FDEM vs. DFEMX

Last updated Jun 23, 2026

FDEM (Fidelity Emerging Markets Multifactor ETF) and DFEMX (DFA Emerging Markets Portfolio) are both funds - FDEM is a Emerging Markets Equities fund tracking the Fidelity Targeted Emerging Markets Factor Index, while DFEMX is a Emerging Markets Diversified fund managed by Dimensional. Over the past 5 years, FDEM returned 10.15%/yr vs 10.85%/yr for DFEMX. Their correlation of 0.88 suggests significant overlap in exposure. FDEM charges 0.45%/yr vs 0.36%/yr for DFEMX.

Performance

FDEM vs. DFEMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Fidelity Emerging Markets Multifactor ETF (FDEM) and DFA Emerging Markets Portfolio (DFEMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FDEM achieves a 24.40% return, which is significantly lower than DFEMX's 31.40% return.

FDEM

• 1D: 0.51%
• 1M: 6.72%
• YTD: 24.40%
• 6M: 25.99%
• 1Y: 45.23%
• 3Y*: 24.48%
• 5Y*: 10.15%
• 10Y*: —

DFEMX

• 1D: 3.05%
• 1M: 7.50%
• YTD: 31.40%
• 6M: 33.38%
• 1Y: 57.89%
• 3Y*: 24.30%
• 5Y*: 10.85%
• 10Y*: 11.45%

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

FDEM vs. DFEMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
FDEM Fidelity Emerging Markets Multifactor ETF	24.40%	26.75%	9.34%	17.26%	-13.11%	-3.52%	8.87%	5.60%
DFEMX DFA Emerging Markets Portfolio	31.40%	33.57%	6.90%	13.08%	-16.91%	2.53%	13.89%	6.90%

Correlation

The correlation between FDEM and DFEMX is 0.83, 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	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (All Time) Calculated using the full available price history since Feb 28, 2019	0.88

The correlation between FDEM and DFEMX has been stable across timeframes, ranging from 0.83 to 0.88 - a consistent structural relationship.

Return for Risk

FDEM vs. DFEMX — Risk / Return Rank

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

FDEM

FDEM Risk / Return Rank: 75
FDEM Sharpe Ratio Rank: 77
FDEM Sortino Ratio Rank: 71
FDEM Omega Ratio Rank: 78
FDEM Calmar Ratio Rank: 73
FDEM Martin Ratio Rank: 74

DFEMX

DFEMX Risk / Return Rank: 90
DFEMX Sharpe Ratio Rank: 95
DFEMX Sortino Ratio Rank: 86
DFEMX Omega Ratio Rank: 88
DFEMX Calmar Ratio Rank: 91
DFEMX Martin Ratio Rank: 91

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.

FDEM vs. DFEMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Fidelity Emerging Markets Multifactor ETF (FDEM) 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.

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.

	FDEM	DFEMX	Difference
Sharpe ratio: Return per unit of total volatility	2.37	3.03	-0.66
Sortino ratio: Return per unit of downside risk	3.07	3.76	-0.70
Omega ratio: Gain probability vs. loss probability	1.44	1.58	-0.14
Calmar ratio: Return relative to maximum drawdown	3.58	4.50	-0.92
Martin ratio: Return relative to average drawdown	13.46	17.15	-3.68

FDEM vs. DFEMX - Sharpe Ratio Comparison

The current FDEM Sharpe Ratio is 2.37, which is comparable to the DFEMX Sharpe Ratio of 3.03. The chart below compares the historical Sharpe Ratios of FDEM and DFEMX, 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

FDEM vs. DFEMX - Drawdown Comparison

The maximum FDEM drawdown since its inception was -33.65%, smaller than the maximum DFEMX drawdown of -62.43%. Use the drawdown chart below to compare losses from any high point for FDEM and DFEMX.

Drawdown Indicators

	FDEM	DFEMX	Difference
Max Drawdown Largest peak-to-trough decline	-33.65%	-62.43%	+28.78%
Max Drawdown (1Y) Largest decline over 1 year	-12.70%	-12.85%	+0.15%
Max Drawdown (3Y) Largest decline over 3 years	-16.04%	-16.12%	+0.08%
Max Drawdown (5Y) Largest decline over 5 years	-28.47%	-31.35%	+2.88%
Max Drawdown (10Y) Largest decline over 10 years	—	-40.44%	—
Current Drawdown Current decline from peak	-0.01%	0.00%	-0.01%
Average Drawdown Average peak-to-trough decline	-8.80%	-15.32%	+6.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.37%	3.36%	+0.01%

Volatility

FDEM vs. DFEMX - Volatility Comparison

The current volatility for Fidelity Emerging Markets Multifactor ETF (FDEM) is 9.83%, while DFA Emerging Markets Portfolio (DFEMX) has a volatility of 10.43%. This indicates that FDEM 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.

Volatility by Period

	FDEM	DFEMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.83%	10.43%	-0.60%
Volatility (6M) Calculated over the trailing 6-month period	17.25%	17.35%	-0.10%
Volatility (1Y) Calculated over the trailing 1-year period	19.19%	19.08%	+0.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.57%	16.20%	+0.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.13%	16.79%	+1.34%

FDEM vs. DFEMX - Expense Ratio Comparison

FDEM has a 0.45% expense ratio, which is higher than DFEMX's 0.36% expense ratio.

Dividends

FDEM vs. DFEMX - Dividend Comparison

FDEM's dividend yield for the trailing twelve months is around 2.81%, more than DFEMX's 1.94% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFEMX DFA Emerging Markets Portfolio	1.94%	2.55%	3.14%	3.34%	3.90%	6.13%	1.45%	2.33%	2.14%	1.74%	1.92%	2.08%
FDEM Fidelity Emerging Markets Multifactor ETF	2.81%	3.23%	4.05%	4.41%	3.95%	2.71%	1.84%	2.39%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both FDEM and DFEMX in my portfolio?

FDEM and DFEMX have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FDEM or DFEMX?

DFEMX has higher volatility (10.43%) compared to FDEM (9.83%). In terms of maximum drawdown, FDEM dropped -33.65% vs DFEMX's -62.43%.

Which has better risk-adjusted returns?

DFEMX currently has the higher Sharpe Ratio (3.03 vs 2.37), 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.