HLFMX vs. DFESX
HLFMX (Harding Loevner Frontier Emerging Markets Fund) and DFESX (DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio) are both Emerging Markets Diversified funds. Over the past 10 years, HLFMX returned 3.91%/yr vs 11.15%/yr for DFESX. A 0.60 correlation means they provide meaningful diversification when combined. HLFMX charges 1.60%/yr vs 0.45%/yr for DFESX.
Performance
HLFMX vs. DFESX - Performance Comparison
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Returns By Period
In the year-to-date period, HLFMX achieves a 2.80% return, which is significantly lower than DFESX's 28.96% return. Over the past 10 years, HLFMX has underperformed DFESX with an annualized return of 3.91%, while DFESX has yielded a comparatively higher 11.15% annualized return.
HLFMX
- 1D
- 0.66%
- 1M
- 0.22%
- YTD
- 2.80%
- 6M
- 3.93%
- 1Y
- 13.21%
- 3Y*
- 11.74%
- 5Y*
- 4.19%
- 10Y*
- 3.91%
DFESX
- 1D
- 0.85%
- 1M
- 10.14%
- YTD
- 28.96%
- 6M
- 31.90%
- 1Y
- 54.42%
- 3Y*
- 24.24%
- 5Y*
- 9.44%
- 10Y*
- 11.15%
HLFMX vs. DFESX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HLFMX Harding Loevner Frontier Emerging Markets Fund | 2.80% | 16.95% | 8.76% | 10.43% | -18.91% | 10.18% | 0.11% | 10.88% | -15.45% | 25.08% |
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio | 28.96% | 29.95% | 7.16% | 14.58% | -18.49% | 4.16% | 12.99% | 17.12% | -14.87% | 37.30% |
Correlation
The correlation between HLFMX and DFESX is 0.52, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.52 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.57 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.60 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.62 |
Correlation (All Time) Calculated using the full available price history since Aug 6, 2012 | 0.60 |
The correlation between HLFMX and DFESX has been stable across timeframes, ranging from 0.52 to 0.62 - a consistent structural relationship.
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Return for Risk
HLFMX vs. DFESX — Risk / Return Rank
HLFMX
DFESX
HLFMX vs. DFESX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Harding Loevner Frontier Emerging Markets Fund (HLFMX) 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.
| HLFMX | DFESX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.21 | ||
| Sortino ratioReturn per unit of downside risk | -2.53 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.64 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | 1.25 | 4.33 | -3.09 |
| Martin ratioReturn relative to average drawdown | 3.51 | 17.30 | -13.79 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| HLFMX | DFESX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.18 | 3.39 | -2.21 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.40 | 0.63 | -0.23 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.33 | 0.70 | -0.37 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.08 | 0.50 | -0.42 |
Drawdowns
HLFMX vs. DFESX - Drawdown Comparison
The maximum HLFMX drawdown since its inception was -63.95%, which is greater than DFESX's maximum drawdown of -41.43%. Use the drawdown chart below to compare losses from any high point for HLFMX and DFESX.
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Drawdown Indicators
| HLFMX | DFESX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -63.95% | -41.43% | -22.52% |
Max Drawdown (1Y)Largest decline over 1 year | -11.09% | -12.79% | +1.70% |
Max Drawdown (3Y)Largest decline over 3 years | -11.79% | -16.53% | +4.74% |
Max Drawdown (5Y)Largest decline over 5 years | -28.37% | -32.64% | +4.27% |
Max Drawdown (10Y)Largest decline over 10 years | -46.61% | -41.43% | -5.18% |
Current DrawdownCurrent decline from peak | -6.61% | 0.00% | -6.61% |
Average DrawdownAverage peak-to-trough decline | -19.26% | -10.76% | -8.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.93% | 3.18% | +0.75% |
Volatility
HLFMX vs. DFESX - Volatility Comparison
The current volatility for Harding Loevner Frontier Emerging Markets Fund (HLFMX) is 3.67%, while DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) has a volatility of 7.18%. This indicates that HLFMX experiences smaller price fluctuations and is considered to be less risky than DFESX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| HLFMX | DFESX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.67% | 7.18% | -3.51% |
Volatility (6M)Calculated over the trailing 6-month period | 10.19% | 14.26% | -4.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.76% | 16.35% | -4.59% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.48% | 15.10% | -4.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.91% | 16.10% | -4.19% |
HLFMX vs. DFESX - Expense Ratio Comparison
HLFMX has a 1.60% expense ratio, which is higher than DFESX's 0.45% expense ratio.
Dividends
HLFMX vs. DFESX - Dividend Comparison
HLFMX's dividend yield for the trailing twelve months is around 3.47%, more than DFESX's 2.13% 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 | 2.13% | 2.59% | 3.15% | 3.23% | 3.17% | 2.37% | 1.64% | 2.33% | 2.37% | 2.04% | 2.05% | 2.17% |
HLFMX Harding Loevner Frontier Emerging Markets Fund | 3.47% | 3.56% | 1.88% | 1.77% | 2.28% | 0.83% | 1.61% | 1.97% | 1.34% | 1.90% | 1.01% | 1.13% |
Frequently Asked Questions
HLFMX and DFESX have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFESX has higher volatility (7.18%) compared to HLFMX (3.67%). In terms of maximum drawdown, HLFMX dropped -63.95% vs DFESX's -41.43%.
DFESX currently has the higher Sharpe Ratio (3.39 vs 1.18), 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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