DEMSX vs. DFREX

Last updated Aug 2, 2026

DEMSX (DFA Emerging Markets Small Cap Portfolio) and DFREX (DFA Real Estate Securities Portfolio Class I) are both mutual funds - DEMSX is a Emerging Markets Equities fund managed by Dimensional, while DFREX is a REIT fund managed by Dimensional. Over the past 10 years, DEMSX returned 7.29%/yr vs 5.23%/yr for DFREX. Their 0.41 correlation means their historical movements had little consistent relationship. DEMSX charges 0.59%/yr vs 0.18%/yr for DFREX.

Performance

DEMSX vs. DFREX - Performance Comparison

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

Returns By Period

In the year-to-date period, DEMSX achieves a 1.18% return, which is significantly lower than DFREX's 18.16% return. Over the past 10 years, DEMSX has outperformed DFREX with an annualized return of 7.29%, while DFREX has yielded a comparatively lower 5.23% annualized return.

DEMSX

• 1D: 1.10%
• 1M: -6.26%
• 6M: -4.32%
• YTD: 1.18%
• 1Y: 7.88%
• 3Y*: 8.78%
• 5Y*: 5.23%
• 10Y*: 7.29%
• ALL TIME*: 10.05%

DFREX

• 1D: -1.44%
• 1M: 1.35%
• 6M: 15.08%
• YTD: 18.16%
• 1Y: 19.81%
• 3Y*: 10.29%
• 5Y*: 3.33%
• 10Y*: 5.23%
• ALL TIME*: 9.17%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
DEMSX DFA Emerging Markets Small Cap Portfolio	$0.00	$0.00	$0.00
DFREX DFA Real Estate Securities Portfolio Class I	$0.00	$0.00	$0.00

DEMSX vs. DFREX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DEMSX DFA Emerging Markets Small Cap Portfolio	1.18%	19.01%	4.92%	16.32%	-15.30%	19.54%	13.82%	14.89%	-17.55%	33.32%
DFREX DFA Real Estate Securities Portfolio Class I	18.16%	1.52%	5.52%	11.20%	-24.93%	41.88%	-5.03%	28.12%	-3.01%	4.25%

Correlation

The correlation between DEMSX and DFREX is 0.05, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.05
Correlation (3Y) Balances recent behavior with more history.	0.25
Correlation (5Y) Shows whether the relationship held over a longer period.	0.34
Correlation (10Y) Provides a long-term view across more market conditions.	0.34
Correlation (All Time) Calculated using the full available price history since Mar 5, 1998	0.41

Over the past year, the correlation between DEMSX and DFREX has dropped to 0.05 - well below their long-term average of 0.41, suggesting their price drivers have been diverging.

Return for Risk

DEMSX vs. DFREX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

DEMSX

DEMSX Risk / Return Rank: 11
DEMSX Sharpe Ratio Rank: 11
DEMSX Sortino Ratio Rank: 10
DEMSX Omega Ratio Rank: 11
DEMSX Calmar Ratio Rank: 11
DEMSX Martin Ratio Rank: 12

DFREX

DFREX Risk / Return Rank: 53
DFREX Sharpe Ratio Rank: 50
DFREX Sortino Ratio Rank: 48
DFREX Omega Ratio Rank: 47
DFREX Calmar Ratio Rank: 67
DFREX Martin Ratio Rank: 55

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

DEMSX vs. DFREX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Small Cap Portfolio (DEMSX) and DFA Real Estate Securities Portfolio Class I (DFREX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DEMSX	DFREX	Difference
Sharpe ratio: Return per unit of total volatility	0.37	1.30	-0.93
Sortino ratio: Return per unit of downside risk	0.61	1.85	-1.24
Omega ratio: Gain probability vs. loss probability	1.08	1.23	-0.15
Calmar ratio: Return relative to maximum drawdown	0.48	2.14	-1.66
Martin ratio: Return relative to average drawdown	1.50	7.17	-5.67

DEMSX vs. DFREX - Sharpe Ratio Comparison

The current DEMSX Sharpe Ratio is 0.37, which is lower than the DFREX Sharpe Ratio of 1.30. The chart below compares the historical Sharpe Ratios of DEMSX and DFREX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DEMSX vs. DFREX - Drawdown Comparison

The maximum DEMSX drawdown since its inception was -66.70%, smaller than the maximum DFREX drawdown of -74.36%. Use the drawdown chart below to compare losses from any high point for DEMSX and DFREX.

Drawdown Indicators

	DEMSX	DFREX	Difference
Max Drawdown Largest peak-to-trough decline	-66.70%	-74.36%	+7.66%
Max Drawdown (1Y) Largest decline over 1 year	-11.92%	-8.40%	-3.52%
Max Drawdown (3Y) Largest decline over 3 years	-17.21%	-17.64%	+0.43%
Max Drawdown (5Y) Largest decline over 5 years	-24.40%	-33.11%	+8.71%
Max Drawdown (10Y) Largest decline over 10 years	-47.28%	-41.49%	-5.79%
Current Drawdown Current decline from peak	-10.95%	-1.71%	-9.24%
Average Drawdown Average peak-to-trough decline	-13.55%	-11.29%	-2.26%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.80%	2.59%	+1.21%

Volatility

DEMSX vs. DFREX - Volatility Comparison

DFA Emerging Markets Small Cap Portfolio (DEMSX) has a higher volatility of 5.65% compared to DFA Real Estate Securities Portfolio Class I (DFREX) at 4.43%. This indicates that DEMSX's price experiences larger fluctuations and is considered to be riskier than DFREX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DEMSX	DFREX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.65%	4.43%	+1.22%
Volatility (6M) Calculated over the trailing 6-month period	13.67%	10.87%	+2.80%
Volatility (1Y) Calculated over the trailing 1-year period	15.30%	13.86%	+1.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.76%	18.77%	-5.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.91%	20.35%	-5.44%

DEMSX vs. DFREX - Expense Ratio Comparison

DEMSX has a 0.59% expense ratio, which is higher than DFREX's 0.18% expense ratio.

Dividends

DEMSX vs. DFREX - Dividend Comparison

DEMSX's dividend yield for the trailing twelve months is around 4.01%, more than DFREX's 2.73% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DEMSX DFA Emerging Markets Small Cap Portfolio	4.01%	3.79%	3.27%	2.94%	4.47%	10.20%	2.25%	3.11%	5.02%	3.41%	3.74%	3.24%
DFREX DFA Real Estate Securities Portfolio Class I	2.73%	2.84%	2.97%	3.59%	6.24%	2.56%	3.36%	2.23%	4.88%	1.89%	2.83%	2.86%

Frequently Asked Questions

Can I hold both DEMSX and DFREX in my portfolio?

DEMSX and DFREX have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DEMSX or DFREX?

DEMSX has higher volatility (5.65%) compared to DFREX (4.43%). In terms of maximum drawdown, DEMSX dropped -66.70% vs DFREX's -74.36%.

Which has better risk-adjusted returns?

DFREX currently has the higher Sharpe Ratio (1.30 vs 0.37), 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.