SFENX vs. DFEMX
Compare and contrast key facts about Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) and DFA Emerging Markets Portfolio (DFEMX).
SFENX is managed by Charles Schwab. It was launched on Jan 30, 2008. DFEMX is managed by Dimensional Fund Advisors LP. It was launched on Apr 24, 1994.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SFENX or DFEMX.
Key characteristics
| SFENX | DFEMX | |
|---|---|---|
| YTD Return | 17.63% | 11.90% |
| 1Y Return | 27.77% | 20.88% |
| 3Y Return (Ann) | 3.87% | 1.31% |
| 5Y Return (Ann) | 5.59% | 5.12% |
| 10Y Return (Ann) | 5.49% | 4.35% |
| Sharpe Ratio | 1.83 | 1.53 |
| Sortino Ratio | 2.57 | 2.17 |
| Omega Ratio | 1.34 | 1.27 |
| Calmar Ratio | 1.66 | 1.01 |
| Martin Ratio | 9.25 | 7.87 |
| Ulcer Index | 2.92% | 2.55% |
| Daily Std Dev | 14.73% | 13.11% |
| Max Drawdown | -60.58% | -62.43% |
| Current Drawdown | -5.74% | -4.55% |
Correlation
The correlation between SFENX and DFEMX is 0.95, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
SFENX vs. DFEMX - Performance Comparison
In the year-to-date period, SFENX achieves a 17.63% return, which is significantly higher than DFEMX's 11.90% return. Over the past 10 years, SFENX has outperformed DFEMX with an annualized return of 5.49%, while DFEMX has yielded a comparatively lower 4.35% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SFENX vs. DFEMX - Expense Ratio Comparison
SFENX has a 0.39% expense ratio, which is higher than DFEMX's 0.36% expense ratio.
Risk-Adjusted Performance
SFENX vs. DFEMX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) and DFA Emerging Markets Portfolio (DFEMX). 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.
Dividends
SFENX vs. DFEMX - Dividend Comparison
SFENX's dividend yield for the trailing twelve months is around 4.26%, more than DFEMX's 3.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SFENX Schwab Fundamental Emerging Markets Large Company Index Fund | 4.26% | 5.01% | 5.46% | 4.61% | 2.95% | 3.83% | 2.90% | 2.38% | 2.16% | 3.23% | 2.83% | 2.02% |
DFEMX DFA Emerging Markets Portfolio | 3.15% | 3.34% | 3.65% | 2.42% | 1.45% | 2.33% | 2.14% | 1.74% | 1.92% | 2.09% | 2.02% | 2.12% |
Drawdowns
SFENX vs. DFEMX - Drawdown Comparison
The maximum SFENX drawdown since its inception was -60.58%, roughly equal to the maximum DFEMX drawdown of -62.43%. Use the drawdown chart below to compare losses from any high point for SFENX and DFEMX. For additional features, visit the drawdowns tool.
Volatility
SFENX vs. DFEMX - Volatility Comparison
Schwab Fundamental Emerging Markets Large Company Index Fund (SFENX) has a higher volatility of 5.15% compared to DFA Emerging Markets Portfolio (DFEMX) at 4.00%. This indicates that SFENX's price experiences larger fluctuations and is considered to be riskier than DFEMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.