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DFEMX vs. FDEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.9

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.

20.00%25.00%30.00%35.00%40.00%JulyAugustSeptemberOctoberNovemberDecember
26.41%
24.94%
DFEMX
FDEM

Key characteristics

Sharpe Ratio

DFEMX:

0.71

FDEM:

0.95

Sortino Ratio

DFEMX:

1.06

FDEM:

1.41

Omega Ratio

DFEMX:

1.13

FDEM:

1.17

Calmar Ratio

DFEMX:

0.50

FDEM:

1.09

Martin Ratio

DFEMX:

2.71

FDEM:

4.21

Ulcer Index

DFEMX:

3.45%

FDEM:

3.12%

Daily Std Dev

DFEMX:

13.20%

FDEM:

13.76%

Max Drawdown

DFEMX:

-62.43%

FDEM:

-33.65%

Current Drawdown

DFEMX:

-9.19%

FDEM:

-6.27%

Returns By Period

In the year-to-date period, DFEMX achieves a 6.46% return, which is significantly lower than FDEM's 10.42% return.


DFEMX

YTD

6.46%

1M

-1.91%

6M

-1.25%

1Y

8.95%

5Y*

3.29%

10Y*

4.30%

FDEM

YTD

10.42%

1M

0.72%

6M

1.03%

1Y

12.84%

5Y*

3.44%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DFEMX vs. FDEM - Expense Ratio Comparison

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


FDEM
Fidelity Emerging Markets Multifactor ETF
Expense ratio chart for FDEM: current value at 0.45% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.45%
Expense ratio chart for DFEMX: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%

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.


Sharpe ratio
The chart of Sharpe ratio for DFEMX, currently valued at 0.71, compared to the broader market-1.000.001.002.003.004.000.710.95
The chart of Sortino ratio for DFEMX, currently valued at 1.06, compared to the broader market-2.000.002.004.006.008.0010.001.061.41
The chart of Omega ratio for DFEMX, currently valued at 1.13, compared to the broader market0.501.001.502.002.503.003.501.131.17
The chart of Calmar ratio for DFEMX, currently valued at 0.50, compared to the broader market0.005.0010.0015.000.501.09
The chart of Martin ratio for DFEMX, currently valued at 2.71, compared to the broader market0.0020.0040.0060.002.714.21
DFEMX
FDEM

The current DFEMX Sharpe Ratio is 0.71, which is comparable to the FDEM Sharpe Ratio of 0.95. The chart below compares the historical Sharpe Ratios of DFEMX and FDEM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.71
0.95
DFEMX
FDEM

Dividends

DFEMX vs. FDEM - Dividend Comparison

DFEMX's dividend yield for the trailing twelve months is around 2.04%, less than FDEM's 2.83% yield.


TTM20232022202120202019201820172016201520142013
DFEMX
DFA Emerging Markets Portfolio
2.04%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
2.83%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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.19%
-6.27%
DFEMX
FDEM

Volatility

DFEMX vs. FDEM - Volatility Comparison

The current volatility for DFA Emerging Markets Portfolio (DFEMX) is 2.74%, while Fidelity Emerging Markets Multifactor ETF (FDEM) has a volatility of 3.88%. 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
2.74%
3.88%
DFEMX
FDEM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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