DFEMX vs. LZEMX

Last updated Jul 14, 2026

DFEMX (DFA Emerging Markets Portfolio) and LZEMX (Lazard Emerging Markets Equity Portfolio) are both Emerging Markets Diversified funds. Over the past 10 years, DFEMX returned 10.29%/yr vs 10.36%/yr for LZEMX. Their correlation of 0.88 suggests significant overlap in exposure. DFEMX charges 0.36%/yr vs 1.06%/yr for LZEMX.

Performance

DFEMX vs. LZEMX - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with DFEMX having a 24.15% return and LZEMX slightly higher at 25.19%. Both investments have delivered pretty close results over the past 10 years, with DFEMX having a 10.29% annualized return and LZEMX not far ahead at 10.36%.

DFEMX

• 1D: 0.53%
• 1M: -1.40%
• 6M: 18.04%
• YTD: 24.15%
• 1Y: 43.10%
• 3Y*: 22.77%
• 5Y*: 9.76%
• 10Y*: 10.29%

LZEMX

• 1D: 0.84%
• 1M: 0.65%
• 6M: 20.02%
• YTD: 25.19%
• 1Y: 45.59%
• 3Y*: 27.37%
• 5Y*: 14.05%
• 10Y*: 10.36%

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

DFEMX vs. LZEMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFEMX DFA Emerging Markets Portfolio	24.15%	33.57%	6.90%	13.08%	-16.91%	2.53%	13.89%	16.02%	-13.62%	36.57%
LZEMX Lazard Emerging Markets Equity Portfolio	25.19%	41.35%	7.60%	22.44%	-14.86%	5.37%	-0.07%	18.06%	-18.11%	28.02%

Correlation

The correlation between DFEMX and LZEMX is 0.87, 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	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Jul 15, 1994	0.88

The correlation between DFEMX and LZEMX has been stable across timeframes, ranging from 0.87 to 0.92 - a consistent structural relationship.

Return for Risk

DFEMX vs. LZEMX — Risk / Return Rank

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

DFEMX

DFEMX Risk / Return Rank: 80
DFEMX Sharpe Ratio Rank: 81
DFEMX Sortino Ratio Rank: 70
DFEMX Omega Ratio Rank: 80
DFEMX Calmar Ratio Rank: 87
DFEMX Martin Ratio Rank: 84

LZEMX

LZEMX Risk / Return Rank: 94
LZEMX Sharpe Ratio Rank: 98
LZEMX Sortino Ratio Rank: 93
LZEMX Omega Ratio Rank: 91
LZEMX Calmar Ratio Rank: 94
LZEMX Martin Ratio Rank: 93

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. LZEMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Portfolio (DFEMX) and Lazard Emerging Markets Equity Portfolio (LZEMX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DFEMX	LZEMX	Difference
Sharpe ratio: Return per unit of total volatility	2.11	3.14	-1.03
Sortino ratio: Return per unit of downside risk	2.65	4.04	-1.39
Omega ratio: Gain probability vs. loss probability	1.41	1.57	-0.16
Calmar ratio: Return relative to maximum drawdown	3.37	4.33	-0.97
Martin ratio: Return relative to average drawdown	11.99	14.98	-2.99

DFEMX vs. LZEMX - Sharpe Ratio Comparison

The current DFEMX Sharpe Ratio is 2.11, which is lower than the LZEMX Sharpe Ratio of 3.14. The chart below compares the historical Sharpe Ratios of DFEMX and LZEMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DFEMX vs. LZEMX - Drawdown Comparison

The maximum DFEMX drawdown since its inception was -62.43%, roughly equal to the maximum LZEMX drawdown of -60.08%. Use the drawdown chart below to compare losses from any high point for DFEMX and LZEMX.

Drawdown Indicators

	DFEMX	LZEMX	Difference
Max Drawdown Largest peak-to-trough decline	-62.43%	-60.08%	-2.35%
Max Drawdown (1Y) Largest decline over 1 year	-12.85%	-10.42%	-2.43%
Max Drawdown (3Y) Largest decline over 3 years	-16.12%	-14.27%	-1.85%
Max Drawdown (5Y) Largest decline over 5 years	-29.84%	-29.13%	-0.71%
Max Drawdown (10Y) Largest decline over 10 years	-40.44%	-44.08%	+3.64%
Current Drawdown Current decline from peak	-5.79%	-1.40%	-4.39%
Average Drawdown Average peak-to-trough decline	-15.30%	-16.58%	+1.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.59%	3.01%	+0.58%

Volatility

DFEMX vs. LZEMX - Volatility Comparison

DFA Emerging Markets Portfolio (DFEMX) has a higher volatility of 10.70% compared to Lazard Emerging Markets Equity Portfolio (LZEMX) at 5.41%. This indicates that DFEMX's price experiences larger fluctuations and is considered to be riskier than LZEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFEMX	LZEMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.70%	5.41%	+5.29%
Volatility (6M) Calculated over the trailing 6-month period	19.05%	12.43%	+6.62%
Volatility (1Y) Calculated over the trailing 1-year period	20.51%	14.37%	+6.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.55%	14.52%	+2.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.85%	16.33%	+0.52%

DFEMX vs. LZEMX - Expense Ratio Comparison

DFEMX has a 0.36% expense ratio, which is lower than LZEMX's 1.06% expense ratio.

Dividends

DFEMX vs. LZEMX - Dividend Comparison

DFEMX's dividend yield for the trailing twelve months is around 1.97%, more than LZEMX's 1.64% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEMX DFA Emerging Markets Portfolio	1.97%	2.55%	3.14%	3.34%	3.90%	6.13%	1.45%	2.33%	2.14%	1.74%	1.92%	2.08%
LZEMX Lazard Emerging Markets Equity Portfolio	1.64%	2.05%	3.11%	3.76%	5.92%	4.89%	2.11%	2.45%	2.10%	1.99%	1.48%	2.14%

Frequently Asked Questions

Can I hold both DFEMX and LZEMX in my portfolio?

DFEMX and LZEMX have a correlation of 0.87, 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 LZEMX?

DFEMX has higher volatility (10.70%) compared to LZEMX (5.41%). In terms of maximum drawdown, DFEMX dropped -62.43% vs LZEMX's -60.08%.

Which has better risk-adjusted returns?

LZEMX currently has the higher Sharpe Ratio (3.14 vs 2.11), 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.