DFAE vs. DFSE

Last updated Jun 5, 2026

DFAE (Dimensional Emerging Core Equity Market ETF) and DFSE (Dimensional Emerging Markets Sustainability Core 1 ETF) are both exchange-traded funds - DFAE is a Emerging Markets Equities fund actively managed by Dimensional, while DFSE is a Emerging Markets Diversified fund actively managed by Dimensional. Both are actively managed. Over the past 3 years, DFAE returned 23.46%/yr vs 20.89%/yr for DFSE. With a 0.96 correlation, they move nearly in lockstep. DFAE charges 0.35%/yr vs 0.41%/yr for DFSE.

Performance

DFAE vs. DFSE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional Emerging Core Equity Market ETF (DFAE) and Dimensional Emerging Markets Sustainability Core 1 ETF (DFSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFAE achieves a 25.28% return, which is significantly higher than DFSE's 20.50% return.

DFAE

• 1D: -0.83%
• 1M: 4.78%
• YTD: 25.28%
• 6M: 27.97%
• 1Y: 49.72%
• 3Y*: 23.46%
• 5Y*: 8.77%
• 10Y*: —

DFSE

• 1D: -0.43%
• 1M: 3.57%
• YTD: 20.50%
• 6M: 22.31%
• 1Y: 39.77%
• 3Y*: 20.89%
• 5Y*: —
• 10Y*: —

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

DFAE vs. DFSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
DFAE Dimensional Emerging Core Equity Market ETF	25.28%	31.48%	7.68%	12.63%	11.00%
DFSE Dimensional Emerging Markets Sustainability Core 1 ETF	20.50%	28.22%	6.90%	14.66%	11.62%

Correlation

The correlation between DFAE and DFSE is 0.97 - 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	0.97
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (All Time) Calculated using the full available price history since Nov 3, 2022	0.96

The correlation between DFAE and DFSE has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.

DFAE vs. DFSE - Sectors Allocation Comparison

Sectors	DFAE	DFSE
Technology	34.8%	31.2%
Financial Services	17.1%	13.9%
Industrials	10.2%	12.5%
Consumer Cyclical	9.1%	10.6%
Basic Materials	7.7%	6.2%
Communication Services	6.1%	5.8%
Energy	4.2%	1.0%
Healthcare	3.5%	4.7%
Consumer Defensive	3.3%	3.9%
Utilities	2.4%	1.8%
Real Estate	1.5%	2.2%

Return for Risk

DFAE vs. DFSE — Risk / Return Rank

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

DFAE

DFAE Risk / Return Rank: 79
DFAE Sharpe Ratio Rank: 82
DFAE Sortino Ratio Rank: 78
DFAE Omega Ratio Rank: 81
DFAE Calmar Ratio Rank: 78
DFAE Martin Ratio Rank: 79

DFSE

DFSE Risk / Return Rank: 65
DFSE Sharpe Ratio Rank: 66
DFSE Sortino Ratio Rank: 62
DFSE Omega Ratio Rank: 67
DFSE Calmar Ratio Rank: 63
DFSE Martin Ratio Rank: 64

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DFAE vs. DFSE - 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 Sustainability Core 1 ETF (DFSE). 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.

	DFAE	DFSE	Difference
Sharpe ratio: Return per unit of total volatility	2.63	2.14	+0.49
Sortino ratio: Return per unit of downside risk	3.43	2.88	+0.56
Omega ratio: Gain probability vs. loss probability	1.48	1.40	+0.09
Calmar ratio: Return relative to maximum drawdown	3.90	3.10	+0.80
Martin ratio: Return relative to average drawdown	15.10	11.56	+3.54
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DFAE vs. DFSE - Sharpe Ratio Comparison

The current DFAE Sharpe Ratio is 2.63, which is comparable to the DFSE Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of DFAE and DFSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DFAE	DFSE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.63	2.14	+0.49
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.63	1.33	-0.70

Drawdowns

DFAE vs. DFSE - Drawdown Comparison

The maximum DFAE drawdown since its inception was -32.21%, which is greater than DFSE's maximum drawdown of -19.77%. Use the drawdown chart below to compare losses from any high point for DFAE and DFSE.

Drawdown Indicators

	DFAE	DFSE	Difference
Max Drawdown Largest peak-to-trough decline	-32.21%	-19.77%	-12.44%
Max Drawdown (1Y) Largest decline over 1 year	-12.80%	-12.88%	+0.08%
Max Drawdown (3Y) Largest decline over 3 years	-18.12%	-19.77%	+1.65%
Max Drawdown (5Y) Largest decline over 5 years	-32.19%	—	—
Current Drawdown Current decline from peak	-2.07%	-2.08%	+0.01%
Average Drawdown Average peak-to-trough decline	-10.31%	-3.99%	-6.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.30%	3.45%	-0.15%

Volatility

DFAE vs. DFSE - Volatility Comparison

Dimensional Emerging Core Equity Market ETF (DFAE) and Dimensional Emerging Markets Sustainability Core 1 ETF (DFSE) have volatilities of 8.00% and 7.80%, 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.

Volatility by Period

	DFAE	DFSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.00%	7.80%	+0.20%
Volatility (6M) Calculated over the trailing 6-month period	16.56%	16.14%	+0.42%
Volatility (1Y) Calculated over the trailing 1-year period	19.02%	18.72%	+0.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.81%	17.63%	+0.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.84%	17.63%	+0.21%

DFAE vs. DFSE - Expense Ratio Comparison

DFAE has a 0.35% expense ratio, which is lower than DFSE's 0.41% expense ratio.

Dividends

DFAE vs. DFSE - Dividend Comparison

DFAE's dividend yield for the trailing twelve months is around 1.75%, less than DFSE's 1.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
DFAE Dimensional Emerging Core Equity Market ETF	1.75%	2.20%	2.35%	2.43%	2.85%	1.63%	0.01%
DFSE Dimensional Emerging Markets Sustainability Core 1 ETF	1.85%	2.26%	2.06%	2.06%	0.36%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DFAE and DFSE in my portfolio?

With a correlation of 0.97, DFAE and DFSE 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.

Which is riskier, DFAE or DFSE?

DFAE has higher volatility (8.00%) compared to DFSE (7.80%). In terms of maximum drawdown, DFAE dropped -32.21% vs DFSE's -19.77%.

Which ETF is better, DFAE or DFSE?

On 3-year performance, DFAE leads with 23.46% vs 20.89% for DFSE. On fees, DFAE is cheaper at 0.35% per year. On volatility, DFSE has been the lower-risk option at 7.80%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DFAE or DFSE?

Over the 3-year period, DFAE has performed better with a 23.46% return vs 20.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DFAE or DFSE?

DFAE is cheaper with a 0.35% expense ratio, compared with 0.41% for DFSE.

Which ETF pays a higher dividend yield, DFAE or DFSE?

DFSE has the higher dividend yield at 1.85%, compared with 1.75% for DFAE.

What is the main difference between DFAE and DFSE?

DFAE is categorized as Emerging Markets Equities, while DFSE is Emerging Markets Diversified. Their fees differ too: 0.35% for DFAE and 0.41% for DFSE.

Which has better risk-adjusted returns?

DFAE currently has the higher Sharpe Ratio (2.63 vs 2.14), 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.