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DEMSX vs. DEMGX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DEMSXDEMGX
YTD Return8.30%9.31%
1Y Return16.87%18.70%
3Y Return (Ann)2.21%3.40%
5Y Return (Ann)7.93%8.06%
Sharpe Ratio1.401.48
Sortino Ratio1.851.97
Omega Ratio1.261.27
Calmar Ratio1.381.58
Martin Ratio6.677.28
Ulcer Index2.39%2.46%
Daily Std Dev11.38%12.11%
Max Drawdown-66.70%-42.40%
Current Drawdown-4.79%-5.00%

Correlation

-0.50.00.51.01.0

The correlation between DEMSX and DEMGX 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

DEMSX vs. DEMGX - Performance Comparison

In the year-to-date period, DEMSX achieves a 8.30% return, which is significantly lower than DEMGX's 9.31% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
3.96%
4.09%
DEMSX
DEMGX

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DEMSX vs. DEMGX - Expense Ratio Comparison

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


DEMGX
DFA Emerging Markets Targeted Value Portfolio
Expense ratio chart for DEMGX: current value at 0.66% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.66%
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

DEMSX vs. DEMGX - Risk-Adjusted Performance Comparison

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


DEMSX
Sharpe ratio
The chart of Sharpe ratio for DEMSX, currently valued at 1.40, compared to the broader market0.002.004.001.40
Sortino ratio
The chart of Sortino ratio for DEMSX, currently valued at 1.85, compared to the broader market0.005.0010.001.85
Omega ratio
The chart of Omega ratio for DEMSX, currently valued at 1.26, compared to the broader market1.002.003.004.001.26
Calmar ratio
The chart of Calmar ratio for DEMSX, currently valued at 1.38, compared to the broader market0.005.0010.0015.0020.0025.001.38
Martin ratio
The chart of Martin ratio for DEMSX, currently valued at 6.67, compared to the broader market0.0020.0040.0060.0080.00100.006.67
DEMGX
Sharpe ratio
The chart of Sharpe ratio for DEMGX, currently valued at 1.48, compared to the broader market0.002.004.001.48
Sortino ratio
The chart of Sortino ratio for DEMGX, currently valued at 1.97, compared to the broader market0.005.0010.001.97
Omega ratio
The chart of Omega ratio for DEMGX, currently valued at 1.27, compared to the broader market1.002.003.004.001.27
Calmar ratio
The chart of Calmar ratio for DEMGX, currently valued at 1.58, compared to the broader market0.005.0010.0015.0020.0025.001.58
Martin ratio
The chart of Martin ratio for DEMGX, currently valued at 7.28, compared to the broader market0.0020.0040.0060.0080.00100.007.28

DEMSX vs. DEMGX - Sharpe Ratio Comparison

The current DEMSX Sharpe Ratio is 1.40, which is comparable to the DEMGX Sharpe Ratio of 1.48. The chart below compares the historical Sharpe Ratios of DEMSX and DEMGX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.40
1.48
DEMSX
DEMGX

Dividends

DEMSX vs. DEMGX - Dividend Comparison

DEMSX's dividend yield for the trailing twelve months is around 3.14%, less than DEMGX's 3.27% yield.


TTM20232022202120202019201820172016201520142013
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%
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%

Drawdowns

DEMSX vs. DEMGX - Drawdown Comparison

The maximum DEMSX drawdown since its inception was -66.70%, which is greater than DEMGX's maximum drawdown of -42.40%. Use the drawdown chart below to compare losses from any high point for DEMSX and DEMGX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.79%
-5.00%
DEMSX
DEMGX

Volatility

DEMSX vs. DEMGX - Volatility Comparison

The current volatility for DFA Emerging Markets Small Cap Portfolio (DEMSX) is 3.26%, while DFA Emerging Markets Targeted Value Portfolio (DEMGX) has a volatility of 3.81%. This indicates that DEMSX experiences smaller price fluctuations and is considered to be less risky than DEMGX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.26%
3.81%
DEMSX
DEMGX