DFEM vs. SPY

Last updated Jun 14, 2026

DFEM (Dimensional Emerging Markets Core Equity 2 ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - DFEM is a Emerging Markets Diversified fund actively managed by Dimensional, while SPY is a S&P 500 fund tracking the S&P 500 Index. DFEM is actively managed, while SPY is passively managed. Over the past 3 years, DFEM returned 21.31%/yr vs 20.86%/yr for SPY. A 0.66 correlation means they provide meaningful diversification when combined. DFEM charges 0.39%/yr vs 0.09%/yr for SPY.

Performance

DFEM vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional Emerging Markets Core Equity 2 ETF (DFEM) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFEM achieves a 22.86% return, which is significantly higher than SPY's 9.07% return.

DFEM

• 1D: 0.37%
• 1M: 0.25%
• YTD: 22.86%
• 6M: 25.68%
• 1Y: 43.48%
• 3Y*: 21.31%
• 5Y*: —
• 10Y*: —

SPY

• 1D: 0.54%
• 1M: -0.86%
• YTD: 9.07%
• 6M: 9.42%
• 1Y: 25.67%
• 3Y*: 20.86%
• 5Y*: 13.36%
• 10Y*: 15.42%

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

DFEM vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
DFEM Dimensional Emerging Markets Core Equity 2 ETF	22.86%	29.51%	7.53%	13.91%	-9.60%
SPY State Street SPDR S&P 500 ETF	9.07%	17.72%	24.89%	26.18%	-6.89%

Correlation

The correlation between DFEM and SPY is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (All Time) Calculated using the full available price history since Apr 27, 2022	0.66

The correlation between DFEM and SPY has been stable across timeframes, ranging from 0.66 to 0.76 - a consistent structural relationship.

Return for Risk

DFEM vs. SPY — Risk / Return Rank

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

DFEM

DFEM Risk / Return Rank: 75
DFEM Sharpe Ratio Rank: 74
DFEM Sortino Ratio Rank: 69
DFEM Omega Ratio Rank: 77
DFEM Calmar Ratio Rank: 76
DFEM Martin Ratio Rank: 77

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 71
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 76

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.

DFEM vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional Emerging Markets Core Equity 2 ETF (DFEM) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.07	1.98	+0.09
Sortino ratio: Return per unit of downside risk	2.69	2.68	+0.01
Omega ratio: Gain probability vs. loss probability	1.39	1.36	+0.03
Calmar ratio: Return relative to maximum drawdown	3.42	2.74	+0.67
Martin ratio: Return relative to average drawdown	12.78	12.39	+0.39

DFEM vs. SPY - Sharpe Ratio Comparison

The current DFEM Sharpe Ratio is 2.07, which is comparable to the SPY Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of DFEM and SPY, 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

DFEM vs. SPY - Drawdown Comparison

The maximum DFEM drawdown since its inception was -20.82%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFEM and SPY.

Drawdown Indicators

	DFEM	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-20.82%	-55.19%	+34.37%
Max Drawdown (1Y) Largest decline over 1 year	-12.12%	-8.88%	-3.24%
Max Drawdown (3Y) Largest decline over 3 years	-18.09%	-18.76%	+0.67%
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-3.43%	-2.35%	-1.08%
Average Drawdown Average peak-to-trough decline	-5.03%	-9.04%	+4.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.24%	1.97%	+1.27%

Volatility

DFEM vs. SPY - Volatility Comparison

Dimensional Emerging Markets Core Equity 2 ETF (DFEM) has a higher volatility of 10.14% compared to State Street SPDR S&P 500 ETF (SPY) at 4.34%. This indicates that DFEM's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFEM	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.14%	4.34%	+5.80%
Volatility (6M) Calculated over the trailing 6-month period	17.91%	9.58%	+8.33%
Volatility (1Y) Calculated over the trailing 1-year period	20.02%	12.29%	+7.73%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.63%	17.12%	+0.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.63%	17.96%	-0.33%

DFEM vs. SPY - Expense Ratio Comparison

DFEM has a 0.39% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

DFEM vs. SPY - Dividend Comparison

DFEM's dividend yield for the trailing twelve months is around 1.86%, more than SPY's 1.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEM Dimensional Emerging Markets Core Equity 2 ETF	1.86%	2.32%	2.50%	2.38%	1.99%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	1.00%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both DFEM and SPY in my portfolio?

DFEM and SPY have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFEM or SPY?

DFEM has higher volatility (10.14%) compared to SPY (4.34%). In terms of maximum drawdown, DFEM dropped -20.82% vs SPY's -55.19%.

Which ETF is better, DFEM or SPY?

On 3-year performance, DFEM leads with 21.31% vs 20.86% for SPY. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 4.34%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DFEM or SPY?

Over the 3-year period, DFEM has performed better with a 21.31% return vs 20.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DFEM or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.39% for DFEM.

Which ETF pays a higher dividend yield, DFEM or SPY?

DFEM has the higher dividend yield at 1.86%, compared with 1.00% for SPY.

What is the main difference between DFEM and SPY?

DFEM is categorized as Emerging Markets Diversified, while SPY is S&P 500. They also come from different issuers: Dimensional and State Street. Their fees differ too: 0.39% for DFEM and 0.09% for SPY.

Which has better risk-adjusted returns?

DFEM currently has the higher Sharpe Ratio (2.07 vs 1.98), 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.