DEMSX vs. DEMGX
Compare and contrast key facts about DFA Emerging Markets Small Cap Portfolio (DEMSX) and DFA Emerging Markets Targeted Value Portfolio (DEMGX).
DEMSX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 1998. DEMGX is managed by Dimensional Fund Advisors LP. It was launched on Nov 13, 2018.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEMSX or DEMGX.
Performance
DEMSX vs. DEMGX - Performance Comparison
Returns By Period
In the year-to-date period, DEMSX achieves a 5.08% return, which is significantly lower than DEMGX's 6.20% return.
DEMSX
5.08%
-4.23%
-1.32%
9.03%
7.68%
5.42%
DEMGX
6.20%
-3.72%
-1.27%
10.75%
7.86%
N/A
Key characteristics
| DEMSX | DEMGX | |
|---|---|---|
| Sharpe Ratio | 0.90 | 0.98 |
| Sortino Ratio | 1.22 | 1.34 |
| Omega Ratio | 1.16 | 1.18 |
| Calmar Ratio | 1.17 | 1.32 |
| Martin Ratio | 3.79 | 4.29 |
| Ulcer Index | 2.72% | 2.79% |
| Daily Std Dev | 11.52% | 12.24% |
| Max Drawdown | -66.70% | -42.40% |
| Current Drawdown | -7.61% | -7.69% |
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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.
Correlation
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.
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.
Dividends
DEMSX vs. DEMGX - Dividend Comparison
DEMSX's dividend yield for the trailing twelve months is around 3.23%, less than DEMGX's 3.37% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEMSX DFA Emerging Markets Small Cap Portfolio | 3.23% | 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 | 3.37% | 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.
Volatility
DEMSX vs. DEMGX - Volatility Comparison
The current volatility for DFA Emerging Markets Small Cap Portfolio (DEMSX) is 3.45%, while DFA Emerging Markets Targeted Value Portfolio (DEMGX) has a volatility of 3.82%. 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.