GMAQX vs. DFESX

Last updated Jun 23, 2026

GMAQX (GMO Emerging Markets ex-China Fund) and DFESX (DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio) are both Emerging Markets Diversified funds. Over the past 3 years, GMAQX returned 31.69%/yr vs 22.99%/yr for DFESX. Their correlation of 0.86 suggests significant overlap in exposure. GMAQX charges 0.67%/yr vs 0.45%/yr for DFESX.

Performance

GMAQX vs. DFESX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in GMO Emerging Markets ex-China Fund (GMAQX) and DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GMAQX achieves a 53.53% return, which is significantly higher than DFESX's 29.94% return.

GMAQX

• 1D: 3.12%
• 1M: 6.96%
• YTD: 53.53%
• 6M: 58.63%
• 1Y: 84.30%
• 3Y*: 31.69%
• 5Y*: —
• 10Y*: —

DFESX

• 1D: 2.93%
• 1M: 7.57%
• YTD: 29.94%
• 6M: 31.59%
• 1Y: 53.45%
• 3Y*: 22.99%
• 5Y*: 10.04%
• 10Y*: 11.16%

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

GMAQX vs. DFESX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
GMAQX GMO Emerging Markets ex-China Fund	53.53%	32.09%	0.62%	27.41%	-32.38%	0.47%
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio	29.94%	29.95%	7.16%	14.58%	-18.49%	-1.17%

Correlation

The correlation between GMAQX and DFESX is 0.88, 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	0.88
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (All Time) Calculated using the full available price history since Oct 18, 2021	0.86

The correlation between GMAQX and DFESX has been stable across timeframes, ranging from 0.85 to 0.88 - a consistent structural relationship.

Return for Risk

GMAQX vs. DFESX — Risk / Return Rank

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

GMAQX

GMAQX Risk / Return Rank: 96
GMAQX Sharpe Ratio Rank: 98
GMAQX Sortino Ratio Rank: 95
GMAQX Omega Ratio Rank: 95
GMAQX Calmar Ratio Rank: 96
GMAQX Martin Ratio Rank: 96

DFESX

DFESX Risk / Return Rank: 87
DFESX Sharpe Ratio Rank: 92
DFESX Sortino Ratio Rank: 82
DFESX Omega Ratio Rank: 86
DFESX Calmar Ratio Rank: 88
DFESX Martin Ratio Rank: 88

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.

GMAQX vs. DFESX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for GMO Emerging Markets ex-China Fund (GMAQX) and DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX). 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.

	GMAQX	DFESX	Difference
Sharpe ratio: Return per unit of total volatility	3.58	2.86	+0.72
Sortino ratio: Return per unit of downside risk	4.63	3.60	+1.03
Omega ratio: Gain probability vs. loss probability	1.73	1.55	+0.18
Calmar ratio: Return relative to maximum drawdown	5.97	4.13	+1.84
Martin ratio: Return relative to average drawdown	21.26	15.79	+5.48

GMAQX vs. DFESX - Sharpe Ratio Comparison

The current GMAQX Sharpe Ratio is 3.58, which is comparable to the DFESX Sharpe Ratio of 2.86. The chart below compares the historical Sharpe Ratios of GMAQX and DFESX, 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

GMAQX vs. DFESX - Drawdown Comparison

The maximum GMAQX drawdown since its inception was -41.97%, roughly equal to the maximum DFESX drawdown of -41.43%. Use the drawdown chart below to compare losses from any high point for GMAQX and DFESX.

Drawdown Indicators

	GMAQX	DFESX	Difference
Max Drawdown Largest peak-to-trough decline	-41.97%	-41.43%	-0.54%
Max Drawdown (1Y) Largest decline over 1 year	-13.77%	-12.79%	-0.98%
Max Drawdown (3Y) Largest decline over 3 years	-19.64%	-16.53%	-3.11%
Max Drawdown (5Y) Largest decline over 5 years	—	-32.41%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-41.43%	—
Current Drawdown Current decline from peak	-2.80%	0.00%	-2.80%
Average Drawdown Average peak-to-trough decline	-16.62%	-10.73%	-5.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.86%	3.33%	+0.53%

Volatility

GMAQX vs. DFESX - Volatility Comparison

GMO Emerging Markets ex-China Fund (GMAQX) has a higher volatility of 11.50% compared to DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) at 10.01%. This indicates that GMAQX's price experiences larger fluctuations and is considered to be riskier than DFESX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GMAQX	DFESX	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.50%	10.01%	+1.49%
Volatility (6M) Calculated over the trailing 6-month period	20.96%	16.79%	+4.17%
Volatility (1Y) Calculated over the trailing 1-year period	22.98%	18.50%	+4.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.71%	15.59%	+2.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.71%	16.31%	+1.40%

GMAQX vs. DFESX - Expense Ratio Comparison

GMAQX has a 0.67% expense ratio, which is higher than DFESX's 0.45% expense ratio.

Dividends

GMAQX vs. DFESX - Dividend Comparison

GMAQX's dividend yield for the trailing twelve months is around 6.14%, more than DFESX's 2.11% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio	2.11%	2.59%	3.15%	3.23%	3.17%	2.37%	1.64%	2.33%	2.37%	2.04%	2.05%	2.17%
GMAQX GMO Emerging Markets ex-China Fund	6.14%	9.43%	32.28%	6.76%	4.94%	0.66%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GMAQX and DFESX in my portfolio?

GMAQX and DFESX have a correlation of 0.88, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GMAQX or DFESX?

GMAQX has higher volatility (11.50%) compared to DFESX (10.01%). In terms of maximum drawdown, GMAQX dropped -41.97% vs DFESX's -41.43%.

Which has better risk-adjusted returns?

GMAQX currently has the higher Sharpe Ratio (3.58 vs 2.86), 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.