FDEM vs. DFEMX
FDEM (Fidelity Emerging Markets Multifactor ETF) and DFEMX (DFA Emerging Markets Portfolio) are both Emerging Markets Equities funds. Over the past 5 years, FDEM returned 9.38%/yr vs 9.18%/yr for DFEMX. Their correlation of 0.88 means they have usually moved in the same direction. FDEM charges 0.25%/yr vs 0.36%/yr for DFEMX.
Performance
FDEM vs. DFEMX - Performance Comparison
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Returns By Period
In the year-to-date period, FDEM achieves a 14.53% return, which is significantly lower than DFEMX's 17.07% return.
FDEM
- 1D
- 0.14%
- 1M
- -1.28%
- 6M
- 6.08%
- YTD
- 14.53%
- 1Y
- 28.23%
- 3Y*
- 18.72%
- 5Y*
- 9.38%
- 10Y*
- —
- ALL TIME*
- 8.19%
DFEMX
- 1D
- 3.65%
- 1M
- -4.00%
- 6M
- 8.21%
- YTD
- 17.07%
- 1Y
- 35.53%
- 3Y*
- 18.43%
- 5Y*
- 9.18%
- 10Y*
- 9.27%
- ALL TIME*
- 7.42%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $2.80M | $2.66M | $4.40M |
FDEM vs. DFEMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
FDEM Fidelity Emerging Markets Multifactor ETF | 14.53% | 26.75% | 9.34% | 17.26% | -13.11% | -3.52% | 8.87% | 5.60% |
DFEMX DFA Emerging Markets Portfolio | 17.07% | 33.57% | 6.90% | 13.08% | -16.91% | 2.53% | 13.89% | 6.90% |
Correlation
The correlation between FDEM and DFEMX is 0.86, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.86 |
Correlation (3Y) Balances recent behavior with more history. | 0.86 |
Correlation (5Y) Shows whether the relationship held over a longer 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 0.86 to 0.88 - a consistent structural relationship.
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Return for Risk
FDEM vs. DFEMX — Risk / Return Rank
FDEM
DFEMX
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 ratioReturn per unit of total volatility | -0.24 | ||
| Sortino ratioReturn per unit of downside risk | -0.24 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.29 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.14 | 2.33 | -0.19 |
| Martin ratioReturn relative to average drawdown | 6.60 | 7.75 | -1.14 |
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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.
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Drawdown Indicators
| FDEM | DFEMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.65% | -62.43% | +28.78% |
Max Drawdown (1Y)Largest decline over 1 year | -12.70% | -14.29% | +1.59% |
Max Drawdown (3Y)Largest decline over 3 years | -16.04% | -16.12% | +0.08% |
Max Drawdown (5Y)Largest decline over 5 years | -25.82% | -29.53% | +3.71% |
Max Drawdown (10Y)Largest decline over 10 years | — | -40.44% | — |
Current DrawdownCurrent decline from peak | -7.94% | -11.16% | +3.22% |
Average DrawdownAverage peak-to-trough decline | -8.77% | -15.29% | +6.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.10% | 4.28% | -0.18% |
Volatility
FDEM vs. DFEMX - Volatility Comparison
The current volatility for Fidelity Emerging Markets Multifactor ETF (FDEM) is 7.53%, while DFA Emerging Markets Portfolio (DFEMX) has a volatility of 9.34%. 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.
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Volatility by Period
| FDEM | DFEMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.53% | 9.34% | -1.81% |
Volatility (6M)Calculated over the trailing 6-month period | 19.27% | 20.34% | -1.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.14% | 21.83% | -0.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.93% | 16.81% | +0.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.32% | 17.01% | +1.31% |
FDEM vs. DFEMX - Expense Ratio Comparison
FDEM has a 0.25% expense ratio, which is lower than DFEMX's 0.36% expense ratio.
Dividends
FDEM vs. DFEMX - Dividend Comparison
FDEM's dividend yield for the trailing twelve months is around 3.05%, more than DFEMX's 2.09% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEMX DFA Emerging Markets Portfolio | 2.09% | 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 | 3.05% | 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
FDEM and DFEMX have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFEMX has higher volatility (9.34%) compared to FDEM (7.53%). In terms of maximum drawdown, FDEM dropped -33.65% vs DFEMX's -62.43%.
DFEMX currently has the higher Sharpe Ratio (1.53 vs 1.28), 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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