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TISPX vs. DURPX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

TISPX vs. DURPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TIAA-CREF S&P 500 Index Fund (TISPX) and DFA US High Relative Profitability Portfolio (DURPX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.55%
14.47%
TISPX
DURPX

Returns By Period

In the year-to-date period, TISPX achieves a 27.01% return, which is significantly higher than DURPX's 25.46% return.


TISPX

YTD

27.01%

1M

3.20%

6M

13.59%

1Y

33.08%

5Y (annualized)

15.51%

10Y (annualized)

13.22%

DURPX

YTD

25.46%

1M

3.69%

6M

14.22%

1Y

32.24%

5Y (annualized)

15.46%

10Y (annualized)

N/A

Key characteristics


TISPXDURPX
Sharpe Ratio2.602.79
Sortino Ratio3.333.91
Omega Ratio1.501.51
Calmar Ratio3.924.28
Martin Ratio17.7816.81
Ulcer Index1.86%1.92%
Daily Std Dev12.74%11.54%
Max Drawdown-55.16%-31.02%
Current Drawdown-0.17%0.00%

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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%.


DURPX
DFA US High Relative Profitability Portfolio
Expense ratio chart for DURPX: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
Expense ratio chart for TISPX: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

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.


-0.50.00.51.01.0

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.


Sharpe ratio
The chart of Sharpe ratio for TISPX, currently valued at 2.60, compared to the broader market-1.000.001.002.003.004.005.002.602.79
The chart of Sortino ratio for TISPX, currently valued at 3.33, compared to the broader market0.005.0010.003.333.91
The chart of Omega ratio for TISPX, currently valued at 1.50, compared to the broader market1.002.003.004.001.501.51
The chart of Calmar ratio for TISPX, currently valued at 3.92, compared to the broader market0.005.0010.0015.0020.0025.003.924.28
The chart of Martin ratio for TISPX, currently valued at 17.78, compared to the broader market0.0020.0040.0060.0080.00100.0017.7816.81
TISPX
DURPX

The current TISPX Sharpe Ratio is 2.60, which is comparable to the DURPX Sharpe Ratio of 2.79. The chart below compares the historical Sharpe Ratios of TISPX and DURPX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.60
2.79
TISPX
DURPX

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.


TTM20232022202120202019201820172016201520142013
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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.17%
0
TISPX
DURPX

Volatility

TISPX vs. DURPX - Volatility Comparison

TIAA-CREF S&P 500 Index Fund (TISPX) has a higher volatility of 3.96% compared to DFA US High Relative Profitability Portfolio (DURPX) at 3.67%. 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
3.96%
3.67%
TISPX
DURPX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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