DEMGX vs. DEMSX
Compare and contrast key facts about DFA Emerging Markets Targeted Value Portfolio (DEMGX) and DFA Emerging Markets Small Cap Portfolio (DEMSX).
DEMGX is managed by Dimensional Fund Advisors LP. It was launched on Nov 13, 2018. DEMSX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEMGX or DEMSX.
Key characteristics
| DEMGX | DEMSX | |
|---|---|---|
| YTD Return | 9.31% | 8.30% |
| 1Y Return | 18.70% | 16.87% |
| 3Y Return (Ann) | 3.40% | 2.21% |
| 5Y Return (Ann) | 8.06% | 7.93% |
| Sharpe Ratio | 1.48 | 1.40 |
| Sortino Ratio | 1.97 | 1.85 |
| Omega Ratio | 1.27 | 1.26 |
| Calmar Ratio | 1.58 | 1.38 |
| Martin Ratio | 7.28 | 6.67 |
| Ulcer Index | 2.46% | 2.39% |
| Daily Std Dev | 12.11% | 11.38% |
| Max Drawdown | -42.40% | -66.70% |
| Current Drawdown | -5.00% | -4.79% |
Correlation
The correlation between DEMGX and DEMSX is 0.97, 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
DEMGX vs. DEMSX - Performance Comparison
In the year-to-date period, DEMGX achieves a 9.31% return, which is significantly higher than DEMSX's 8.30% 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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DEMGX vs. DEMSX - Expense Ratio Comparison
DEMGX has a 0.66% expense ratio, which is higher than DEMSX's 0.59% expense ratio.
Risk-Adjusted Performance
DEMGX vs. DEMSX - Risk-Adjusted Performance 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.
Dividends
DEMGX vs. DEMSX - Dividend Comparison
DEMGX's dividend yield for the trailing twelve months is around 3.27%, more than DEMSX's 3.14% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEMGX DFA Emerging Markets Targeted Value Portfolio | 3.27% | 3.58% | 2.45% | 3.55% | 2.03% | 2.12% | 0.08% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DEMSX DFA Emerging Markets Small Cap Portfolio | 3.14% | 2.94% | 2.45% | 3.36% | 2.25% | 2.48% | 2.16% | 2.50% | 2.59% | 2.44% | 2.15% | 2.17% |
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. For additional features, visit the drawdowns tool.
Volatility
DEMGX vs. DEMSX - Volatility Comparison
DFA Emerging Markets Targeted Value Portfolio (DEMGX) has a higher volatility of 3.81% compared to DFA Emerging Markets Small Cap Portfolio (DEMSX) at 3.26%. This indicates that DEMGX's price experiences larger fluctuations and is considered to be riskier than DEMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.