DFESX vs. DEMSX
Compare and contrast key facts about DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) and DFA Emerging Markets Small Cap Portfolio (DEMSX).
DFESX is managed by T. Rowe Price. It was launched on Aug 30, 2006. DEMSX is managed by Dimensional Fund Advisors LP. It was launched on Mar 4, 1998.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFESX or DEMSX.
Key characteristics
| DFESX | DEMSX | |
|---|---|---|
| YTD Return | 8.73% | 5.66% |
| 1Y Return | 17.07% | 13.81% |
| 3Y Return (Ann) | -0.16% | 1.10% |
| 5Y Return (Ann) | 5.01% | 7.77% |
| 10Y Return (Ann) | 4.28% | 5.55% |
| Sharpe Ratio | 1.35 | 1.20 |
| Sortino Ratio | 1.88 | 1.59 |
| Omega Ratio | 1.24 | 1.22 |
| Calmar Ratio | 0.88 | 1.20 |
| Martin Ratio | 6.56 | 5.61 |
| Ulcer Index | 2.59% | 2.46% |
| Daily Std Dev | 12.59% | 11.52% |
| Max Drawdown | -65.90% | -66.70% |
| Current Drawdown | -6.85% | -7.10% |
Correlation
The correlation between DFESX and DEMSX is 0.96, 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
DFESX vs. DEMSX - Performance Comparison
In the year-to-date period, DFESX achieves a 8.73% return, which is significantly higher than DEMSX's 5.66% return. Over the past 10 years, DFESX has underperformed DEMSX with an annualized return of 4.28%, while DEMSX has yielded a comparatively higher 5.55% annualized return. 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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DFESX vs. DEMSX - Expense Ratio Comparison
DFESX has a 0.45% expense ratio, which is lower than DEMSX's 0.59% expense ratio.
Risk-Adjusted Performance
DFESX vs. DEMSX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) and DFA Emerging Markets Small Cap Portfolio (DEMSX). 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
DFESX vs. DEMSX - Dividend Comparison
DFESX's dividend yield for the trailing twelve months is around 2.86%, less than DEMSX's 3.21% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio | 2.86% | 3.23% | 3.17% | 2.37% | 1.64% | 2.33% | 2.37% | 2.03% | 2.05% | 2.18% | 2.05% | 2.00% |
DEMSX DFA Emerging Markets Small Cap Portfolio | 3.21% | 2.94% | 2.45% | 3.36% | 2.25% | 2.48% | 2.16% | 2.50% | 2.59% | 2.44% | 2.15% | 2.17% |
Drawdowns
DFESX vs. DEMSX - Drawdown Comparison
The maximum DFESX drawdown since its inception was -65.90%, roughly equal to the maximum DEMSX drawdown of -66.70%. Use the drawdown chart below to compare losses from any high point for DFESX and DEMSX. For additional features, visit the drawdowns tool.
Volatility
DFESX vs. DEMSX - Volatility Comparison
DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) has a higher volatility of 4.13% compared to DFA Emerging Markets Small Cap Portfolio (DEMSX) at 3.69%. This indicates that DFESX's price experiences larger fluctuations and is considered to be riskier than DEMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.