DFAE vs. DFEM
DFAE (Dimensional Emerging Core Equity Market ETF) and DFEM (Dimensional Emerging Markets Core Equity 2 ETF) are both exchange-traded funds - DFAE is a Emerging Markets Equities fund actively managed by Dimensional, while DFEM is a Emerging Markets Diversified fund actively managed by Dimensional. Both are actively managed. Over the past 3 years, DFAE returned 24.55%/yr vs 24.10%/yr for DFEM. With a 0.99 correlation, they move nearly in lockstep. DFAE charges 0.35%/yr vs 0.39%/yr for DFEM.
Performance
DFAE vs. DFEM - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with DFAE having a 29.00% return and DFEM slightly lower at 28.16%.
DFAE
- 1D
- 0.53%
- 1M
- 7.40%
- YTD
- 29.00%
- 6M
- 30.44%
- 1Y
- 53.34%
- 3Y*
- 24.55%
- 5Y*
- 9.93%
- 10Y*
- —
DFEM
- 1D
- 0.55%
- 1M
- 6.54%
- YTD
- 28.16%
- 6M
- 29.41%
- 1Y
- 51.34%
- 3Y*
- 24.10%
- 5Y*
- —
- 10Y*
- —
DFAE vs. DFEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
DFAE Dimensional Emerging Core Equity Market ETF | 29.00% | 31.48% | 7.68% | 12.63% | -6.80% |
DFEM Dimensional Emerging Markets Core Equity 2 ETF | 28.16% | 29.51% | 7.53% | 13.91% | -9.60% |
Correlation
The correlation between DFAE and DFEM is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.99 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.99 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2022 | 0.99 |
The correlation between DFAE and DFEM has been stable across timeframes, ranging from 0.99 to 0.99 - a consistent structural relationship.
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Return for Risk
DFAE vs. DFEM — Risk / Return Rank
DFAE
DFEM
DFAE vs. DFEM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Core Equity Market ETF (DFAE) and Dimensional Emerging Markets Core Equity 2 ETF (DFEM). 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.
| DFAE | DFEM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.02 | ||
| Sortino ratioReturn per unit of downside risk | +0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.48 | 1.48 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 4.19 | 4.26 | -0.07 |
| Martin ratioReturn relative to average drawdown | 15.52 | 15.91 | -0.39 |
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Drawdowns
DFAE vs. DFEM - Drawdown Comparison
The maximum DFAE drawdown since its inception was -32.21%, which is greater than DFEM's maximum drawdown of -20.82%. Use the drawdown chart below to compare losses from any high point for DFAE and DFEM.
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Drawdown Indicators
| DFAE | DFEM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.21% | -20.82% | -11.39% |
Max Drawdown (1Y)Largest decline over 1 year | -12.80% | -12.12% | -0.68% |
Max Drawdown (3Y)Largest decline over 3 years | -18.12% | -18.09% | -0.03% |
Max Drawdown (5Y)Largest decline over 5 years | -31.73% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -10.26% | -5.01% | -5.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.45% | 3.24% | +0.21% |
Volatility
DFAE vs. DFEM - Volatility Comparison
Dimensional Emerging Core Equity Market ETF (DFAE) and Dimensional Emerging Markets Core Equity 2 ETF (DFEM) have volatilities of 10.49% and 10.26%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFAE | DFEM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.49% | 10.26% | +0.23% |
Volatility (6M)Calculated over the trailing 6-month period | 18.89% | 18.33% | +0.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.97% | 20.35% | +0.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.27% | 17.72% | +0.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.20% | 17.72% | +0.48% |
DFAE vs. DFEM - Expense Ratio Comparison
DFAE has a 0.35% expense ratio, which is lower than DFEM's 0.39% expense ratio.
Dividends
DFAE vs. DFEM - Dividend Comparison
DFAE's dividend yield for the trailing twelve months is around 1.70%, less than DFEM's 1.78% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
DFAE Dimensional Emerging Core Equity Market ETF | 1.70% | 2.20% | 2.35% | 2.43% | 2.85% | 1.63% | 0.01% |
DFEM Dimensional Emerging Markets Core Equity 2 ETF | 1.78% | 2.32% | 2.50% | 2.38% | 1.99% | 0.00% | 0.00% |
Frequently Asked Questions
With a correlation of 0.99, DFAE and DFEM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
DFAE has higher volatility (10.49%) compared to DFEM (10.26%). In terms of maximum drawdown, DFAE dropped -32.21% vs DFEM's -20.82%.
On 3-year performance, DFAE leads with 24.55% vs 24.10% for DFEM. On fees, DFAE is cheaper at 0.35% per year. On volatility, DFEM has been the lower-risk option at 10.26%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DFAE has performed better with a 24.55% return vs 24.10%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DFAE is cheaper with a 0.35% expense ratio, compared with 0.39% for DFEM.
DFEM has the higher dividend yield at 1.78%, compared with 1.70% for DFAE.
DFAE is categorized as Emerging Markets Equities, while DFEM is Emerging Markets Diversified. Their fees differ too: 0.35% for DFAE and 0.39% for DFEM.
DFAE currently has the higher Sharpe Ratio (2.56 vs 2.54), 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.
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