DFEMX vs. FDEM

Last updated Jun 6, 2026

DFEMX (DFA Emerging Markets Portfolio) and FDEM (Fidelity Emerging Markets Multifactor ETF) are both funds - DFEMX is a Emerging Markets Diversified fund managed by Dimensional, while FDEM is a Emerging Markets Equities fund tracking the Fidelity Targeted Emerging Markets Factor Index. Over the past 5 years, DFEMX returned 9.74%/yr vs 7.93%/yr for FDEM. Their correlation of 0.88 suggests significant overlap in exposure. DFEMX charges 0.36%/yr vs 0.45%/yr for FDEM.

Performance

DFEMX vs. FDEM - Performance Comparison

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

Returns By Period

In the year-to-date period, DFEMX achieves a 28.81% return, which is significantly higher than FDEM's 14.42% return.

DFEMX

• 1D: -1.22%
• 1M: 4.21%
• YTD: 28.81%
• 6M: 31.20%
• 1Y: 54.49%
• 3Y*: 25.18%
• 5Y*: 9.74%
• 10Y*: 11.21%

FDEM

• 1D: -5.96%
• 1M: -2.95%
• YTD: 14.42%
• 6M: 15.61%
• 1Y: 32.70%
• 3Y*: 20.58%
• 5Y*: 7.93%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFEMX vs. FDEM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
DFEMX DFA Emerging Markets Portfolio	28.81%	33.57%	6.90%	13.08%	-16.91%	2.53%	13.89%	8.22%
FDEM Fidelity Emerging Markets Multifactor ETF	14.42%	26.75%	9.34%	17.26%	-13.11%	-3.52%	8.87%	5.73%

Correlation

The correlation between DFEMX and FDEM is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (All Time) Calculated using the full available price history since Mar 1, 2019	0.88

The correlation between DFEMX and FDEM has been stable across timeframes, ranging from 0.83 to 0.88 - a consistent structural relationship.

Return for Risk

DFEMX vs. FDEM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFEMX

DFEMX Risk / Return Rank: 91
DFEMX Sharpe Ratio Rank: 95
DFEMX Sortino Ratio Rank: 89
DFEMX Omega Ratio Rank: 88
DFEMX Calmar Ratio Rank: 90
DFEMX Martin Ratio Rank: 91

FDEM

FDEM Risk / Return Rank: 55
FDEM Sharpe Ratio Rank: 55
FDEM Sortino Ratio Rank: 51
FDEM Omega Ratio Rank: 58
FDEM Calmar Ratio Rank: 55
FDEM Martin Ratio Rank: 59

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DFEMX vs. FDEM - Risk-Adjusted Trends 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.

	DFEMX	FDEM	Difference
Sharpe ratio: Return per unit of total volatility	3.37	1.82	+1.56
Sortino ratio: Return per unit of downside risk	4.34	2.38	+1.96
Omega ratio: Gain probability vs. loss probability	1.63	1.34	+0.29
Calmar ratio: Return relative to maximum drawdown	4.42	2.63	+1.80
Martin ratio: Return relative to average drawdown	17.80	10.17	+7.62
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DFEMX vs. FDEM - Sharpe Ratio Comparison

The current DFEMX Sharpe Ratio is 3.37, which is higher than the FDEM Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of DFEMX and FDEM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DFEMX	FDEM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.37	1.82	+1.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.62	0.49	+0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.68	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.47	-0.06

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.

Drawdown Indicators

	DFEMX	FDEM	Difference
Max Drawdown Largest peak-to-trough decline	-62.43%	-33.65%	-28.78%
Max Drawdown (1Y) Largest decline over 1 year	-12.85%	-12.70%	-0.15%
Max Drawdown (3Y) Largest decline over 3 years	-16.12%	-16.04%	-0.08%
Max Drawdown (5Y) Largest decline over 5 years	-31.61%	-28.63%	-2.98%
Max Drawdown (10Y) Largest decline over 10 years	-40.44%	—	—
Current Drawdown Current decline from peak	-1.89%	-8.03%	+6.14%
Average Drawdown Average peak-to-trough decline	-15.34%	-8.83%	-6.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.17%	3.28%	-0.11%

Volatility

DFEMX vs. FDEM - Volatility Comparison

The current volatility for DFA Emerging Markets Portfolio (DFEMX) is 7.73%, while Fidelity Emerging Markets Multifactor ETF (FDEM) has a volatility of 9.18%. 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.

Volatility by Period

	DFEMX	FDEM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.73%	9.18%	-1.45%
Volatility (6M) Calculated over the trailing 6-month period	14.81%	16.32%	-1.51%
Volatility (1Y) Calculated over the trailing 1-year period	16.87%	18.38%	-1.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.69%	16.35%	-0.66%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.57%	18.04%	-1.47%

DFEMX vs. FDEM - Expense Ratio Comparison

DFEMX has a 0.36% expense ratio, which is lower than FDEM's 0.45% expense ratio.

Dividends

DFEMX vs. FDEM - Dividend Comparison

DFEMX's dividend yield for the trailing twelve months is around 1.98%, less than FDEM's 2.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEMX DFA Emerging Markets Portfolio	1.98%	2.55%	3.14%	3.34%	3.90%	6.13%	1.45%	2.33%	2.14%	1.74%	1.92%	2.08%
FDEM Fidelity Emerging Markets Multifactor ETF	2.85%	3.23%	4.05%	4.41%	3.95%	2.71%	1.84%	2.39%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DFEMX and FDEM in my portfolio?

DFEMX and FDEM have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFEMX or FDEM?

FDEM has higher volatility (9.18%) compared to DFEMX (7.73%). In terms of maximum drawdown, DFEMX dropped -62.43% vs FDEM's -33.65%.

Which has better risk-adjusted returns?

DFEMX currently has the higher Sharpe Ratio (3.37 vs 1.82), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.