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DFA Emerging Markets Small Cap Portfolio (DEMSX) Sharpe Ratio: 1.70

Mutual Fund · Currency in USD · Last updated Jun 24, 2026

The Portfolio is a Feeder Portfolio and pursues its objective by investing substantially all of its assets in its corresponding master fund, the Emerging Markets Small Cap Series (the "Emerging Markets Small Cap Series") of the DFA Investment Trust Company (the "Trust"), which has the same investment objective and policies as the Portfolio. As a non-fundamental policy, under normal circumstances, the Emerging Markets Small Cap Series will invest at least 80% of its net assets in emerging market investments that are designated in the Prospectus as Approved Market securities of small companies.

DEMSX's Sharpe Ratio of 1.70 indicates that for each unit of volatility, it generates 1.70 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 24, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

DEMSX Sharpe Ratio Rank

DEMSX Sharpe Ratio Rank: 39.539
Below Average

DEMSX ranks above 39.5% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

DEMSX Sharpe Ratio Market Positioning

The chart shows DEMSX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.30 or lower
  • Yellow zone (middle 50%): 1.30 to 2.33
  • Green zone (top 25%): 2.33 or higher
  • Top 1%: 4.29+
  • Median: 1.93 — half of all investments score higher

How it compares to other similar mutual funds

The table compares DFA Emerging Markets Small Cap Portfolio's Sharpe Ratio with other mutual funds in the Emerging Markets Diversified category across multiple time periods, showing how DEMSX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 24, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
DEMIXDelaware Emerging Markets Fund6.06
FQEMXFranklin Templeton SMACS: Series EM5.10
LCSMXMartin Currie SMA-Shares Series EM Fund4.58
LVAZXLSV Emerging Markets Equity Fund3.76
LZEMXLazard Emerging Markets Equity Portfolio3.73
GTDDXInvesco EQV Emerging Markets All Cap Fd3.72
GMAQXGMO Emerging Markets ex-China Fund3.69
IEMGXVoya Multi-Manager Emerging Markets Equity Fund3.64
GLLSXabrdn Emerging Markets ex-China Fund3.58
DODEXDodge & Cox Emerging Markets Stock Fund3.47
DEMSXDFA Emerging Markets Small Cap Portfolio1.70

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows DEMSX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when DEMSX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

How does DEMSX fit in your portfolio?

Add your other holdings to see your portfolio's Sharpe Ratio and find out.

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