SPY vs. DFEM
SPY (State Street SPDR S&P 500 ETF) and DFEM (Dimensional Emerging Markets Core Equity 2 ETF) are both exchange-traded funds - SPY is a S&P 500 fund tracking the S&P 500 Index, while DFEM is a Emerging Markets Diversified fund actively managed by Dimensional. SPY is passively managed, while DFEM is actively managed. Over the past 3 years, SPY returned 20.86%/yr vs 21.31%/yr for DFEM. A 0.66 correlation means they provide meaningful diversification when combined. SPY charges 0.09%/yr vs 0.39%/yr for DFEM.
Performance
SPY vs. DFEM - Performance Comparison
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Returns By Period
In the year-to-date period, SPY achieves a 9.07% return, which is significantly lower than DFEM's 22.86% return.
SPY
- 1D
- 0.54%
- 1M
- -0.86%
- YTD
- 9.07%
- 6M
- 9.42%
- 1Y
- 25.67%
- 3Y*
- 20.86%
- 5Y*
- 13.36%
- 10Y*
- 15.42%
DFEM
- 1D
- 0.37%
- 1M
- 0.25%
- YTD
- 22.86%
- 6M
- 25.68%
- 1Y
- 43.48%
- 3Y*
- 21.31%
- 5Y*
- —
- 10Y*
- —
SPY vs. DFEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SPY State Street SPDR S&P 500 ETF | 9.07% | 17.72% | 24.89% | 26.18% | -6.89% |
DFEM Dimensional Emerging Markets Core Equity 2 ETF | 22.86% | 29.51% | 7.53% | 13.91% | -9.60% |
Correlation
The correlation between SPY and DFEM is 0.76, 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 | 0.76 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.66 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2022 | 0.66 |
The correlation between SPY and DFEM has been stable across timeframes, ranging from 0.66 to 0.76 - a consistent structural relationship.
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Return for Risk
SPY vs. DFEM — Risk / Return Rank
SPY
DFEM
SPY vs. DFEM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR S&P 500 ETF (SPY) and Dimensional Emerging Markets Core Equity 2 ETF (DFEM). 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.
| SPY | DFEM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.39 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.74 | 3.42 | -0.67 |
| Martin ratioReturn relative to average drawdown | 12.39 | 12.78 | -0.39 |
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Drawdowns
SPY vs. DFEM - Drawdown Comparison
The maximum SPY drawdown since its inception was -55.19%, which is greater than DFEM's maximum drawdown of -20.82%. Use the drawdown chart below to compare losses from any high point for SPY and DFEM.
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Drawdown Indicators
| SPY | DFEM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.19% | -20.82% | -34.37% |
Max Drawdown (1Y)Largest decline over 1 year | -8.88% | -12.12% | +3.24% |
Max Drawdown (3Y)Largest decline over 3 years | -18.76% | -18.09% | -0.67% |
Max Drawdown (5Y)Largest decline over 5 years | -24.50% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -33.72% | — | — |
Current DrawdownCurrent decline from peak | -2.35% | -3.43% | +1.08% |
Average DrawdownAverage peak-to-trough decline | -9.04% | -5.03% | -4.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 3.24% | -1.27% |
Volatility
SPY vs. DFEM - Volatility Comparison
The current volatility for State Street SPDR S&P 500 ETF (SPY) is 4.34%, while Dimensional Emerging Markets Core Equity 2 ETF (DFEM) has a volatility of 10.14%. This indicates that SPY experiences smaller price fluctuations and is considered to be less risky than DFEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SPY | DFEM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.34% | 10.14% | -5.80% |
Volatility (6M)Calculated over the trailing 6-month period | 9.58% | 17.91% | -8.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.29% | 20.02% | -7.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.12% | 17.63% | -0.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.96% | 17.63% | +0.33% |
SPY vs. DFEM - Expense Ratio Comparison
SPY has a 0.09% expense ratio, which is lower than DFEM's 0.39% expense ratio.
Dividends
SPY vs. DFEM - Dividend Comparison
SPY's dividend yield for the trailing twelve months is around 1.00%, less than DFEM's 1.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFEM Dimensional Emerging Markets Core Equity 2 ETF | 1.86% | 2.32% | 2.50% | 2.38% | 1.99% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.00% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Frequently Asked Questions
SPY and DFEM have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFEM has higher volatility (10.14%) compared to SPY (4.34%). In terms of maximum drawdown, SPY dropped -55.19% vs DFEM's -20.82%.
On 3-year performance, DFEM leads with 21.31% vs 20.86% for SPY. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 4.34%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DFEM has performed better with a 21.31% return vs 20.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.39% for DFEM.
DFEM has the higher dividend yield at 1.86%, compared with 1.00% for SPY.
SPY is categorized as S&P 500, while DFEM is Emerging Markets Diversified. They also come from different issuers: State Street and Dimensional. Their fees differ too: 0.09% for SPY and 0.39% for DFEM.
DFEM currently has the higher Sharpe Ratio (2.07 vs 1.98), 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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