DFEMX vs. DISVX
Compare and contrast key facts about DFA Emerging Markets Portfolio (DFEMX) and DFA International Small Cap Value Portfolio (DISVX).
DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994. DISVX is managed by Dimensional Fund Advisors LP. It was launched on Dec 28, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEMX or DISVX.
Key characteristics
| DFEMX | DISVX | |
|---|---|---|
| YTD Return | 8.97% | 8.05% |
| 1Y Return | 17.27% | 19.01% |
| 3Y Return (Ann) | 0.06% | 3.95% |
| 5Y Return (Ann) | 4.98% | 6.78% |
| 10Y Return (Ann) | 4.09% | 4.28% |
| Sharpe Ratio | 1.29 | 1.38 |
| Sortino Ratio | 1.84 | 1.93 |
| Omega Ratio | 1.23 | 1.24 |
| Calmar Ratio | 0.87 | 2.43 |
| Martin Ratio | 6.54 | 7.70 |
| Ulcer Index | 2.61% | 2.49% |
| Daily Std Dev | 13.25% | 13.94% |
| Max Drawdown | -62.43% | -63.79% |
| Current Drawdown | -7.04% | -7.15% |
Correlation
The correlation between DFEMX and DISVX is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
DFEMX vs. DISVX - Performance Comparison
In the year-to-date period, DFEMX achieves a 8.97% return, which is significantly higher than DISVX's 8.05% return. Both investments have delivered pretty close results over the past 10 years, with DFEMX having a 4.09% annualized return and DISVX not far ahead at 4.28%. 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. DISVX - Expense Ratio Comparison
DFEMX has a 0.36% expense ratio, which is lower than DISVX's 0.46% expense ratio.
Risk-Adjusted Performance
DFEMX vs. DISVX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Portfolio (DFEMX) and DFA International Small Cap Value Portfolio (DISVX). 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. DISVX - Dividend Comparison
DFEMX's dividend yield for the trailing twelve months is around 3.24%, less than DISVX's 3.93% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEMX DFA Emerging Markets Portfolio | 3.24% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
DISVX DFA International Small Cap Value Portfolio | 3.93% | 3.75% | 2.40% | 2.76% | 1.85% | 2.47% | 2.20% | 2.54% | 2.60% | 2.01% | 2.09% | 2.12% |
Drawdowns
DFEMX vs. DISVX - Drawdown Comparison
The maximum DFEMX drawdown since its inception was -62.43%, roughly equal to the maximum DISVX drawdown of -63.79%. Use the drawdown chart below to compare losses from any high point for DFEMX and DISVX. For additional features, visit the drawdowns tool.
Volatility
DFEMX vs. DISVX - Volatility Comparison
DFA Emerging Markets Portfolio (DFEMX) has a higher volatility of 4.35% compared to DFA International Small Cap Value Portfolio (DISVX) at 4.05%. This indicates that DFEMX's price experiences larger fluctuations and is considered to be riskier than DISVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.