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

Correlation

The correlation between DFEMX and DFAE is 0.95, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

DFEMX vs. DFAE - Performance Comparison

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

5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.02%
8.63%
DFEMX
DFAE

Key characteristics

Sharpe Ratio

DFEMX:

0.71

DFAE:

0.70

Sortino Ratio

DFEMX:

1.06

DFAE:

1.06

Omega Ratio

DFEMX:

1.13

DFAE:

1.13

Calmar Ratio

DFEMX:

0.50

DFAE:

0.55

Martin Ratio

DFEMX:

2.71

DFAE:

2.84

Ulcer Index

DFEMX:

3.45%

DFAE:

3.71%

Daily Std Dev

DFEMX:

13.20%

DFAE:

15.13%

Max Drawdown

DFEMX:

-62.43%

DFAE:

-32.21%

Current Drawdown

DFEMX:

-9.19%

DFAE:

-9.33%

Returns By Period

In the year-to-date period, DFEMX achieves a 6.46% return, which is significantly lower than DFAE's 7.72% return.


DFEMX

YTD

6.46%

1M

-1.91%

6M

-1.25%

1Y

8.95%

5Y*

3.29%

10Y*

4.30%

DFAE

YTD

7.72%

1M

-1.34%

6M

-0.88%

1Y

9.72%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DFEMX vs. DFAE - Expense Ratio Comparison

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


DFEMX
DFA Emerging Markets Portfolio
Expense ratio chart for DFEMX: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for DFAE: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

DFEMX vs. DFAE - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Portfolio (DFEMX) 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.


Sharpe ratio
The chart of Sharpe ratio for DFEMX, currently valued at 0.71, compared to the broader market-1.000.001.002.003.004.000.710.70
The chart of Sortino ratio for DFEMX, currently valued at 1.06, compared to the broader market-2.000.002.004.006.008.0010.001.061.06
The chart of Omega ratio for DFEMX, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.003.501.131.13
The chart of Calmar ratio for DFEMX, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.500.55
The chart of Martin ratio for DFEMX, currently valued at 2.71, compared to the broader market0.0020.0040.0060.002.712.84
DFEMX
DFAE

The current DFEMX Sharpe Ratio is 0.71, which is comparable to the DFAE Sharpe Ratio of 0.70. The chart below compares the historical Sharpe Ratios of DFEMX and DFAE, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.71
0.70
DFEMX
DFAE

Dividends

DFEMX vs. DFAE - Dividend Comparison

DFEMX's dividend yield for the trailing twelve months is around 2.04%, less than DFAE's 2.35% yield.


TTM20232022202120202019201820172016201520142013
DFEMX
DFA Emerging Markets Portfolio
2.04%3.34%3.65%2.42%1.45%2.33%2.14%1.74%1.92%2.09%2.02%2.12%
DFAE
Dimensional Emerging Core Equity Market ETF
2.35%2.43%2.85%1.64%0.01%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

DFEMX vs. DFAE - Drawdown Comparison

The maximum DFEMX drawdown since its inception was -62.43%, which is greater than DFAE's maximum drawdown of -32.21%. Use the drawdown chart below to compare losses from any high point for DFEMX and DFAE. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.19%
-9.33%
DFEMX
DFAE

Volatility

DFEMX vs. DFAE - Volatility Comparison

The current volatility for DFA Emerging Markets Portfolio (DFEMX) is 2.74%, while Dimensional Emerging Core Equity Market ETF (DFAE) has a volatility of 3.73%. This indicates that DFEMX experiences smaller price fluctuations and is considered to be less risky than DFAE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
2.74%
3.73%
DFEMX
DFAE
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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