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DFA Emerging Markets Small Cap Portfolio (DEMSX)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISIN

US2332036118

Issuer

Dimensional Fund Advisors LP

Inception Date

Mar 4, 1998

Min. Investment

$0

Asset Class

Multi-Asset

Asset Class Size

Mid-Cap

Asset Class Style

Value

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Popular comparisons:
DEMSX vs. DFESX DEMSX vs. DISVX DEMSX vs. HSCZ DEMSX vs. DEMGX DEMSX vs. VTI DEMSX vs. VINIX DEMSX vs. VOO DEMSX vs. DGS DEMSX vs. VWO DEMSX vs. DFEVX
Popular comparisons:
DEMSX vs. DFESX DEMSX vs. DISVX DEMSX vs. HSCZ DEMSX vs. DEMGX DEMSX vs. VTI DEMSX vs. VINIX DEMSX vs. VOO DEMSX vs. DGS DEMSX vs. VWO DEMSX vs. DFEVX

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in DFA Emerging Markets Small Cap Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-0.13%
12.92%
DEMSX (DFA Emerging Markets Small Cap Portfolio)
Benchmark (^GSPC)

Returns By Period

DFA Emerging Markets Small Cap Portfolio had a return of 5.17% year-to-date (YTD) and 9.61% in the last 12 months. Over the past 10 years, DFA Emerging Markets Small Cap Portfolio had an annualized return of 5.41%, while the S&P 500 had an annualized return of 11.16%, indicating that DFA Emerging Markets Small Cap Portfolio did not perform as well as the benchmark.


DEMSX

YTD

5.17%

1M

-3.12%

6M

-0.13%

1Y

9.61%

5Y (annualized)

7.69%

10Y (annualized)

5.41%

^GSPC (Benchmark)

YTD

24.72%

1M

1.67%

6M

12.93%

1Y

30.55%

5Y (annualized)

13.88%

10Y (annualized)

11.16%

Monthly Returns

The table below presents the monthly returns of DEMSX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-3.51%3.36%0.75%2.05%1.67%1.38%0.25%0.79%5.41%-4.32%5.17%
20236.57%-3.53%1.70%0.52%-0.99%4.49%4.99%-3.23%-1.85%-4.08%8.12%3.43%16.32%
2022-3.21%-1.28%0.00%-5.12%0.40%-7.28%1.15%0.57%-10.46%-0.42%12.05%-1.24%-15.30%
2021-1.21%5.68%2.64%5.00%2.00%3.12%-2.56%1.43%-3.00%-0.15%-2.65%3.92%14.61%
2020-5.18%-5.97%-23.24%13.95%2.58%8.24%7.61%2.94%-0.67%-0.15%12.20%6.62%13.82%
20197.36%0.30%1.04%0.93%-4.96%5.04%-2.44%-4.20%1.90%3.83%-0.90%6.92%14.89%
20186.54%-4.25%-0.57%-0.99%-2.21%-6.74%1.60%-2.93%-3.21%-9.48%6.14%-1.84%-17.55%
20175.82%5.25%3.10%1.27%0.37%0.62%4.19%2.30%-0.49%2.85%1.53%4.02%35.30%
2016-5.97%-0.42%12.31%2.50%-4.18%5.55%5.81%0.60%1.63%-0.39%-6.08%0.57%10.95%
20151.61%2.57%-0.77%7.10%-1.41%-3.43%-6.11%-9.81%-0.15%5.53%-2.05%-0.90%-8.66%
2014-4.28%4.42%3.43%0.82%3.39%2.57%0.23%3.06%-4.99%-0.88%-1.17%-3.10%2.97%
20131.84%1.02%-0.47%2.03%-1.45%-8.66%0.46%-4.18%7.31%3.84%-1.42%-0.84%-1.39%

Expense Ratio

DEMSX features an expense ratio of 0.59%, falling within the medium range.


Expense ratio chart for DEMSX: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of DEMSX is 19, indicating that it is in the bottom 19% of mutual funds on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of DEMSX is 1919
Combined Rank
The Sharpe Ratio Rank of DEMSX is 1111
Sharpe Ratio Rank
The Sortino Ratio Rank of DEMSX is 1010
Sortino Ratio Rank
The Omega Ratio Rank of DEMSX is 1111
Omega Ratio Rank
The Calmar Ratio Rank of DEMSX is 5050
Calmar Ratio Rank
The Martin Ratio Rank of DEMSX is 1313
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for DFA Emerging Markets Small Cap Portfolio (DEMSX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


Sharpe ratio
The chart of Sharpe ratio for DEMSX, currently valued at 0.81, compared to the broader market-1.000.001.002.003.004.005.000.812.54
The chart of Sortino ratio for DEMSX, currently valued at 1.11, compared to the broader market0.005.0010.001.113.40
The chart of Omega ratio for DEMSX, currently valued at 1.15, compared to the broader market1.002.003.004.001.151.47
The chart of Calmar ratio for DEMSX, currently valued at 1.06, compared to the broader market0.005.0010.0015.0020.0025.001.063.66
The chart of Martin ratio for DEMSX, currently valued at 3.32, compared to the broader market0.0020.0040.0060.0080.00100.003.3216.26
DEMSX
^GSPC

The current DFA Emerging Markets Small Cap Portfolio Sharpe ratio is 0.81. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of DFA Emerging Markets Small Cap Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.81
2.54
DEMSX (DFA Emerging Markets Small Cap Portfolio)
Benchmark (^GSPC)

Dividends

Dividend History

DFA Emerging Markets Small Cap Portfolio provided a 3.23% dividend yield over the last twelve months, with an annual payout of $0.76 per share.


2.20%2.40%2.60%2.80%3.00%3.20%3.40%$0.00$0.20$0.40$0.60$0.8020132014201520162017201820192020202120222023
Dividends
Dividend Yield
PeriodTTM20232022202120202019201820172016201520142013
Dividend$0.76$0.67$0.50$0.84$0.52$0.52$0.41$0.60$0.48$0.43$0.43$0.44

Dividend yield

3.23%2.94%2.45%3.36%2.25%2.48%2.16%2.50%2.59%2.44%2.15%2.17%

Monthly Dividends

The table displays the monthly dividend distributions for DFA Emerging Markets Small Cap Portfolio. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$0.02$0.00$0.00$0.12$0.00$0.00$0.32$0.00$0.00$0.46
2023$0.00$0.00$0.01$0.00$0.00$0.13$0.00$0.00$0.22$0.00$0.00$0.31$0.67
2022$0.00$0.00$0.03$0.00$0.00$0.13$0.00$0.00$0.21$0.00$0.00$0.13$0.50
2021$0.00$0.00$0.03$0.00$0.00$0.03$0.00$0.00$0.15$0.00$0.00$0.63$0.84
2020$0.00$0.00$0.00$0.00$0.00$0.05$0.00$0.00$0.11$0.00$0.00$0.36$0.52
2019$0.00$0.00$0.00$0.00$0.00$0.04$0.00$0.00$0.21$0.00$0.00$0.28$0.52
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.19$0.00$0.00$0.22$0.41
2017$0.00$0.00$0.00$0.00$0.00$0.07$0.00$0.00$0.20$0.00$0.00$0.34$0.60
2016$0.00$0.00$0.06$0.00$0.00$0.16$0.00$0.00$0.02$0.00$0.00$0.25$0.48
2015$0.00$0.00$0.00$0.00$0.00$0.02$0.00$0.00$0.18$0.00$0.00$0.24$0.43
2014$0.00$0.00$0.00$0.00$0.00$0.07$0.00$0.00$0.15$0.00$0.00$0.21$0.43
2013$0.02$0.00$0.00$0.12$0.00$0.00$0.11$0.00$0.00$0.19$0.44

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-7.54%
-0.88%
DEMSX (DFA Emerging Markets Small Cap Portfolio)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the DFA Emerging Markets Small Cap Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the DFA Emerging Markets Small Cap Portfolio was 66.70%, occurring on Nov 20, 2008. Recovery took 459 trading sessions.

The current DFA Emerging Markets Small Cap Portfolio drawdown is 7.54%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-66.7%Nov 1, 2007266Nov 20, 2008459Sep 20, 2010725
-47.28%Jan 29, 2018541Mar 23, 2020198Jan 4, 2021739
-29.78%Apr 28, 2011110Oct 3, 2011671Jun 6, 2014781
-27.77%Sep 8, 2014346Jan 21, 2016269Feb 14, 2017615
-26.23%Jul 1, 2021326Oct 14, 2022396May 14, 2024722

Volatility

Volatility Chart

The current DFA Emerging Markets Small Cap Portfolio volatility is 3.42%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.42%
3.96%
DEMSX (DFA Emerging Markets Small Cap Portfolio)
Benchmark (^GSPC)