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DFAE vs. DFEMX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DFAE and DFEMX is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.6

Performance

DFAE vs. DFEMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional Emerging Core Equity Market ETF (DFAE) and DFA Emerging Markets Portfolio (DFEMX). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
10.71%
6.74%
DFAE
DFEMX

Key characteristics

Sharpe Ratio

DFAE:

0.44

DFEMX:

0.52

Sortino Ratio

DFAE:

0.75

DFEMX:

0.81

Omega Ratio

DFAE:

1.10

DFEMX:

1.10

Calmar Ratio

DFAE:

0.45

DFEMX:

0.45

Martin Ratio

DFAE:

1.33

DFEMX:

1.49

Ulcer Index

DFAE:

6.06%

DFEMX:

5.48%

Daily Std Dev

DFAE:

18.50%

DFEMX:

15.90%

Max Drawdown

DFAE:

-32.21%

DFEMX:

-63.93%

Current Drawdown

DFAE:

-7.59%

DFEMX:

-8.98%

Returns By Period

In the year-to-date period, DFAE achieves a 1.95% return, which is significantly lower than DFEMX's 2.36% return.


DFAE

YTD

1.95%

1M

-1.97%

6M

-2.83%

1Y

7.37%

5Y*

N/A

10Y*

N/A

DFEMX

YTD

2.36%

1M

-2.09%

6M

-2.50%

1Y

7.41%

5Y*

8.41%

10Y*

3.07%

*Annualized

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DFAE vs. DFEMX - Expense Ratio Comparison

DFAE has a 0.35% expense ratio, which is lower than DFEMX's 0.36% expense ratio.


Expense ratio chart for DFEMX: current value is 0.36%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DFEMX: 0.36%
Expense ratio chart for DFAE: current value is 0.35%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
DFAE: 0.35%

Risk-Adjusted Performance

DFAE vs. DFEMX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFAE
The Risk-Adjusted Performance Rank of DFAE is 5252
Overall Rank
The Sharpe Ratio Rank of DFAE is 5252
Sharpe Ratio Rank
The Sortino Ratio Rank of DFAE is 5353
Sortino Ratio Rank
The Omega Ratio Rank of DFAE is 5050
Omega Ratio Rank
The Calmar Ratio Rank of DFAE is 5656
Calmar Ratio Rank
The Martin Ratio Rank of DFAE is 4747
Martin Ratio Rank

DFEMX
The Risk-Adjusted Performance Rank of DFEMX is 5454
Overall Rank
The Sharpe Ratio Rank of DFEMX is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of DFEMX is 5656
Sortino Ratio Rank
The Omega Ratio Rank of DFEMX is 5252
Omega Ratio Rank
The Calmar Ratio Rank of DFEMX is 5959
Calmar Ratio Rank
The Martin Ratio Rank of DFEMX is 4949
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DFAE vs. DFEMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Core Equity Market ETF (DFAE) and DFA Emerging Markets Portfolio (DFEMX). 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.


The chart of Sharpe ratio for DFAE, currently valued at 0.44, compared to the broader market-1.000.001.002.003.004.00
DFAE: 0.44
DFEMX: 0.52
The chart of Sortino ratio for DFAE, currently valued at 0.75, compared to the broader market-2.000.002.004.006.008.00
DFAE: 0.75
DFEMX: 0.81
The chart of Omega ratio for DFAE, currently valued at 1.10, compared to the broader market0.501.001.502.00
DFAE: 1.10
DFEMX: 1.10
The chart of Calmar ratio for DFAE, currently valued at 0.45, compared to the broader market0.002.004.006.008.0010.0012.00
DFAE: 0.45
DFEMX: 0.45
The chart of Martin ratio for DFAE, currently valued at 1.33, compared to the broader market0.0020.0040.0060.00
DFAE: 1.33
DFEMX: 1.49

The current DFAE Sharpe Ratio is 0.44, which is comparable to the DFEMX Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of DFAE and DFEMX, 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 Ratio0.000.501.001.502.00NovemberDecember2025FebruaryMarchApril
0.44
0.52
DFAE
DFEMX

Dividends

DFAE vs. DFEMX - Dividend Comparison

DFAE's dividend yield for the trailing twelve months is around 2.41%, less than DFEMX's 3.11% yield.


TTM20242023202220212020201920182017201620152014
DFAE
Dimensional Emerging Core Equity Market ETF
2.41%2.35%2.43%2.85%1.64%0.01%0.00%0.00%0.00%0.00%0.00%0.00%
DFEMX
DFA Emerging Markets Portfolio
3.11%3.14%3.34%3.65%2.42%1.45%2.33%2.14%1.74%1.92%2.09%2.02%

Drawdowns

DFAE vs. DFEMX - Drawdown Comparison

The maximum DFAE drawdown since its inception was -32.21%, smaller than the maximum DFEMX drawdown of -63.93%. Use the drawdown chart below to compare losses from any high point for DFAE and DFEMX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%NovemberDecember2025FebruaryMarchApril
-7.59%
-8.98%
DFAE
DFEMX

Volatility

DFAE vs. DFEMX - Volatility Comparison

Dimensional Emerging Core Equity Market ETF (DFAE) has a higher volatility of 10.96% compared to DFA Emerging Markets Portfolio (DFEMX) at 8.93%. This indicates that DFAE's price experiences larger fluctuations and is considered to be riskier than DFEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%NovemberDecember2025FebruaryMarchApril
10.96%
8.93%
DFAE
DFEMX