LZEMX vs. DFCEX

Last updated Jun 4, 2026

LZEMX (Lazard Emerging Markets Equity Portfolio) and DFCEX (DFA Emerging Markets Core Equity Fund) are both Emerging Markets Diversified funds. Over the past 10 years, LZEMX returned 11.13%/yr vs 11.09%/yr for DFCEX. Their correlation of 0.92 suggests significant overlap in exposure. LZEMX charges 1.06%/yr vs 0.40%/yr for DFCEX.

Performance

LZEMX vs. DFCEX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Lazard Emerging Markets Equity Portfolio (LZEMX) and DFA Emerging Markets Core Equity Fund (DFCEX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, LZEMX achieves a 26.96% return, which is significantly higher than DFCEX's 25.19% return. Both investments have delivered pretty close results over the past 10 years, with LZEMX having a 11.13% annualized return and DFCEX not far behind at 11.09%.

LZEMX

• 1D: 0.90%
• 1M: 7.95%
• YTD: 26.96%
• 6M: 29.16%
• 1Y: 57.41%
• 3Y*: 29.23%
• 5Y*: 13.38%
• 10Y*: 11.13%

DFCEX

• 1D: 0.78%
• 1M: 7.67%
• YTD: 25.19%
• 6M: 27.73%
• 1Y: 49.33%
• 3Y*: 23.14%
• 5Y*: 9.53%
• 10Y*: 11.09%

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

LZEMX vs. DFCEX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
LZEMX Lazard Emerging Markets Equity Portfolio	26.96%	41.35%	7.60%	22.44%	-14.86%	5.37%	-0.07%	18.06%	-18.11%	28.02%
DFCEX DFA Emerging Markets Core Equity Fund	25.19%	28.79%	7.31%	15.45%	-16.44%	5.82%	13.86%	16.03%	-15.25%	36.55%

Correlation

The correlation between LZEMX and DFCEX 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	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (10Y) Calculated over the trailing 10-year period	0.92
Correlation (All Time) Calculated using the full available price history since Apr 11, 2005	0.92

The correlation between LZEMX and DFCEX has been stable across timeframes, ranging from 0.88 to 0.92 - a consistent structural relationship.

Return for Risk

LZEMX vs. DFCEX — Risk / Return Rank

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

LZEMX

LZEMX Risk / Return Rank: 96
LZEMX Sharpe Ratio Rank: 99
LZEMX Sortino Ratio Rank: 97
LZEMX Omega Ratio Rank: 96
LZEMX Calmar Ratio Rank: 94
LZEMX Martin Ratio Rank: 93

DFCEX

DFCEX Risk / Return Rank: 89
DFCEX Sharpe Ratio Rank: 95
DFCEX Sortino Ratio Rank: 89
DFCEX Omega Ratio Rank: 89
DFCEX Calmar Ratio Rank: 86
DFCEX Martin Ratio Rank: 86

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.

LZEMX vs. DFCEX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lazard Emerging Markets Equity Portfolio (LZEMX) and DFA Emerging Markets Core Equity Fund (DFCEX). 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.

	LZEMX	DFCEX	Difference
Sharpe ratio: Return per unit of total volatility	4.35	3.32	+1.03
Sortino ratio: Return per unit of downside risk	5.54	4.31	+1.23
Omega ratio: Gain probability vs. loss probability	1.81	1.62	+0.19
Calmar ratio: Return relative to maximum drawdown	5.58	4.15	+1.43
Martin ratio: Return relative to average drawdown	20.53	16.47	+4.05
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

LZEMX vs. DFCEX - Sharpe Ratio Comparison

The current LZEMX Sharpe Ratio is 4.35, which is higher than the DFCEX Sharpe Ratio of 3.32. The chart below compares the historical Sharpe Ratios of LZEMX and DFCEX, 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

	LZEMX	DFCEX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.35	3.32	+1.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.94	0.65	+0.29
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.68	0.70	-0.02
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.44	-0.03

Drawdowns

LZEMX vs. DFCEX - Drawdown Comparison

The maximum LZEMX drawdown since its inception was -60.08%, smaller than the maximum DFCEX drawdown of -64.58%. Use the drawdown chart below to compare losses from any high point for LZEMX and DFCEX.

Drawdown Indicators

	LZEMX	DFCEX	Difference
Max Drawdown Largest peak-to-trough decline	-60.08%	-64.58%	+4.50%
Max Drawdown (1Y) Largest decline over 1 year	-10.42%	-12.12%	+1.70%
Max Drawdown (3Y) Largest decline over 3 years	-14.27%	-16.74%	+2.47%
Max Drawdown (5Y) Largest decline over 5 years	-30.55%	-30.05%	-0.50%
Max Drawdown (10Y) Largest decline over 10 years	-44.08%	-42.33%	-1.75%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-16.63%	-12.61%	-4.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.83%	3.04%	-0.21%

Volatility

LZEMX vs. DFCEX - Volatility Comparison

The current volatility for Lazard Emerging Markets Equity Portfolio (LZEMX) is 5.21%, while DFA Emerging Markets Core Equity Fund (DFCEX) has a volatility of 6.43%. This indicates that LZEMX experiences smaller price fluctuations and is considered to be less risky than DFCEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	LZEMX	DFCEX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.21%	6.43%	-1.22%
Volatility (6M) Calculated over the trailing 6-month period	10.95%	13.07%	-2.12%
Volatility (1Y) Calculated over the trailing 1-year period	13.37%	15.15%	-1.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.32%	14.70%	-0.38%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.39%	15.93%	+0.46%

LZEMX vs. DFCEX - Expense Ratio Comparison

LZEMX has a 1.06% expense ratio, which is higher than DFCEX's 0.40% expense ratio.

Dividends

LZEMX vs. DFCEX - Dividend Comparison

LZEMX's dividend yield for the trailing twelve months is around 1.61%, less than DFCEX's 2.35% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFCEX DFA Emerging Markets Core Equity Fund	2.35%	2.90%	3.43%	3.53%	3.78%	2.59%	1.70%	2.42%	2.33%	1.92%	1.99%	2.28%
LZEMX Lazard Emerging Markets Equity Portfolio	1.61%	2.05%	3.11%	3.76%	5.92%	4.89%	2.11%	2.45%	2.10%	1.99%	1.48%	2.14%

Frequently Asked Questions

Can I hold both LZEMX and DFCEX in my portfolio?

LZEMX and DFCEX 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, LZEMX or DFCEX?

DFCEX has higher volatility (6.43%) compared to LZEMX (5.21%). In terms of maximum drawdown, LZEMX dropped -60.08% vs DFCEX's -64.58%.

Which has better risk-adjusted returns?

LZEMX currently has the higher Sharpe Ratio (4.35 vs 3.32), 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.