FEZ vs. DFAI

Last updated Jun 16, 2026

FEZ (State Street SPDR EURO STOXX 50 ETF) and DFAI (Dimensional International Core Equity Market ETF) are both exchange-traded funds - FEZ is a Europe Equities fund tracking the EURO STOXX 50 Index, while DFAI is a Foreign Large Cap Equities fund actively managed by Dimensional. FEZ is passively managed, while DFAI is actively managed. Over the past 5 years, FEZ returned 10.55%/yr vs 9.68%/yr for DFAI. Their correlation of 0.93 suggests significant overlap in exposure. FEZ charges 0.29%/yr vs 0.18%/yr for DFAI.

Performance

FEZ vs. DFAI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR EURO STOXX 50 ETF (FEZ) and Dimensional International Core Equity Market ETF (DFAI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, FEZ achieves a 8.27% return, which is significantly lower than DFAI's 10.55% return.

FEZ

• 1D: 0.91%
• 1M: 7.17%
• YTD: 8.27%
• 6M: 8.57%
• 1Y: 21.04%
• 3Y*: 17.52%
• 5Y*: 10.55%
• 10Y*: 11.13%

DFAI

• 1D: 0.45%
• 1M: 2.91%
• YTD: 10.55%
• 6M: 11.38%
• 1Y: 25.58%
• 3Y*: 17.58%
• 5Y*: 9.68%
• 10Y*: —

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

FEZ vs. DFAI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
FEZ State Street SPDR EURO STOXX 50 ETF	8.27%	37.81%	3.57%	27.16%	-14.27%	14.84%	4.84%
DFAI Dimensional International Core Equity Market ETF	10.55%	34.04%	4.68%	17.60%	-12.95%	13.86%	5.34%

Correlation

The correlation between FEZ and DFAI is 0.91, 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	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (All Time) Calculated using the full available price history since Nov 18, 2020	0.93

The correlation between FEZ and DFAI has been stable across timeframes, ranging from 0.91 to 0.93 - a consistent structural relationship.

FEZ vs. DFAI - Sectors Allocation Comparison

Sectors	FEZ	DFAI
Financial Services	24.9%	23.5%
Industrials	21.7%	18.4%
Technology	18.0%	7.7%
Consumer Cyclical	9.8%	9.0%
Consumer Defensive	5.4%	6.4%
Healthcare	5.1%	8.5%
Energy	4.8%	7.2%
Utilities	4.5%	4.0%
Basic Materials	3.4%	10.0%
Communication Services	2.4%	3.5%
Real Estate	-	1.4%

Return for Risk

FEZ vs. DFAI — Risk / Return Rank

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

FEZ

FEZ Risk / Return Rank: 35
FEZ Sharpe Ratio Rank: 35
FEZ Sortino Ratio Rank: 35
FEZ Omega Ratio Rank: 33
FEZ Calmar Ratio Rank: 34
FEZ Martin Ratio Rank: 37

DFAI

DFAI Risk / Return Rank: 56
DFAI Sharpe Ratio Rank: 58
DFAI Sortino Ratio Rank: 58
DFAI Omega Ratio Rank: 58
DFAI Calmar Ratio Rank: 52
DFAI Martin Ratio Rank: 57

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.

FEZ vs. DFAI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR EURO STOXX 50 ETF (FEZ) and Dimensional International Core Equity Market ETF (DFAI). 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.

	FEZ	DFAI	Difference
Sharpe ratio: Return per unit of total volatility	1.15	1.77	-0.61
Sortino ratio: Return per unit of downside risk	1.71	2.48	-0.78
Omega ratio: Gain probability vs. loss probability	1.21	1.32	-0.11
Calmar ratio: Return relative to maximum drawdown	1.55	2.35	-0.80
Martin ratio: Return relative to average drawdown	5.28	9.14	-3.86

FEZ vs. DFAI - Sharpe Ratio Comparison

The current FEZ Sharpe Ratio is 1.15, which is lower than the DFAI Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of FEZ and DFAI, 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

FEZ vs. DFAI - Drawdown Comparison

The maximum FEZ drawdown since its inception was -64.21%, which is greater than DFAI's maximum drawdown of -27.44%. Use the drawdown chart below to compare losses from any high point for FEZ and DFAI.

Drawdown Indicators

	FEZ	DFAI	Difference
Max Drawdown Largest peak-to-trough decline	-64.21%	-27.44%	-36.77%
Max Drawdown (1Y) Largest decline over 1 year	-13.63%	-10.95%	-2.68%
Max Drawdown (3Y) Largest decline over 3 years	-15.85%	-13.25%	-2.60%
Max Drawdown (5Y) Largest decline over 5 years	-35.05%	-27.44%	-7.61%
Max Drawdown (10Y) Largest decline over 10 years	-39.69%	—	—
Current Drawdown Current decline from peak	0.00%	-0.35%	+0.35%
Average Drawdown Average peak-to-trough decline	-17.05%	-5.10%	-11.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.00%	2.81%	+1.19%

Volatility

FEZ vs. DFAI - Volatility Comparison

State Street SPDR EURO STOXX 50 ETF (FEZ) has a higher volatility of 6.60% compared to Dimensional International Core Equity Market ETF (DFAI) at 5.12%. This indicates that FEZ's price experiences larger fluctuations and is considered to be riskier than DFAI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FEZ	DFAI	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.60%	5.12%	+1.48%
Volatility (6M) Calculated over the trailing 6-month period	15.47%	12.28%	+3.19%
Volatility (1Y) Calculated over the trailing 1-year period	18.39%	14.58%	+3.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.71%	16.01%	+4.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.11%	15.74%	+5.37%

FEZ vs. DFAI - Expense Ratio Comparison

FEZ has a 0.29% expense ratio, which is higher than DFAI's 0.18% expense ratio.

Dividends

FEZ vs. DFAI - Dividend Comparison

FEZ's dividend yield for the trailing twelve months is around 2.50%, more than DFAI's 2.23% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFAI Dimensional International Core Equity Market ETF	2.23%	2.45%	2.72%	2.64%	2.72%	2.06%	0.09%	0.00%	0.00%	0.00%	0.00%	0.00%
FEZ State Street SPDR EURO STOXX 50 ETF	2.50%	2.78%	2.94%	2.75%	3.06%	2.61%	2.13%	2.61%	3.45%	2.44%	3.35%	3.03%

Frequently Asked Questions

Can I hold both FEZ and DFAI in my portfolio?

With a correlation of 0.91, FEZ and DFAI 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, FEZ or DFAI?

FEZ has higher volatility (6.60%) compared to DFAI (5.12%). In terms of maximum drawdown, FEZ dropped -64.21% vs DFAI's -27.44%.

Which ETF is better, FEZ or DFAI?

On 5-year performance, FEZ leads with 10.55% vs 9.68% for DFAI. On fees, DFAI is cheaper at 0.18% per year. On volatility, DFAI has been the lower-risk option at 5.12%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, FEZ or DFAI?

Over the 5-year period, FEZ has performed better with a 10.55% return vs 9.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, FEZ or DFAI?

DFAI is cheaper with a 0.18% expense ratio, compared with 0.29% for FEZ.

Which ETF pays a higher dividend yield, FEZ or DFAI?

FEZ has the higher dividend yield at 2.50%, compared with 2.23% for DFAI.

What is the main difference between FEZ and DFAI?

FEZ is categorized as Europe Equities, while DFAI is Foreign Large Cap Equities. They also come from different issuers: State Street and Dimensional. Their fees differ too: 0.29% for FEZ and 0.18% for DFAI.

Which has better risk-adjusted returns?

DFAI currently has the higher Sharpe Ratio (1.77 vs 1.15), 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.