.
Key characteristics
| TISPX | DURPX | |
|---|---|---|
| YTD Return | 27.09% | 25.02% |
| 1Y Return | 39.81% | 38.13% |
| 3Y Return (Ann) | 10.25% | 11.70% |
| 5Y Return (Ann) | 15.96% | 15.76% |
| Sharpe Ratio | 3.00 | 3.17 |
| Sortino Ratio | 3.84 | 4.44 |
| Omega Ratio | 1.58 | 1.59 |
| Calmar Ratio | 4.58 | 4.88 |
| Martin Ratio | 20.96 | 19.42 |
| Ulcer Index | 1.85% | 1.90% |
| Daily Std Dev | 12.88% | 11.62% |
| Max Drawdown | -55.16% | -31.02% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between TISPX and DURPX 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.
Performance
TISPX vs. DURPX - Performance Comparison
In the year-to-date period, TISPX achieves a 27.09% return, which is significantly higher than DURPX's 25.02% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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TISPX vs. DURPX - Expense Ratio Comparison
TISPX has a 0.05% expense ratio, which is lower than DURPX's 0.23% 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%.
Risk-Adjusted Performance
TISPX vs. DURPX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for TIAA-CREF S&P 500 Index Fund (TISPX) and DFA US High Relative Profitability Portfolio (DURPX). 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
TISPX vs. DURPX - Dividend Comparison
TISPX's dividend yield for the trailing twelve months is around 1.16%, less than DURPX's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TISPX TIAA-CREF S&P 500 Index Fund | 1.16% | 1.48% | 1.66% | 1.22% | 1.53% | 1.88% | 2.13% | 1.82% | 1.95% | 2.04% | 1.77% | 1.70% |
DURPX DFA US High Relative Profitability Portfolio | 1.18% | 1.49% | 1.63% | 1.19% | 1.35% | 1.36% | 1.70% | 0.77% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
TISPX vs. DURPX - Drawdown Comparison
The maximum TISPX drawdown since its inception was -55.16%, which is greater than DURPX's maximum drawdown of -31.02%. Use the drawdown chart below to compare losses from any high point for TISPX and DURPX. For additional features, visit the drawdowns tool.
Volatility
TISPX vs. DURPX - Volatility Comparison
TIAA-CREF S&P 500 Index Fund (TISPX) has a higher volatility of 3.92% compared to DFA US High Relative Profitability Portfolio (DURPX) at 3.40%. This indicates that TISPX's price experiences larger fluctuations and is considered to be riskier than DURPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.