EMDM vs. DFEM

Last updated Jun 4, 2026

EMDM (First Trust Bloomberg Emerging Market Democracies ETF) and DFEM (Dimensional Emerging Markets Core Equity 2 ETF) are both Emerging Markets Diversified funds. EMDM is passively managed, while DFEM is actively managed. Over the past 3 years, EMDM returned 32.95%/yr vs 23.24%/yr for DFEM. Their correlation of 0.89 suggests significant overlap in exposure. EMDM charges 0.75%/yr vs 0.39%/yr for DFEM.

Performance

EMDM vs. DFEM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Bloomberg Emerging Market Democracies ETF (EMDM) and Dimensional Emerging Markets Core Equity 2 ETF (DFEM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EMDM achieves a 39.03% return, which is significantly higher than DFEM's 25.59% return.

EMDM

• 1D: -1.32%
• 1M: 11.04%
• YTD: 39.03%
• 6M: 45.21%
• 1Y: 91.32%
• 3Y*: 32.95%
• 5Y*: —
• 10Y*: —

DFEM

• 1D: -1.28%
• 1M: 6.85%
• YTD: 25.59%
• 6M: 27.96%
• 1Y: 50.40%
• 3Y*: 23.24%
• 5Y*: —
• 10Y*: —

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

EMDM vs. DFEM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
EMDM First Trust Bloomberg Emerging Market Democracies ETF	39.03%	59.68%	-4.93%	14.21%
DFEM Dimensional Emerging Markets Core Equity 2 ETF	25.59%	29.51%	7.53%	7.86%

Correlation

The correlation between EMDM and DFEM 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	0.89
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023	0.89

The correlation between EMDM and DFEM has been stable across timeframes, ranging from 0.89 to 0.90 - a consistent structural relationship.

EMDM vs. DFEM - Sectors Allocation Comparison

Sectors	EMDM	DFEM
Technology	32.1%	32.9%
Financial Services	27.2%	15.4%
Basic Materials	15.1%	8.4%
Energy	6.3%	4.4%
Consumer Cyclical	6.0%	9.8%
Communication Services	4.3%	5.5%
Consumer Defensive	3.4%	3.7%
Industrials	3.3%	11.9%
Utilities	1.9%	2.2%
Healthcare	0.5%	3.8%
Real Estate	-	2.0%

Return for Risk

EMDM vs. DFEM — Risk / Return Rank

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

EMDM

EMDM Risk / Return Rank: 93
EMDM Sharpe Ratio Rank: 95
EMDM Sortino Ratio Rank: 92
EMDM Omega Ratio Rank: 93
EMDM Calmar Ratio Rank: 91
EMDM Martin Ratio Rank: 93

DFEM

DFEM Risk / Return Rank: 81
DFEM Sharpe Ratio Rank: 83
DFEM Sortino Ratio Rank: 78
DFEM Omega Ratio Rank: 82
DFEM Calmar Ratio Rank: 80
DFEM Martin Ratio Rank: 81

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.

EMDM vs. DFEM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Bloomberg Emerging Market Democracies ETF (EMDM) and Dimensional Emerging Markets Core Equity 2 ETF (DFEM). 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.

	EMDM	DFEM	Difference
Sharpe ratio: Return per unit of total volatility	3.92	2.74	+1.18
Sortino ratio: Return per unit of downside risk	4.56	3.54	+1.02
Omega ratio: Gain probability vs. loss probability	1.66	1.50	+0.16
Calmar ratio: Return relative to maximum drawdown	5.87	4.18	+1.69
Martin ratio: Return relative to average drawdown	24.30	16.33	+7.96
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EMDM vs. DFEM - Sharpe Ratio Comparison

The current EMDM Sharpe Ratio is 3.92, which is higher than the DFEM Sharpe Ratio of 2.74. The chart below compares the historical Sharpe Ratios of EMDM and DFEM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	EMDM	DFEM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.92	2.74	+1.18
Sharpe Ratio (All Time) Calculated using the full available price history	1.58	0.92	+0.67

Drawdowns

EMDM vs. DFEM - Drawdown Comparison

The maximum EMDM drawdown since its inception was -18.81%, smaller than the maximum DFEM drawdown of -20.82%. Use the drawdown chart below to compare losses from any high point for EMDM and DFEM.

Drawdown Indicators

	EMDM	DFEM	Difference
Max Drawdown Largest peak-to-trough decline	-18.81%	-20.82%	+2.01%
Max Drawdown (1Y) Largest decline over 1 year	-15.65%	-12.12%	-3.53%
Max Drawdown (3Y) Largest decline over 3 years	-18.81%	-18.09%	-0.72%
Current Drawdown Current decline from peak	-1.32%	-1.28%	-0.04%
Average Drawdown Average peak-to-trough decline	-4.07%	-5.03%	+0.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.77%	3.09%	+0.68%

Volatility

EMDM vs. DFEM - Volatility Comparison

First Trust Bloomberg Emerging Market Democracies ETF (EMDM) has a higher volatility of 9.61% compared to Dimensional Emerging Markets Core Equity 2 ETF (DFEM) at 7.78%. This indicates that EMDM's price experiences larger fluctuations and is considered to be riskier than DFEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EMDM	DFEM	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.61%	7.78%	+1.83%
Volatility (6M) Calculated over the trailing 6-month period	20.78%	16.02%	+4.76%
Volatility (1Y) Calculated over the trailing 1-year period	23.42%	18.45%	+4.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.79%	17.26%	+2.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.79%	17.26%	+2.53%

EMDM vs. DFEM - Expense Ratio Comparison

EMDM has a 0.75% expense ratio, which is higher than DFEM's 0.39% expense ratio.

Dividends

EMDM vs. DFEM - Dividend Comparison

EMDM's dividend yield for the trailing twelve months is around 2.57%, more than DFEM's 1.82% yield.

Position	TTM	2025	2024	2023	2022
DFEM Dimensional Emerging Markets Core Equity 2 ETF	1.82%	2.32%	2.50%	2.38%	1.99%
EMDM First Trust Bloomberg Emerging Market Democracies ETF	2.57%	3.57%	5.87%	2.16%	0.00%

Frequently Asked Questions

Can I hold both EMDM and DFEM in my portfolio?

With a correlation of 0.90, EMDM and DFEM move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, EMDM or DFEM?

EMDM has higher volatility (9.61%) compared to DFEM (7.78%). In terms of maximum drawdown, EMDM dropped -18.81% vs DFEM's -20.82%.

Which ETF is better, EMDM or DFEM?

On 3-year performance, EMDM leads with 32.95% vs 23.24% for DFEM. On fees, DFEM is cheaper at 0.39% per year. On volatility, DFEM has been the lower-risk option at 7.78%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EMDM or DFEM?

Over the 3-year period, EMDM has performed better with a 32.95% return vs 23.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EMDM or DFEM?

DFEM is cheaper with a 0.39% expense ratio, compared with 0.75% for EMDM.

Which ETF pays a higher dividend yield, EMDM or DFEM?

EMDM has the higher dividend yield at 2.57%, compared with 1.82% for DFEM.

What is the main difference between EMDM and DFEM?

They also come from different issuers: First Trust and Dimensional. Their fees differ too: 0.75% for EMDM and 0.39% for DFEM.

Which has better risk-adjusted returns?

EMDM currently has the higher Sharpe Ratio (3.92 vs 2.74), 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.