DFEMX vs. FDEM
Compare and contrast key facts about DFA Emerging Markets Portfolio (DFEMX) and Fidelity Emerging Markets Multifactor ETF (FDEM).
DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994. FDEM is a passively managed fund by Fidelity that tracks the performance of the Fidelity Targeted Emerging Markets Factor Index. It was launched on Feb 26, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFEMX or FDEM.
Key characteristics
| DFEMX | FDEM | |
|---|---|---|
| YTD Return | 11.90% | 11.59% |
| 1Y Return | 20.88% | 21.68% |
| 3Y Return (Ann) | 1.31% | 3.92% |
| 5Y Return (Ann) | 5.12% | 4.16% |
| Sharpe Ratio | 1.53 | 1.49 |
| Sortino Ratio | 2.17 | 2.16 |
| Omega Ratio | 1.27 | 1.26 |
| Calmar Ratio | 1.01 | 1.28 |
| Martin Ratio | 7.87 | 8.39 |
| Ulcer Index | 2.55% | 2.43% |
| Daily Std Dev | 13.11% | 13.68% |
| Max Drawdown | -62.43% | -33.65% |
| Current Drawdown | -4.55% | -5.27% |
Correlation
The correlation between DFEMX and FDEM is 0.88, 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. FDEM - Performance Comparison
The year-to-date returns for both stocks are quite close, with DFEMX having a 11.90% return and FDEM slightly lower at 11.59%. 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. FDEM - Expense Ratio Comparison
DFEMX has a 0.36% expense ratio, which is lower than FDEM's 0.45% expense ratio.
Risk-Adjusted Performance
DFEMX vs. FDEM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Portfolio (DFEMX) and Fidelity Emerging Markets Multifactor ETF (FDEM). 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. FDEM - Dividend Comparison
DFEMX's dividend yield for the trailing twelve months is around 3.15%, less than FDEM's 3.26% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEMX DFA Emerging Markets Portfolio | 3.15% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
FDEM Fidelity Emerging Markets Multifactor ETF | 3.26% | 4.41% | 3.95% | 2.71% | 1.84% | 2.39% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
DFEMX vs. FDEM - Drawdown Comparison
The maximum DFEMX drawdown since its inception was -62.43%, which is greater than FDEM's maximum drawdown of -33.65%. Use the drawdown chart below to compare losses from any high point for DFEMX and FDEM. For additional features, visit the drawdowns tool.
Volatility
DFEMX vs. FDEM - Volatility Comparison
The current volatility for DFA Emerging Markets Portfolio (DFEMX) is 4.00%, while Fidelity Emerging Markets Multifactor ETF (FDEM) has a volatility of 4.50%. This indicates that DFEMX experiences smaller price fluctuations and is considered to be less risky than FDEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.