DFEMX vs. DFIEX
Compare and contrast key facts about DFA Emerging Markets Portfolio (DFEMX) and DFA International Core Equity Portfolio I (DFIEX).
DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994. DFIEX is managed by Dimensional Fund Advisors LP. It was launched on Sep 15, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEMX or DFIEX.
Key characteristics
| DFEMX | DFIEX | |
|---|---|---|
| YTD Return | 11.05% | 6.98% |
| 1Y Return | 19.31% | 18.61% |
| 3Y Return (Ann) | 0.69% | 2.27% |
| 5Y Return (Ann) | 5.35% | 6.78% |
| 10Y Return (Ann) | 4.29% | 5.99% |
| Sharpe Ratio | 1.52 | 1.52 |
| Sortino Ratio | 2.15 | 2.15 |
| Omega Ratio | 1.27 | 1.27 |
| Calmar Ratio | 1.02 | 1.84 |
| Martin Ratio | 7.75 | 8.51 |
| Ulcer Index | 2.57% | 2.27% |
| Daily Std Dev | 13.13% | 12.72% |
| Max Drawdown | -62.43% | -62.26% |
| Current Drawdown | -5.27% | -5.55% |
Correlation
The correlation between DFEMX and DFIEX is 0.81, 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. DFIEX - Performance Comparison
In the year-to-date period, DFEMX achieves a 11.05% return, which is significantly higher than DFIEX's 6.98% return. Over the past 10 years, DFEMX has underperformed DFIEX with an annualized return of 4.29%, while DFIEX has yielded a comparatively higher 5.99% annualized 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. DFIEX - Expense Ratio Comparison
DFEMX has a 0.36% expense ratio, which is higher than DFIEX's 0.24% expense ratio.
Risk-Adjusted Performance
DFEMX vs. DFIEX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Portfolio (DFEMX) and DFA International Core Equity Portfolio I (DFIEX). 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. DFIEX - Dividend Comparison
DFEMX's dividend yield for the trailing twelve months is around 3.18%, less than DFIEX's 3.37% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEMX DFA Emerging Markets Portfolio | 3.18% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
DFIEX DFA International Core Equity Portfolio I | 3.37% | 3.36% | 2.89% | 2.98% | 1.77% | 2.90% | 2.95% | 2.50% | 2.77% | 2.62% | 3.16% | 2.43% |
Drawdowns
DFEMX vs. DFIEX - Drawdown Comparison
The maximum DFEMX drawdown since its inception was -62.43%, roughly equal to the maximum DFIEX drawdown of -62.26%. Use the drawdown chart below to compare losses from any high point for DFEMX and DFIEX. For additional features, visit the drawdowns tool.
Volatility
DFEMX vs. DFIEX - Volatility Comparison
DFA Emerging Markets Portfolio (DFEMX) has a higher volatility of 4.01% compared to DFA International Core Equity Portfolio I (DFIEX) at 3.55%. This indicates that DFEMX's price experiences larger fluctuations and is considered to be riskier than DFIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.