DFEM vs. DFAE
DFEM (Dimensional Emerging Markets Core Equity 2 ETF) and DFAE (Dimensional Emerging Core Equity Market ETF) are both exchange-traded funds - DFEM is a Emerging Markets Diversified fund actively managed by Dimensional, while DFAE is a Emerging Markets Equities fund actively managed by Dimensional. Both are actively managed. Over the past 3 years, DFEM returned 21.68%/yr vs 22.11%/yr for DFAE. With a 0.99 correlation, they move nearly in lockstep. DFEM charges 0.39%/yr vs 0.35%/yr for DFAE.
Performance
DFEM vs. DFAE - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with DFEM having a 20.81% return and DFAE slightly higher at 21.56%.
DFEM
- 1D
- -5.74%
- 1M
- 0.43%
- YTD
- 20.81%
- 6M
- 21.36%
- 1Y
- 41.37%
- 3Y*
- 21.68%
- 5Y*
- —
- 10Y*
- —
DFAE
- 1D
- -5.77%
- 1M
- 1.20%
- YTD
- 21.56%
- 6M
- 22.20%
- 1Y
- 43.42%
- 3Y*
- 22.11%
- 5Y*
- 8.44%
- 10Y*
- —
DFEM vs. DFAE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
DFEM Dimensional Emerging Markets Core Equity 2 ETF | 20.81% | 29.51% | 7.53% | 13.91% | -9.60% |
DFAE Dimensional Emerging Core Equity Market ETF | 21.56% | 31.48% | 7.68% | 12.63% | -6.80% |
Correlation
The correlation between DFEM and DFAE 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 DFEM and DFAE has been stable across timeframes, ranging from 0.99 to 0.99 - a consistent structural relationship.
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Return for Risk
DFEM vs. DFAE — Risk / Return Rank
DFEM
DFAE
DFEM vs. DFAE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Markets Core Equity 2 ETF (DFEM) and Dimensional Emerging Core Equity Market ETF (DFAE). 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.
| DFEM | DFAE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.04 | ||
| Sortino ratioReturn per unit of downside risk | -0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.39 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.43 | 3.41 | +0.02 |
| Martin ratioReturn relative to average drawdown | 12.74 | 12.56 | +0.18 |
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Drawdowns
DFEM vs. DFAE - Drawdown Comparison
The maximum DFEM drawdown since its inception was -20.82%, smaller than the maximum DFAE drawdown of -32.21%. Use the drawdown chart below to compare losses from any high point for DFEM and DFAE.
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Drawdown Indicators
| DFEM | DFAE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.82% | -32.21% | +11.39% |
Max Drawdown (1Y)Largest decline over 1 year | -12.12% | -12.80% | +0.68% |
Max Drawdown (3Y)Largest decline over 3 years | -18.09% | -18.12% | +0.03% |
Max Drawdown (5Y)Largest decline over 5 years | — | -31.73% | — |
Current DrawdownCurrent decline from peak | -5.74% | -5.77% | +0.03% |
Average DrawdownAverage peak-to-trough decline | -5.01% | -10.25% | +5.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 3.47% | -0.21% |
Volatility
DFEM vs. DFAE - Volatility Comparison
Dimensional Emerging Markets Core Equity 2 ETF (DFEM) and Dimensional Emerging Core Equity Market ETF (DFAE) have volatilities of 12.01% and 12.23%, 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
| DFEM | DFAE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 12.01% | 12.23% | -0.22% |
Volatility (6M)Calculated over the trailing 6-month period | 19.31% | 19.85% | -0.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.16% | 21.76% | -0.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.94% | 18.45% | -0.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.94% | 18.36% | -0.42% |
DFEM vs. DFAE - Expense Ratio Comparison
DFEM has a 0.39% expense ratio, which is higher than DFAE's 0.35% expense ratio.
Dividends
DFEM vs. DFAE - Dividend Comparison
DFEM's dividend yield for the trailing twelve months is around 1.89%, more than DFAE's 1.80% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
DFAE Dimensional Emerging Core Equity Market ETF | 1.80% | 2.20% | 2.35% | 2.43% | 2.85% | 1.63% | 0.01% |
DFEM Dimensional Emerging Markets Core Equity 2 ETF | 1.89% | 2.32% | 2.50% | 2.38% | 1.99% | 0.00% | 0.00% |
Frequently Asked Questions
With a correlation of 0.99, DFEM and DFAE 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 (12.23%) compared to DFEM (12.01%). In terms of maximum drawdown, DFEM dropped -20.82% vs DFAE's -32.21%.
On 3-year performance, DFAE leads with 22.11% vs 21.68% for DFEM. On fees, DFAE is cheaper at 0.35% per year. On volatility, DFEM has been the lower-risk option at 12.01%. 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 22.11% return vs 21.68%. 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 1.89%, compared with 1.80% for DFAE.
DFEM is categorized as Emerging Markets Diversified, while DFAE is Emerging Markets Equities. Their fees differ too: 0.39% for DFEM and 0.35% for DFAE.
DFAE currently has the higher Sharpe Ratio (2.01 vs 1.97), 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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