DFEMX vs. DFAE
Compare and contrast key facts about DFA Emerging Markets Portfolio (DFEMX) and Dimensional Emerging Core Equity Market ETF (DFAE).
DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994. DFAE is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Dec 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEMX or DFAE.
Key characteristics
| DFEMX | DFAE | |
|---|---|---|
| YTD Return | 8.20% | 8.67% |
| 1Y Return | 14.57% | 13.38% |
| 3Y Return (Ann) | -0.18% | -0.38% |
| Sharpe Ratio | 1.24 | 1.07 |
| Sortino Ratio | 1.77 | 1.57 |
| Omega Ratio | 1.22 | 1.19 |
| Calmar Ratio | 0.88 | 0.85 |
| Martin Ratio | 6.18 | 5.63 |
| Ulcer Index | 2.66% | 2.88% |
| Daily Std Dev | 13.27% | 15.15% |
| Max Drawdown | -62.43% | -32.21% |
| Current Drawdown | -7.71% | -8.53% |
Correlation
The correlation between DFEMX and DFAE is 0.96, 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.
Performance
DFEMX vs. DFAE - Performance Comparison
In the year-to-date period, DFEMX achieves a 8.20% return, which is significantly lower than DFAE's 8.67% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DFEMX vs. DFAE - Expense Ratio Comparison
DFEMX has a 0.36% expense ratio, which is higher than DFAE's 0.35% expense ratio.
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.
Dividends
DFEMX vs. DFAE - Dividend Comparison
DFEMX's dividend yield for the trailing twelve months is around 3.26%, more than DFAE's 2.10% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEMX DFA Emerging Markets Portfolio | 3.26% | 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 | 2.10% | 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.
Volatility
DFEMX vs. DFAE - Volatility Comparison
The current volatility for DFA Emerging Markets Portfolio (DFEMX) is 4.02%, while Dimensional Emerging Core Equity Market ETF (DFAE) has a volatility of 4.84%. 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.