WFRPX vs. SPY
Compare and contrast key facts about Wealthfront Risk Parity Fund Class W (WFRPX) and SPDR S&P 500 ETF (SPY).
WFRPX is managed by Wealthfront. It was launched on Jan 22, 2018. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WFRPX or SPY.
Key characteristics
| WFRPX | SPY | |
|---|---|---|
| YTD Return | -2.38% | 6.66% |
| 1Y Return | 0.87% | 26.26% |
| 3Y Return (Ann) | -5.51% | 8.24% |
| 5Y Return (Ann) | -1.54% | 13.33% |
| Sharpe Ratio | 0.04 | 2.06 |
| Daily Std Dev | 11.32% | 11.78% |
| Max Drawdown | -42.76% | -55.19% |
| Current Drawdown | -24.17% | -3.39% |
Correlation
The correlation between WFRPX and SPY is 0.73, 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
WFRPX vs. SPY - Performance Comparison
In the year-to-date period, WFRPX achieves a -2.38% return, which is significantly lower than SPY's 6.66% 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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WFRPX vs. SPY - Expense Ratio Comparison
WFRPX has a 0.25% expense ratio, which is higher than SPY's 0.09% expense ratio. However, 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
WFRPX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Wealthfront Risk Parity Fund Class W (WFRPX) and SPDR S&P 500 ETF (SPY). 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
WFRPX vs. SPY - Dividend Comparison
WFRPX's dividend yield for the trailing twelve months is around 4.98%, more than SPY's 1.33% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
WFRPX Wealthfront Risk Parity Fund Class W | 4.98% | 4.86% | 1.31% | 3.02% | 0.29% | 3.63% | 1.33% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.33% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
WFRPX vs. SPY - Drawdown Comparison
The maximum WFRPX drawdown since its inception was -42.76%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for WFRPX and SPY. For additional features, visit the drawdowns tool.
Volatility
WFRPX vs. SPY - Volatility Comparison
Wealthfront Risk Parity Fund Class W (WFRPX) has a higher volatility of 3.74% compared to SPDR S&P 500 ETF (SPY) at 3.54%. This indicates that WFRPX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.