FEDM vs. DFSI

Last updated Jun 4, 2026

FEDM (FlexShares ESG & Climate Developed Markets ex-US Core Index Fund) and DFSI (Dimensional International Sustainability Core 1 ETF) are both Foreign Large Cap Equities funds. FEDM is passively managed, while DFSI is actively managed. Over the past 3 years, FEDM returned 13.99%/yr vs 16.80%/yr for DFSI. Their correlation of 0.94 suggests significant overlap in exposure. FEDM charges 0.12%/yr vs 0.24%/yr for DFSI.

Performance

FEDM vs. DFSI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares ESG & Climate Developed Markets ex-US Core Index Fund (FEDM) and Dimensional International Sustainability Core 1 ETF (DFSI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEDM achieves a 6.03% return, which is significantly higher than DFSI's 5.54% return.

FEDM

• 1D: -0.91%
• 1M: 3.29%
• YTD: 6.03%
• 6M: 8.22%
• 1Y: 16.39%
• 3Y*: 13.99%
• 5Y*: —
• 10Y*: —

DFSI

• 1D: -0.92%
• 1M: 2.26%
• YTD: 5.54%
• 6M: 8.46%
• 1Y: 19.10%
• 3Y*: 16.80%
• 5Y*: —
• 10Y*: —

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

FEDM vs. DFSI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
FEDM FlexShares ESG & Climate Developed Markets ex-US Core Index Fund	6.03%	26.85%	2.85%	17.39%	11.25%
DFSI Dimensional International Sustainability Core 1 ETF	5.54%	33.62%	4.98%	17.86%	11.99%

Correlation

The correlation between FEDM and DFSI 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	0.93
Correlation (All Time) Calculated using the full available price history since Nov 3, 2022	0.94

The correlation between FEDM and DFSI has been stable across timeframes, ranging from 0.87 to 0.94 - a consistent structural relationship.

FEDM vs. DFSI - Sectors Allocation Comparison

Sectors	FEDM	DFSI
Financial Services	27.1%	27.7%
Industrials	17.8%	27.9%
Technology	10.9%	3.0%
Healthcare	10.0%	3.7%
Consumer Defensive	7.1%	8.1%
Basic Materials	5.9%	7.4%
Energy	5.7%	1.3%
Consumer Cyclical	5.7%	14.2%
Communication Services	4.6%	1.8%
Utilities	3.5%	1.7%
Real Estate	1.8%	3.4%

Return for Risk

FEDM vs. DFSI — Risk / Return Rank

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

FEDM

FEDM Risk / Return Rank: 29
FEDM Sharpe Ratio Rank: 28
FEDM Sortino Ratio Rank: 28
FEDM Omega Ratio Rank: 28
FEDM Calmar Ratio Rank: 28
FEDM Martin Ratio Rank: 33

DFSI

DFSI Risk / Return Rank: 35
DFSI Sharpe Ratio Rank: 36
DFSI Sortino Ratio Rank: 35
DFSI Omega Ratio Rank: 36
DFSI Calmar Ratio Rank: 32
DFSI Martin Ratio Rank: 38

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.

FEDM vs. DFSI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares ESG & Climate Developed Markets ex-US Core Index Fund (FEDM) and Dimensional International Sustainability Core 1 ETF (DFSI). 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.

	FEDM	DFSI	Difference
Sharpe ratio Return per unit of total volatility	1.02	1.28	-0.26
Sortino ratio Return per unit of downside risk	1.54	1.88	-0.34
Omega ratio Gain probability vs. loss probability	1.19	1.24	-0.05
Calmar ratio Return relative to maximum drawdown	1.38	1.57	-0.18
Martin ratio Return relative to average drawdown	4.97	5.94	-0.97
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FEDM vs. DFSI - Sharpe Ratio Comparison

The current FEDM Sharpe Ratio is 1.02, which is comparable to the DFSI Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of FEDM and DFSI, 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

	FEDM	DFSI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.02	1.28	-0.26
Sharpe Ratio (All Time) Calculated using the full available price history	0.46	1.36	-0.90

Drawdowns

FEDM vs. DFSI - Drawdown Comparison

The maximum FEDM drawdown since its inception was -29.37%, which is greater than DFSI's maximum drawdown of -12.82%. Use the drawdown chart below to compare losses from any high point for FEDM and DFSI.

Drawdown Indicators

	FEDM	DFSI	Difference
Max Drawdown Largest peak-to-trough decline	-29.37%	-12.82%	-16.55%
Max Drawdown (1Y) Largest decline over 1 year	-11.92%	-12.26%	+0.34%
Max Drawdown (3Y) Largest decline over 3 years	-14.24%	-12.82%	-1.42%
Current Drawdown Current decline from peak	-2.01%	-3.15%	+1.14%
Average Drawdown Average peak-to-trough decline	-6.99%	-2.62%	-4.37%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.30%	3.22%	+0.08%

Volatility

FEDM vs. DFSI - Volatility Comparison

FlexShares ESG & Climate Developed Markets ex-US Core Index Fund (FEDM) and Dimensional International Sustainability Core 1 ETF (DFSI) have volatilities of 4.78% and 4.63%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEDM	DFSI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.78%	4.63%	+0.15%
Volatility (6M) Calculated over the trailing 6-month period	12.44%	12.67%	-0.23%
Volatility (1Y) Calculated over the trailing 1-year period	16.14%	14.97%	+1.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.46%	15.24%	+1.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.46%	15.24%	+1.22%

FEDM vs. DFSI - Expense Ratio Comparison

FEDM has a 0.12% expense ratio, which is lower than DFSI's 0.24% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

FEDM vs. DFSI - Dividend Comparison

FEDM's dividend yield for the trailing twelve months is around 2.82%, more than DFSI's 2.14% yield.

Position	TTM	2025	2024	2023	2022	2021
DFSI Dimensional International Sustainability Core 1 ETF	2.14%	2.23%	2.39%	2.10%	0.18%	0.00%
FEDM FlexShares ESG & Climate Developed Markets ex-US Core Index Fund	2.82%	2.97%	2.94%	2.61%	2.53%	0.62%

Frequently Asked Questions

Can I hold both FEDM and DFSI in my portfolio?

FEDM and DFSI 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.

Which is riskier, FEDM or DFSI?

FEDM has higher volatility (4.78%) compared to DFSI (4.63%). In terms of maximum drawdown, FEDM dropped -29.37% vs DFSI's -12.82%.

Which ETF is better, FEDM or DFSI?

On 3-year performance, DFSI leads with 16.80% vs 13.99% for FEDM. On fees, FEDM is cheaper at 0.12% per year. On volatility, DFSI has been the lower-risk option at 4.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEDM or DFSI?

Over the 3-year period, DFSI has performed better with a 16.80% return vs 13.99%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEDM or DFSI?

FEDM is cheaper with a 0.12% expense ratio, compared with 0.24% for DFSI.

Which ETF pays a higher dividend yield, FEDM or DFSI?

FEDM has the higher dividend yield at 2.82%, compared with 2.14% for DFSI.

What is the main difference between FEDM and DFSI?

They also come from different issuers: FlexShares and Dimensional. Their fees differ too: 0.12% for FEDM and 0.24% for DFSI.

Which has better risk-adjusted returns?

DFSI currently has the higher Sharpe Ratio (1.28 vs 1.02), 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.