DFEVX vs. SPY

Last updated Jun 13, 2026

DFEVX (DFA Emerging Markets Value Portfolio) and SPY (State Street SPDR S&P 500 ETF) are both funds - DFEVX is a Emerging Markets Diversified fund managed by Dimensional, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, DFEVX returned 11.22%/yr vs 15.42%/yr for SPY. A 0.59 correlation means they provide meaningful diversification when combined. DFEVX charges 0.45%/yr vs 0.09%/yr for SPY.

Performance

DFEVX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Emerging Markets Value Portfolio (DFEVX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DFEVX achieves a 19.96% return, which is significantly higher than SPY's 9.07% return. Over the past 10 years, DFEVX has underperformed SPY with an annualized return of 11.22%, while SPY has yielded a comparatively higher 15.42% annualized return.

DFEVX

• 1D: 2.86%
• 1M: 0.18%
• YTD: 19.96%
• 6M: 22.29%
• 1Y: 37.36%
• 3Y*: 20.82%
• 5Y*: 10.41%
• 10Y*: 11.22%

SPY

• 1D: 0.54%
• 1M: -0.08%
• YTD: 9.07%
• 6M: 9.42%
• 1Y: 24.27%
• 3Y*: 20.86%
• 5Y*: 13.36%
• 10Y*: 15.42%

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

DFEVX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DFEVX DFA Emerging Markets Value Portfolio	19.96%	29.50%	6.17%	16.50%	-10.77%	12.42%	2.73%	9.64%	-11.92%	33.77%
SPY State Street SPDR S&P 500 ETF	9.07%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between DFEVX and SPY is 0.62, 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	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.59
Correlation (5Y) Calculated over the trailing 5-year period	0.60
Correlation (10Y) Calculated over the trailing 10-year period	0.63
Correlation (All Time) Calculated using the full available price history since Mar 31, 1998	0.59

The correlation between DFEVX and SPY has been stable across timeframes, ranging from 0.59 to 0.63 - a consistent structural relationship.

Return for Risk

DFEVX vs. SPY — Risk / Return Rank

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

DFEVX

DFEVX Risk / Return Rank: 84
DFEVX Sharpe Ratio Rank: 88
DFEVX Sortino Ratio Rank: 82
DFEVX Omega Ratio Rank: 84
DFEVX Calmar Ratio Rank: 84
DFEVX Martin Ratio Rank: 82

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 71
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 76

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.

DFEVX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Emerging Markets Value Portfolio (DFEVX) and State Street SPDR S&P 500 ETF (SPY). 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.

	DFEVX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.49	1.98	+0.50
Sortino ratio: Return per unit of downside risk	3.26	2.68	+0.57
Omega ratio: Gain probability vs. loss probability	1.48	1.36	+0.12
Calmar ratio: Return relative to maximum drawdown	3.34	2.74	+0.59
Martin ratio: Return relative to average drawdown	12.24	12.39	-0.15

DFEVX vs. SPY - Sharpe Ratio Comparison

The current DFEVX Sharpe Ratio is 2.49, which is comparable to the SPY Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of DFEVX and SPY, 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

DFEVX vs. SPY - Drawdown Comparison

The maximum DFEVX drawdown since its inception was -67.59%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DFEVX and SPY.

Drawdown Indicators

	DFEVX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-67.59%	-55.19%	-12.40%
Max Drawdown (1Y) Largest decline over 1 year	-11.35%	-8.88%	-2.47%
Max Drawdown (3Y) Largest decline over 3 years	-16.17%	-18.76%	+2.59%
Max Drawdown (5Y) Largest decline over 5 years	-23.49%	-24.50%	+1.01%
Max Drawdown (10Y) Largest decline over 10 years	-47.53%	-33.72%	-13.81%
Current Drawdown Current decline from peak	-4.58%	-2.35%	-2.23%
Average Drawdown Average peak-to-trough decline	-16.48%	-9.04%	-7.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.09%	1.97%	+1.12%

Volatility

DFEVX vs. SPY - Volatility Comparison

DFA Emerging Markets Value Portfolio (DFEVX) has a higher volatility of 7.89% compared to State Street SPDR S&P 500 ETF (SPY) at 4.34%. This indicates that DFEVX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFEVX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.89%	4.34%	+3.55%
Volatility (6M) Calculated over the trailing 6-month period	13.27%	9.58%	+3.69%
Volatility (1Y) Calculated over the trailing 1-year period	15.22%	12.29%	+2.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.16%	17.12%	-2.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.63%	17.96%	-2.33%

DFEVX vs. SPY - Expense Ratio Comparison

DFEVX has a 0.45% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

DFEVX vs. SPY - Dividend Comparison

DFEVX's dividend yield for the trailing twelve months is around 3.13%, more than SPY's 1.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEVX DFA Emerging Markets Value Portfolio	3.13%	3.80%	4.68%	4.39%	4.44%	3.82%	2.47%	2.47%	2.49%	2.45%	1.99%	2.55%
SPY State Street SPDR S&P 500 ETF	1.00%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both DFEVX and SPY in my portfolio?

DFEVX and SPY have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DFEVX or SPY?

DFEVX has higher volatility (7.89%) compared to SPY (4.34%). In terms of maximum drawdown, DFEVX dropped -67.59% vs SPY's -55.19%.

Which has better risk-adjusted returns?

DFEVX currently has the higher Sharpe Ratio (2.49 vs 1.98), 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.