DEMSX vs. DFEVX
Compare and contrast key facts about DFA Emerging Markets Small Cap Portfolio (DEMSX) and DFA Emerging Markets Value Portfolio (DFEVX).
DEMSX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 1998. DFEVX is managed by Dimensional Fund Advisors LP. It was launched on Mar 31, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEMSX or DFEVX.
Key characteristics
| DEMSX | DFEVX | |
|---|---|---|
| YTD Return | 7.94% | 12.21% |
| 1Y Return | 15.25% | 20.19% |
| 3Y Return (Ann) | 2.36% | 5.53% |
| 5Y Return (Ann) | 7.75% | 6.99% |
| 10Y Return (Ann) | 5.81% | 5.06% |
| Sharpe Ratio | 1.62 | 1.75 |
| Sortino Ratio | 2.13 | 2.35 |
| Omega Ratio | 1.30 | 1.32 |
| Calmar Ratio | 1.56 | 2.38 |
| Martin Ratio | 7.89 | 8.47 |
| Ulcer Index | 2.33% | 2.54% |
| Daily Std Dev | 11.31% | 12.32% |
| Max Drawdown | -66.70% | -67.59% |
| Current Drawdown | -5.10% | -3.74% |
Correlation
The correlation between DEMSX and DFEVX is 0.95, 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. DFEVX - Performance Comparison
In the year-to-date period, DEMSX achieves a 7.94% return, which is significantly lower than DFEVX's 12.21% return. Over the past 10 years, DEMSX has outperformed DFEVX with an annualized return of 5.81%, while DFEVX has yielded a comparatively lower 5.06% annualized 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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DEMSX vs. DFEVX - Expense Ratio Comparison
DEMSX has a 0.59% expense ratio, which is higher than DFEVX's 0.45% expense ratio.
Risk-Adjusted Performance
DEMSX vs. DFEVX - 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 Value Portfolio (DFEVX). 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. DFEVX - Dividend Comparison
DEMSX's dividend yield for the trailing twelve months is around 3.15%, less than DFEVX's 4.41% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DEMSX DFA Emerging Markets Small Cap Portfolio | 3.15% | 2.94% | 2.45% | 3.36% | 2.25% | 2.48% | 2.16% | 2.50% | 2.59% | 2.44% | 2.15% | 2.17% |
DFEVX DFA Emerging Markets Value Portfolio | 4.41% | 4.39% | 4.44% | 3.82% | 2.47% | 3.28% | 2.49% | 2.44% | 1.99% | 2.55% | 2.62% | 3.85% |
Drawdowns
DEMSX vs. DFEVX - Drawdown Comparison
The maximum DEMSX drawdown since its inception was -66.70%, roughly equal to the maximum DFEVX drawdown of -67.59%. Use the drawdown chart below to compare losses from any high point for DEMSX and DFEVX. For additional features, visit the drawdowns tool.
Volatility
DEMSX vs. DFEVX - Volatility Comparison
The current volatility for DFA Emerging Markets Small Cap Portfolio (DEMSX) is 3.11%, while DFA Emerging Markets Value Portfolio (DFEVX) has a volatility of 3.99%. This indicates that DEMSX experiences smaller price fluctuations and is considered to be less risky than DFEVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.