EEMO vs. DFEV
EEMO (Invesco S&P Emerging Markets Momentum ETF) and DFEV (Dimensional Emerging Markets Value ETF) are both exchange-traded funds - EEMO is a Momentum fund tracking the S&P Momentum Emerging Plus LargeMidCap Index, while DFEV is a Emerging Markets Diversified fund actively managed by Dimensional. EEMO is passively managed, while DFEV is actively managed. Over the past 3 years, EEMO returned 24.60%/yr vs 24.76%/yr for DFEV. Their correlation of 0.82 suggests significant overlap in exposure. EEMO charges 0.31%/yr vs 0.43%/yr for DFEV.
Performance
EEMO vs. DFEV - Performance Comparison
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Returns By Period
In the year-to-date period, EEMO achieves a 41.14% return, which is significantly higher than DFEV's 27.12% return.
EEMO
- 1D
- 3.82%
- 1M
- 3.90%
- YTD
- 41.14%
- 6M
- 40.15%
- 1Y
- 49.68%
- 3Y*
- 24.60%
- 5Y*
- 6.84%
- 10Y*
- 9.15%
DFEV
- 1D
- 0.76%
- 1M
- -0.36%
- YTD
- 27.12%
- 6M
- 27.81%
- 1Y
- 46.60%
- 3Y*
- 24.76%
- 5Y*
- —
- 10Y*
- —
EEMO vs. DFEV - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
EEMO Invesco S&P Emerging Markets Momentum ETF | 41.14% | 10.99% | 9.88% | 13.90% | -13.21% |
DFEV Dimensional Emerging Markets Value ETF | 27.12% | 32.54% | 7.26% | 15.52% | -6.08% |
Correlation
The correlation between EEMO and DFEV 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 | 0.81 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2022 | 0.82 |
The correlation between EEMO and DFEV has been stable across timeframes, ranging from 0.81 to 0.87 - a consistent structural relationship.
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Return for Risk
EEMO vs. DFEV — Risk / Return Rank
EEMO
DFEV
EEMO vs. DFEV - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P Emerging Markets Momentum ETF (EEMO) and Dimensional Emerging Markets Value ETF (DFEV). 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.
| EEMO | DFEV | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.73 | ||
| Sortino ratioReturn per unit of downside risk | -0.78 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.45 | -0.10 |
| Calmar ratioReturn relative to maximum drawdown | 3.38 | 4.12 | -0.74 |
| Martin ratioReturn relative to average drawdown | 12.20 | 14.64 | -2.43 |
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Drawdowns
EEMO vs. DFEV - Drawdown Comparison
The maximum EEMO drawdown since its inception was -48.47%, which is greater than DFEV's maximum drawdown of -18.49%. Use the drawdown chart below to compare losses from any high point for EEMO and DFEV.
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Drawdown Indicators
| EEMO | DFEV | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.47% | -18.49% | -29.98% |
Max Drawdown (1Y)Largest decline over 1 year | -14.75% | -11.35% | -3.40% |
Max Drawdown (3Y)Largest decline over 3 years | -26.06% | -17.94% | -8.12% |
Max Drawdown (5Y)Largest decline over 5 years | -34.03% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -46.57% | — | — |
Current DrawdownCurrent decline from peak | -4.50% | -4.07% | -0.43% |
Average DrawdownAverage peak-to-trough decline | -20.11% | -4.63% | -15.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.08% | 3.19% | +0.89% |
Volatility
EEMO vs. DFEV - Volatility Comparison
Invesco S&P Emerging Markets Momentum ETF (EEMO) has a higher volatility of 19.67% compared to Dimensional Emerging Markets Value ETF (DFEV) at 10.80%. This indicates that EEMO's price experiences larger fluctuations and is considered to be riskier than DFEV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EEMO | DFEV | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 19.67% | 10.80% | +8.87% |
Volatility (6M)Calculated over the trailing 6-month period | 28.97% | 17.92% | +11.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 30.38% | 19.72% | +10.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.99% | 17.04% | +3.95% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.36% | 17.04% | +5.32% |
EEMO vs. DFEV - Expense Ratio Comparison
EEMO has a 0.31% expense ratio, which is lower than DFEV's 0.43% expense ratio.
Dividends
EEMO vs. DFEV - Dividend Comparison
EEMO's dividend yield for the trailing twelve months is around 1.61%, less than DFEV's 2.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEV Dimensional Emerging Markets Value ETF | 2.02% | 2.69% | 3.17% | 3.47% | 3.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EEMO Invesco S&P Emerging Markets Momentum ETF | 1.61% | 2.31% | 2.57% | 3.65% | 3.82% | 1.51% | 1.53% | 2.13% | 13.10% | 5.13% | 1.55% | 2.92% |
Frequently Asked Questions
EEMO and DFEV 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.
EEMO has higher volatility (19.67%) compared to DFEV (10.80%). In terms of maximum drawdown, EEMO dropped -48.47% vs DFEV's -18.49%.
On 3-year performance, DFEV leads with 24.76% vs 24.60% for EEMO. On fees, EEMO is cheaper at 0.31% per year. On volatility, DFEV has been the lower-risk option at 10.80%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DFEV has performed better with a 24.76% return vs 24.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EEMO is cheaper with a 0.31% expense ratio, compared with 0.43% for DFEV.
DFEV has the higher dividend yield at 2.02%, compared with 1.61% for EEMO.
EEMO is categorized as Momentum, while DFEV is Emerging Markets Diversified. They also come from different issuers: Invesco and Dimensional. Their fees differ too: 0.31% for EEMO and 0.43% for DFEV.
DFEV currently has the higher Sharpe Ratio (2.37 vs 1.64), 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.
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