DEHP vs. DIEM
DEHP (Dimensional Emerging Markets High Profitability ETF) and DIEM (Franklin Emerging Market Core Dividend Tilt Index ETF) are both Emerging Markets Diversified funds. DEHP is actively managed, while DIEM is passively managed. Over the past 3 years, DEHP returned 23.77%/yr vs 27.25%/yr for DIEM. With a 0.95 correlation, they move nearly in lockstep. DEHP charges 0.41%/yr vs 0.19%/yr for DIEM.
Performance
DEHP vs. DIEM - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with DEHP having a 29.64% return and DIEM slightly higher at 29.85%.
DEHP
- 1D
- -7.10%
- 1M
- 2.07%
- YTD
- 29.64%
- 6M
- 30.69%
- 1Y
- 55.70%
- 3Y*
- 23.77%
- 5Y*
- —
- 10Y*
- —
DIEM
- 1D
- -4.97%
- 1M
- 4.80%
- YTD
- 29.85%
- 6M
- 30.75%
- 1Y
- 53.23%
- 3Y*
- 27.25%
- 5Y*
- 11.58%
- 10Y*
- 9.27%
DEHP vs. DIEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
DEHP Dimensional Emerging Markets High Profitability ETF | 29.64% | 32.86% | 4.47% | 12.31% | -9.73% |
DIEM Franklin Emerging Market Core Dividend Tilt Index ETF | 29.85% | 30.81% | 12.29% | 15.41% | -8.37% |
Correlation
The correlation between DEHP and DIEM is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2022 | 0.95 |
The correlation between DEHP and DIEM has been stable across timeframes, ranging from 0.94 to 0.95 - a consistent structural relationship.
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Return for Risk
DEHP vs. DIEM — Risk / Return Rank
DEHP
DIEM
DEHP vs. DIEM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Markets High Profitability ETF (DEHP) and Franklin Emerging Market Core Dividend Tilt Index ETF (DIEM). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| DEHP | DIEM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.28 | ||
| Sortino ratioReturn per unit of downside risk | -0.34 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.49 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 4.25 | 4.34 | -0.08 |
| Martin ratioReturn relative to average drawdown | 15.97 | 16.81 | -0.84 |
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Drawdowns
DEHP vs. DIEM - Drawdown Comparison
The maximum DEHP drawdown since its inception was -22.90%, smaller than the maximum DIEM drawdown of -38.61%. Use the drawdown chart below to compare losses from any high point for DEHP and DIEM.
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Drawdown Indicators
| DEHP | DIEM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -22.90% | -38.61% | +15.71% |
Max Drawdown (1Y)Largest decline over 1 year | -13.16% | -12.33% | -0.83% |
Max Drawdown (3Y)Largest decline over 3 years | -19.14% | -16.82% | -2.32% |
Max Drawdown (5Y)Largest decline over 5 years | — | -33.34% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -38.61% | — |
Current DrawdownCurrent decline from peak | -7.10% | -4.97% | -2.13% |
Average DrawdownAverage peak-to-trough decline | -5.73% | -9.68% | +3.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.50% | 3.18% | +0.32% |
Volatility
DEHP vs. DIEM - Volatility Comparison
Dimensional Emerging Markets High Profitability ETF (DEHP) has a higher volatility of 15.13% compared to Franklin Emerging Market Core Dividend Tilt Index ETF (DIEM) at 12.21%. This indicates that DEHP's price experiences larger fluctuations and is considered to be riskier than DIEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DEHP | DIEM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 15.13% | 12.21% | +2.92% |
Volatility (6M)Calculated over the trailing 6-month period | 22.85% | 19.22% | +3.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.71% | 20.98% | +3.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.61% | 17.58% | +2.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.61% | 17.91% | +1.70% |
DEHP vs. DIEM - Expense Ratio Comparison
DEHP has a 0.41% expense ratio, which is higher than DIEM's 0.19% expense ratio.
Dividends
DEHP vs. DIEM - Dividend Comparison
DEHP's dividend yield for the trailing twelve months is around 1.38%, less than DIEM's 1.63% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
DEHP Dimensional Emerging Markets High Profitability ETF | 0.89% | 1.73% | 2.44% | 2.84% | 1.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DIEM Franklin Emerging Market Core Dividend Tilt Index ETF | 1.63% | 2.99% | 4.92% | 4.45% | 6.31% | 4.06% | 2.75% | 5.98% | 3.87% | 2.61% | 0.35% |
Frequently Asked Questions
With a correlation of 0.94, DEHP and DIEM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
DEHP has higher volatility (15.13%) compared to DIEM (12.21%). In terms of maximum drawdown, DEHP dropped -22.90% vs DIEM's -38.61%.
On 3-year performance, DIEM leads with 27.25% vs 23.77% for DEHP. On fees, DIEM is cheaper at 0.19% per year. On volatility, DIEM has been the lower-risk option at 12.21%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DIEM has performed better with a 27.25% return vs 23.77%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DIEM is cheaper with a 0.19% expense ratio, compared with 0.41% for DEHP.
DIEM has the higher dividend yield at 1.63%, compared with 1.38% for DEHP.
They also come from different issuers: Dimensional and Franklin Templeton. Their fees differ too: 0.41% for DEHP and 0.19% for DIEM.
DIEM currently has the higher Sharpe Ratio (2.55 vs 2.27), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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