DFESX vs. DEMSX

Last updated Jun 24, 2026

DFESX (DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio) and DEMSX (DFA Emerging Markets Small Cap Portfolio) are both Emerging Markets Diversified funds. Over the past 10 years, DFESX returned 11.40%/yr vs 9.56%/yr for DEMSX. Their correlation of 0.94 suggests significant overlap in exposure. DFESX charges 0.45%/yr vs 0.59%/yr for DEMSX.

Performance

DFESX vs. DEMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) and DFA Emerging Markets Small Cap Portfolio (DEMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFESX achieves a 30.38% return, which is significantly higher than DEMSX's 11.78% return. Over the past 10 years, DFESX has outperformed DEMSX with an annualized return of 11.40%, while DEMSX has yielded a comparatively lower 9.56% annualized return.

DFESX

• 1D: 0.34%
• 1M: 7.94%
• YTD: 30.38%
• 6M: 31.52%
• 1Y: 53.49%
• 3Y*: 24.48%
• 5Y*: 10.00%
• 10Y*: 11.40%

DEMSX

• 1D: -0.17%
• 1M: 1.16%
• YTD: 11.78%
• 6M: 11.74%
• 1Y: 22.99%
• 3Y*: 14.79%
• 5Y*: 7.12%
• 10Y*: 9.56%

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

DFESX vs. DEMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio	30.38%	29.95%	7.16%	14.58%	-18.49%	4.16%	12.99%	17.12%	-14.87%	37.30%
DEMSX DFA Emerging Markets Small Cap Portfolio	11.78%	19.01%	4.92%	16.32%	-15.30%	19.54%	13.82%	14.89%	-17.55%	33.32%

Correlation

The correlation between DFESX and DEMSX is 0.90, 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.94
Correlation (All Time) Calculated using the full available price history since Aug 3, 2012	0.94

The correlation between DFESX and DEMSX has been stable across timeframes, ranging from 0.90 to 0.94 - a consistent structural relationship.

Return for Risk

DFESX vs. DEMSX — Risk / Return Rank

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

DFESX

DFESX Risk / Return Rank: 89
DFESX Sharpe Ratio Rank: 94
DFESX Sortino Ratio Rank: 84
DFESX Omega Ratio Rank: 88
DFESX Calmar Ratio Rank: 90
DFESX Martin Ratio Rank: 90

DEMSX

DEMSX Risk / Return Rank: 40
DEMSX Sharpe Ratio Rank: 39
DEMSX Sortino Ratio Rank: 37
DEMSX Omega Ratio Rank: 43
DEMSX Calmar Ratio Rank: 41
DEMSX Martin Ratio Rank: 38

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.

DFESX vs. DEMSX - Risk-Adjusted Trends 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.

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.

	DFESX	DEMSX	Difference
Sharpe ratio: Return per unit of total volatility	2.97	1.70	+1.27
Sortino ratio: Return per unit of downside risk	3.71	2.36	+1.35
Omega ratio: Gain probability vs. loss probability	1.57	1.33	+0.25
Calmar ratio: Return relative to maximum drawdown	4.28	2.32	+1.96
Martin ratio: Return relative to average drawdown	16.35	7.92	+8.43

DFESX vs. DEMSX - Sharpe Ratio Comparison

The current DFESX Sharpe Ratio is 2.97, which is higher than the DEMSX Sharpe Ratio of 1.70. The chart below compares the historical Sharpe Ratios of DFESX and DEMSX, 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

DFESX vs. DEMSX - Drawdown Comparison

The maximum DFESX drawdown since its inception was -41.43%, smaller than the maximum DEMSX drawdown of -66.70%. Use the drawdown chart below to compare losses from any high point for DFESX and DEMSX.

Drawdown Indicators

	DFESX	DEMSX	Difference
Max Drawdown Largest peak-to-trough decline	-41.43%	-66.70%	+25.27%
Max Drawdown (1Y) Largest decline over 1 year	-12.79%	-10.30%	-2.49%
Max Drawdown (3Y) Largest decline over 3 years	-16.53%	-17.21%	+0.68%
Max Drawdown (5Y) Largest decline over 5 years	-32.41%	-24.40%	-8.01%
Max Drawdown (10Y) Largest decline over 10 years	-41.43%	-47.28%	+5.85%
Current Drawdown Current decline from peak	0.00%	-1.62%	+1.62%
Average Drawdown Average peak-to-trough decline	-10.73%	-13.58%	+2.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.33%	3.00%	+0.33%

Volatility

DFESX vs. DEMSX - Volatility Comparison

DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) has a higher volatility of 9.97% compared to DFA Emerging Markets Small Cap Portfolio (DEMSX) at 6.22%. 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.

Volatility by Period

	DFESX	DEMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.97%	6.22%	+3.75%
Volatility (6M) Calculated over the trailing 6-month period	16.78%	12.20%	+4.58%
Volatility (1Y) Calculated over the trailing 1-year period	18.51%	14.10%	+4.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.60%	13.49%	+2.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.31%	14.86%	+1.45%

DFESX vs. DEMSX - Expense Ratio Comparison

DFESX has a 0.45% expense ratio, which is lower than DEMSX's 0.59% expense ratio.

Dividends

DFESX vs. DEMSX - Dividend Comparison

DFESX's dividend yield for the trailing twelve months is around 2.10%, less than DEMSX's 3.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DEMSX DFA Emerging Markets Small Cap Portfolio	3.42%	3.79%	3.27%	2.94%	4.47%	10.20%	2.25%	3.11%	5.02%	3.41%	3.74%	3.24%
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio	2.10%	2.59%	3.15%	3.23%	3.17%	2.37%	1.64%	2.33%	2.37%	2.04%	2.05%	2.17%

Frequently Asked Questions

Can I hold both DFESX and DEMSX in my portfolio?

DFESX and DEMSX have a correlation of 0.90, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFESX or DEMSX?

DFESX has higher volatility (9.97%) compared to DEMSX (6.22%). In terms of maximum drawdown, DFESX dropped -41.43% vs DEMSX's -66.70%.

Which has better risk-adjusted returns?

DFESX currently has the higher Sharpe Ratio (2.97 vs 1.70), 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.