DFIEX vs. DFEMX
Compare and contrast key facts about DFA International Core Equity Portfolio I (DFIEX) and DFA Emerging Markets Portfolio (DFEMX).
DFIEX is managed by Dimensional Fund Advisors LP. It was launched on Sep 15, 2005. DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFIEX or DFEMX.
Key characteristics
| DFIEX | DFEMX | |
|---|---|---|
| YTD Return | 4.64% | 8.20% |
| 1Y Return | 12.63% | 14.57% |
| 3Y Return (Ann) | 1.51% | -0.18% |
| 5Y Return (Ann) | 6.20% | 4.65% |
| 10Y Return (Ann) | 5.75% | 4.01% |
| Sharpe Ratio | 1.24 | 1.24 |
| Sortino Ratio | 1.78 | 1.77 |
| Omega Ratio | 1.22 | 1.22 |
| Calmar Ratio | 1.88 | 0.88 |
| Martin Ratio | 6.72 | 6.18 |
| Ulcer Index | 2.36% | 2.66% |
| Daily Std Dev | 12.81% | 13.27% |
| Max Drawdown | -62.26% | -62.43% |
| Current Drawdown | -7.61% | -7.71% |
Correlation
The correlation between DFIEX and DFEMX is 0.81, 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
DFIEX vs. DFEMX - Performance Comparison
In the year-to-date period, DFIEX achieves a 4.64% return, which is significantly lower than DFEMX's 8.20% return. Over the past 10 years, DFIEX has outperformed DFEMX with an annualized return of 5.75%, while DFEMX has yielded a comparatively lower 4.01% 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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DFIEX vs. DFEMX - Expense Ratio Comparison
DFIEX has a 0.24% expense ratio, which is lower than DFEMX's 0.36% expense ratio.
Risk-Adjusted Performance
DFIEX vs. DFEMX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA International Core Equity Portfolio I (DFIEX) and DFA Emerging Markets Portfolio (DFEMX). 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
DFIEX vs. DFEMX - Dividend Comparison
DFIEX's dividend yield for the trailing twelve months is around 3.45%, more than DFEMX's 3.26% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFIEX DFA International Core Equity Portfolio I | 3.45% | 3.36% | 2.89% | 2.98% | 1.77% | 2.90% | 2.95% | 2.50% | 2.77% | 2.62% | 3.16% | 2.43% |
DFEMX DFA Emerging Markets Portfolio | 3.26% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
Drawdowns
DFIEX vs. DFEMX - Drawdown Comparison
The maximum DFIEX drawdown since its inception was -62.26%, roughly equal to the maximum DFEMX drawdown of -62.43%. Use the drawdown chart below to compare losses from any high point for DFIEX and DFEMX. For additional features, visit the drawdowns tool.
Volatility
DFIEX vs. DFEMX - Volatility Comparison
The current volatility for DFA International Core Equity Portfolio I (DFIEX) is 3.66%, while DFA Emerging Markets Portfolio (DFEMX) has a volatility of 4.02%. This indicates that DFIEX experiences smaller price fluctuations and is considered to be less risky than DFEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.