DFEMX vs. JPEM

Last updated Jun 4, 2026

DFEMX (DFA Emerging Markets Portfolio) and JPEM (J.P. Morgan Diversified Return Emerging Markets Equity ETF) are both funds - DFEMX is a Emerging Markets Diversified fund managed by Dimensional, while JPEM is a Emerging Markets Equities fund tracking the JPMorgan Diversified Factor Emerging Markets Equity Index. Over the past 10 years, DFEMX returned 11.51%/yr vs 8.07%/yr for JPEM. Their correlation of 0.84 suggests significant overlap in exposure. DFEMX charges 0.36%/yr vs 0.44%/yr for JPEM.

Performance

DFEMX vs. JPEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Emerging Markets Portfolio (DFEMX) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFEMX achieves a 31.30% return, which is significantly higher than JPEM's 7.19% return. Over the past 10 years, DFEMX has outperformed JPEM with an annualized return of 11.51%, while JPEM has yielded a comparatively lower 8.07% annualized return.

DFEMX

• 1D: 1.02%
• 1M: 10.69%
• YTD: 31.30%
• 6M: 34.75%
• 1Y: 60.80%
• 3Y*: 25.98%
• 5Y*: 10.30%
• 10Y*: 11.51%

JPEM

• 1D: -1.27%
• 1M: 0.82%
• YTD: 7.19%
• 6M: 8.77%
• 1Y: 22.34%
• 3Y*: 13.77%
• 5Y*: 6.03%
• 10Y*: 8.07%

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

DFEMX vs. JPEM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFEMX DFA Emerging Markets Portfolio	31.30%	33.57%	6.90%	13.08%	-16.91%	2.53%	13.89%	16.02%	-13.62%	36.57%
JPEM J.P. Morgan Diversified Return Emerging Markets Equity ETF	7.19%	22.90%	4.23%	11.01%	-9.03%	8.11%	-0.46%	16.21%	-10.55%	28.80%

Correlation

The correlation between DFEMX and JPEM is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.86
Correlation (All Time) Calculated using the full available price history since Jan 12, 2015	0.84

The correlation between DFEMX and JPEM shifts across timeframes, from 0.73 (1 year) to 0.86 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

DFEMX vs. JPEM — Risk / Return Rank

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

DFEMX

DFEMX Risk / Return Rank: 93
DFEMX Sharpe Ratio Rank: 97
DFEMX Sortino Ratio Rank: 93
DFEMX Omega Ratio Rank: 92
DFEMX Calmar Ratio Rank: 91
DFEMX Martin Ratio Rank: 92

JPEM

JPEM Risk / Return Rank: 48
JPEM Sharpe Ratio Rank: 50
JPEM Sortino Ratio Rank: 48
JPEM Omega Ratio Rank: 51
JPEM Calmar Ratio Rank: 44
JPEM Martin Ratio Rank: 48

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. JPEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Portfolio (DFEMX) and J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM). 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	JPEM	Difference
Sharpe ratio: Return per unit of total volatility	3.69	1.73	+1.95
Sortino ratio: Return per unit of downside risk	4.67	2.40	+2.27
Omega ratio: Gain probability vs. loss probability	1.69	1.32	+0.37
Calmar ratio: Return relative to maximum drawdown	4.82	2.17	+2.64
Martin ratio: Return relative to average drawdown	19.39	8.14	+11.25
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. JPEM - Sharpe Ratio Comparison

The current DFEMX Sharpe Ratio is 3.69, which is higher than the JPEM Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of DFEMX and JPEM, 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	JPEM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.69	1.73	+1.95
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.66	0.45	+0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	0.48	+0.22
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.33	+0.08

Drawdowns

DFEMX vs. JPEM - Drawdown Comparison

The maximum DFEMX drawdown since its inception was -62.43%, which is greater than JPEM's maximum drawdown of -40.22%. Use the drawdown chart below to compare losses from any high point for DFEMX and JPEM.

Drawdown Indicators

	DFEMX	JPEM	Difference
Max Drawdown Largest peak-to-trough decline	-62.43%	-40.22%	-22.21%
Max Drawdown (1Y) Largest decline over 1 year	-12.85%	-10.32%	-2.53%
Max Drawdown (3Y) Largest decline over 3 years	-16.12%	-14.30%	-1.82%
Max Drawdown (5Y) Largest decline over 5 years	-31.84%	-21.57%	-10.27%
Max Drawdown (10Y) Largest decline over 10 years	-40.44%	-40.22%	-0.22%
Current Drawdown Current decline from peak	0.00%	-3.08%	+3.08%
Average Drawdown Average peak-to-trough decline	-15.34%	-9.47%	-5.87%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.17%	2.75%	+0.42%

Volatility

DFEMX vs. JPEM - Volatility Comparison

DFA Emerging Markets Portfolio (DFEMX) has a higher volatility of 7.55% compared to J.P. Morgan Diversified Return Emerging Markets Equity ETF (JPEM) at 4.59%. This indicates that DFEMX's price experiences larger fluctuations and is considered to be riskier than JPEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFEMX	JPEM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.55%	4.59%	+2.96%
Volatility (6M) Calculated over the trailing 6-month period	14.71%	11.23%	+3.48%
Volatility (1Y) Calculated over the trailing 1-year period	16.80%	12.96%	+3.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.69%	13.49%	+2.20%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.57%	17.04%	-0.47%

DFEMX vs. JPEM - Expense Ratio Comparison

DFEMX has a 0.36% expense ratio, which is lower than JPEM's 0.44% expense ratio.

Dividends

DFEMX vs. JPEM - Dividend Comparison

DFEMX's dividend yield for the trailing twelve months is around 1.94%, less than JPEM's 4.40% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEMX DFA Emerging Markets Portfolio	1.94%	2.55%	3.14%	3.34%	3.90%	6.13%	1.45%	2.33%	2.14%	1.74%	1.92%	2.08%
JPEM J.P. Morgan Diversified Return Emerging Markets Equity ETF	4.40%	4.65%	5.12%	4.46%	4.71%	4.40%	2.85%	3.47%	2.79%	2.14%	1.28%	3.22%

Frequently Asked Questions

Can I hold both DFEMX and JPEM in my portfolio?

DFEMX and JPEM have a correlation of 0.73, 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 JPEM?

DFEMX has higher volatility (7.55%) compared to JPEM (4.59%). In terms of maximum drawdown, DFEMX dropped -62.43% vs JPEM's -40.22%.

Which has better risk-adjusted returns?

DFEMX currently has the higher Sharpe Ratio (3.69 vs 1.73), 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.