DEMGX vs. DEMSX

Last updated Jun 3, 2026

DEMGX (DFA Emerging Markets Targeted Value Portfolio) and DEMSX (DFA Emerging Markets Small Cap Portfolio) are both Emerging Markets Diversified funds from Dimensional. Over the past 5 years, DEMGX returned 8.01%/yr vs 7.01%/yr for DEMSX. With a 0.97 correlation, they move nearly in lockstep. DEMGX charges 0.66%/yr vs 0.59%/yr for DEMSX.

Performance

DEMGX vs. DEMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Emerging Markets Targeted Value Portfolio (DEMGX) and DFA Emerging Markets Small Cap Portfolio (DEMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DEMGX achieves a 17.01% return, which is significantly higher than DEMSX's 11.52% return.

DEMGX

• 1D: 0.93%
• 1M: 4.11%
• YTD: 17.01%
• 6M: 18.89%
• 1Y: 34.97%
• 3Y*: 18.74%
• 5Y*: 8.01%
• 10Y*: —

DEMSX

• 1D: 0.51%
• 1M: 1.20%
• YTD: 11.52%
• 6M: 12.50%
• 1Y: 24.34%
• 3Y*: 14.90%
• 5Y*: 7.01%
• 10Y*: 9.41%

*Multi-year figures are annualized to reflect compound growth (CAGR)

DEMGX vs. DEMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
DEMGX DFA Emerging Markets Targeted Value Portfolio	17.01%	24.27%	4.62%	17.19%	-12.98%	14.64%	8.55%	11.08%	0.38%
DEMSX DFA Emerging Markets Small Cap Portfolio	11.52%	19.01%	4.92%	16.32%	-15.30%	19.54%	13.82%	14.89%	1.85%

Correlation

The correlation between DEMGX and DEMSX is 0.97 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.97
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Nov 15, 2018	0.97

The correlation between DEMGX and DEMSX has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.

Return for Risk

DEMGX vs. DEMSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DEMGX

DEMGX Risk / Return Rank: 70
DEMGX Sharpe Ratio Rank: 81
DEMGX Sortino Ratio Rank: 70
DEMGX Omega Ratio Rank: 74
DEMGX Calmar Ratio Rank: 68
DEMGX Martin Ratio Rank: 57

DEMSX

DEMSX Risk / Return Rank: 41
DEMSX Sharpe Ratio Rank: 42
DEMSX Sortino Ratio Rank: 39
DEMSX Omega Ratio Rank: 45
DEMSX Calmar Ratio Rank: 38
DEMSX Martin Ratio Rank: 38

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DEMGX vs. DEMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Targeted Value Portfolio (DEMGX) and DFA Emerging Markets Small Cap Portfolio (DEMSX). 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.

	DEMGX	DEMSX	Difference
Sharpe ratio Return per unit of total volatility	2.61	1.91	+0.71
Sortino ratio Return per unit of downside risk	3.49	2.63	+0.87
Omega ratio Gain probability vs. loss probability	1.49	1.36	+0.12
Calmar ratio Return relative to maximum drawdown	3.18	2.37	+0.81
Martin ratio Return relative to average drawdown	11.63	8.47	+3.17
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DEMGX vs. DEMSX - Sharpe Ratio Comparison

The current DEMGX Sharpe Ratio is 2.61, which is higher than the DEMSX Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of DEMGX and DEMSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DEMGX	DEMSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.61	1.91	+0.71
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.53	+0.07
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.64	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.68	0.61	+0.07

Drawdowns

DEMGX vs. DEMSX - Drawdown Comparison

The maximum DEMGX drawdown since its inception was -42.40%, smaller than the maximum DEMSX drawdown of -66.70%. Use the drawdown chart below to compare losses from any high point for DEMGX and DEMSX.

Drawdown Indicators

	DEMGX	DEMSX	Difference
Max Drawdown Largest peak-to-trough decline	-42.40%	-66.70%	+24.30%
Max Drawdown (1Y) Largest decline over 1 year	-11.10%	-10.30%	-0.80%
Max Drawdown (3Y) Largest decline over 3 years	-17.68%	-17.21%	-0.47%
Max Drawdown (5Y) Largest decline over 5 years	-26.19%	-24.40%	-1.79%
Max Drawdown (10Y) Largest decline over 10 years	—	-47.28%	—
Current Drawdown Current decline from peak	0.00%	-1.86%	+1.86%
Average Drawdown Average peak-to-trough decline	-7.59%	-13.60%	+6.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.04%	2.88%	+0.16%

Volatility

DEMGX vs. DEMSX - Volatility Comparison

DFA Emerging Markets Targeted Value Portfolio (DEMGX) and DFA Emerging Markets Small Cap Portfolio (DEMSX) have volatilities of 4.92% and 4.74%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DEMGX	DEMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.92%	4.74%	+0.18%
Volatility (6M) Calculated over the trailing 6-month period	11.30%	10.99%	+0.31%
Volatility (1Y) Calculated over the trailing 1-year period	13.77%	13.24%	+0.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.46%	13.29%	+0.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.77%	14.80%	+0.97%

DEMGX vs. DEMSX - Expense Ratio Comparison

DEMGX has a 0.66% expense ratio, which is higher than DEMSX's 0.59% expense ratio.

Dividends

DEMGX vs. DEMSX - Dividend Comparison

DEMGX's dividend yield for the trailing twelve months is around 4.25%, more than DEMSX's 3.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DEMGX DFA Emerging Markets Targeted Value Portfolio	4.25%	4.98%	4.60%	5.21%	4.28%	10.93%	2.23%	3.17%	0.08%	0.00%	0.00%	0.00%
DEMSX DFA Emerging Markets Small Cap Portfolio	3.42%	3.79%	3.27%	2.94%	4.47%	10.20%	2.25%	3.11%	5.02%	3.41%	3.74%	3.24%

Frequently Asked Questions

Can I hold both DEMGX and DEMSX in my portfolio?

With a correlation of 0.97, DEMGX and DEMSX 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.

Which is riskier, DEMGX or DEMSX?

DEMGX has higher volatility (4.92%) compared to DEMSX (4.74%). In terms of maximum drawdown, DEMGX dropped -42.40% vs DEMSX's -66.70%.

Which has better risk-adjusted returns?

DEMGX currently has the higher Sharpe Ratio (2.61 vs 1.91), 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.