DFA Emerging Markets Core Equity I (DFCEX): Historical Returns

Data Source: from January 1976 to January 2024 (~48 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 23 2024
Category: Stocks
DFA Emerging Markets Core Equity I (DFCEX) Fund
FUND • LIVE PERFORMANCE (USD currency)
0.22%
1 Day
Feb 23 2024
4.90%
Current Month
February 2024

In the last 30 Years, the DFA Emerging Markets Core Equity I (DFCEX) Fund obtained a 5.05% compound annual return, with a 22.51% standard deviation.

Table of contents
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The DFA Emerging Markets Core Equity I (DFCEX) Fund is part of the following Lazy Portfolios:

Portfolio Name Author DFCEX Weight Currency
Dimensional Retirement Income Fund DFA 1.90% USD

Investment Returns as of Jan 31, 2024

The DFA Emerging Markets Core Equity I (DFCEX) Fund guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
DFA EMERGING MARKETS CORE EQUITY I (DFCEX) FUND
Consolidated returns as of 31 January 2024
Live Update: Feb 23 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~48Y)
DFA Emerging Markets Core Equity I (DFCEX) Fund -0.22 4.90 -3.39 -2.73 2.99 3.81 4.32 5.05 8.13
US Inflation Adjusted return -3.69 -4.32 -0.11 -0.34 1.50 2.46 4.34
Returns over 1 year are annualized | Available data source: since Jan 1976
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 30Y: 2.53%

In 2023, the DFA Emerging Markets Core Equity I (DFCEX) Fund granted a 3.98% dividend yield. If you are interested in getting periodic income, please refer to the DFA Emerging Markets Core Equity I (DFCEX) Fund: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 1994, now would be worth 4.38$, with a total return of 338.33% (5.05% annualized).

The Inflation Adjusted Capital now would be 2.07$, with a net total return of 107.07% (2.46% annualized).
An investment of 1$, since January 1976, now would be worth 42.95$, with a total return of 4195.20% (8.13% annualized).

The Inflation Adjusted Capital now would be 7.71$, with a net total return of 671.15% (4.34% annualized).

Investment Metrics as of Jan 31, 2024

Metrics of DFA Emerging Markets Core Equity I (DFCEX) Fund, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
DFA EMERGING MARKETS CORE EQUITY I (DFCEX) FUND
Advanced Metrics
Data Source: 1 January 1976 - 31 January 2024 (~48 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~48Y)
Investment Return (%) -3.39 8.15 -2.73 2.99 -0.87 3.81 4.32 7.60 5.05 8.13
Infl. Adjusted Return (%) details -3.69 7.40 -4.32 -0.11 -6.19 -0.34 1.50 4.90 2.46 4.34
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.53 3.64
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -10.06 -29.42 -29.42 -34.15 -61.22 -61.22 -61.22
Start to Recovery (# months) details 5 31* 31* 35 38 38 38
Start (yyyy mm) 2023 08 2021 07 2021 07 2018 02 2007 11 2007 11 2007 11
Start to Bottom (# months) 3 16 16 26 16 16 16
Bottom (yyyy mm) 2023 10 2022 10 2022 10 2020 03 2009 02 2009 02 2009 02
Bottom to End (# months) 2 15 15 9 22 22 22
End (yyyy mm) 2023 12 - - 2020 12 2010 12 2010 12 2010 12
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-28.80 -54.22 -54.22
Start to Recovery (# months) details 74 120 120
Start (yyyy mm) 2023 08 2021 07 2021 07 2018 02 2011 05 1994 02 1994 02
Start to Bottom (# months) 3 16 16 26 58 55 55
Bottom (yyyy mm) 2023 10 2022 10 2022 10 2020 03 2016 02 1998 08 1998 08
Bottom to End (# months) 2 15 15 9 16 65 65
End (yyyy mm) 2023 12 - - 2020 12 2017 06 2004 01 2004 01
Longest negative period (# months) details 9 36* 45 74 151 151 151
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2014 02 2007 11 2007 11 2007 11
Period End (yyyy mm) 2023 10 2024 01 2022 10 2020 03 2020 05 2020 05 2020 05
Annualized Return (%) -6.30 -0.87 -0.94 -0.42 -0.06 -0.06 -0.06
Drawdowns / Negative periods marked with * are in progress
Deepest Drawdown Depth (%) -10.91 -35.86 -35.86 -36.52 -61.86 -61.86 -62.18
Start to Recovery (# months) details 6* 31* 31* 36 42 42 131
Start (yyyy mm) 2023 08 2021 07 2021 07 2018 02 2007 11 2007 11 1979 09
Start to Bottom (# months) 3 16 16 26 16 16 100
Bottom (yyyy mm) 2023 10 2022 10 2022 10 2020 03 2009 02 2009 02 1987 12
Bottom to End (# months) 3 15 15 10 26 26 31
End (yyyy mm) - - - 2021 01 2011 04 2011 04 1990 07
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest
-32.77 -59.01 -59.01
Start to Recovery (# months) details 78 133 133
Start (yyyy mm) 2023 08 2021 07 2021 07 2018 02 2011 05 1994 02 1994 02
Start to Bottom (# months) 3 16 16 26 58 55 55
Bottom (yyyy mm) 2023 10 2022 10 2022 10 2020 03 2016 02 1998 08 1998 08
Bottom to End (# months) 3 15 15 10 20 78 78
End (yyyy mm) - - - 2021 01 2017 10 2005 02 2005 02
Longest negative period (# months) details 12* 36* 60* 113 195* 195* 195*
Period Start (yyyy mm) 2023 02 2021 02 2019 02 2014 06 2007 11 2007 11 2007 11
Period End (yyyy mm) 2024 01 2024 01 2024 01 2023 10 2024 01 2024 01 2024 01
Annualized Return (%) -0.11 -6.19 -0.34 -0.29 -0.43 -0.43 -0.43
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 14.62 16.42 19.14 17.10 21.11 22.51 23.95
Sharpe Ratio -0.14 -0.19 0.11 0.19 0.30 0.12 0.17
Sortino Ratio -0.21 -0.28 0.15 0.26 0.41 0.17 0.24
Ulcer Index 4.35 14.00 12.43 14.11 16.82 20.66 21.80
Ratio: Return / Standard Deviation 0.20 -0.05 0.20 0.25 0.36 0.22 0.34
Ratio: Return / Deepest Drawdown 0.30 -0.03 0.13 0.13 0.12 0.08 0.13
% Positive Months details 50% 50% 55% 56% 57% 57% 57%
Positive Months 6 18 33 68 139 208 332
Negative Months 6 18 27 52 101 152 245
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 4.32 13.47 18.09 25.17
Worst 10 Years Return (%) - Annualized 0.12 0.12 -2.16
Best 10 Years Return (%) - Annualized 1.50 10.91 15.37 20.75
Worst 10 Years Return (%) - Annualized -1.59 -2.27 -8.02
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 106.53 45.39 39.33 18.09 11.39 5.05
Worst Rolling Return (%) - Annualized -55.44 -15.31 -10.37 0.12 5.41
% Positive Periods 61% 70% 80% 100% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 60.25 22.58 13.49 6.50 4.45 3.65
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.96 1.89
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 102.18 41.45 35.39 15.37 9.01 2.46
Worst Rolling Return (%) - Annualized -57.04 -17.17 -12.47 -2.27 2.94
% Positive Periods 57% 60% 68% 92% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 60.25 22.58 13.49 6.50 4.45 3.65
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.96 1.89
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1976 - Jan 2024)
Best Rolling Return (%) - Annualized 111.70 60.25 49.02 25.17 18.81 13.30
Worst Rolling Return (%) - Annualized -55.44 -18.57 -10.37 -2.16 5.41 5.05
% Positive Periods 65% 71% 78% 97% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 60.25 19.24 11.31 5.97 4.17 3.52
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.14 1.89
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 105.57 53.18 43.40 20.75 15.28 10.46
Worst Rolling Return (%) - Annualized -57.04 -25.91 -14.70 -8.02 1.51 2.46
% Positive Periods 60% 62% 65% 80% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 60.25 19.24 11.31 5.97 4.17 3.52
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.14 1.89
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • Standard Deviation: it's a measure of the dispersion of returns around the mean.
  • Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
  • Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of Jan 31, 2024

Correlation measures to what degree the returns of the two assets move in relation to each other.

Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.

Monthly correlations of DFA Emerging Markets Core Equity I (DFCEX) Fund vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

DFA EMERGING MARKETS CORE EQUITY I (DFCEX) FUND
Monthly correlations as of 31 January 2024
Swipe left to see all data
Correlation vs DFCEX
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
VTI
US Total Stock Market
0.88
0.78
0.72
0.76
0.73
SPY
US Large Cap
0.87
0.77
0.71
0.74
0.70
IJR
US Small Cap
0.75
0.80
0.66
0.71
0.68
VNQ
US REITs
0.85
0.73
0.60
0.54
0.52
QQQ
US Technology
0.73
0.67
0.63
0.63
0.60
PFF
Preferred Stocks
0.64
0.74
0.65
0.43
0.41
EFA
EAFE Stocks
0.90
0.87
0.83
0.81
0.77
VT
World All Countries
0.93
0.86
0.83
0.85
0.82
EEM
Emerging Markets
0.99
0.97
0.98
0.99
0.99
VGK
Europe
0.85
0.85
0.80
0.78
0.75
VPL
Pacific
0.96
0.88
0.86
0.76
0.72
FLLA
Latin America
0.94
0.77
0.76
0.85
0.83
BND
US Total Bond Market
0.76
0.51
0.43
0.16
0.17
TLT
Long Term Treasuries
0.74
0.16
0.13
-0.10
-0.07
BIL
US Cash
0.18
-0.07
-0.05
-0.05
-0.04
TIP
TIPS
0.68
0.47
0.47
0.20
0.21
LQD
Invest. Grade Bonds
0.81
0.66
0.61
0.32
0.31
HYG
High Yield Bonds
0.85
0.77
0.72
0.62
0.60
CWB
US Convertible Bonds
0.87
0.78
0.74
0.75
0.72
BNDX
International Bonds
0.68
0.46
0.36
0.17
0.18
EMB
Emerg. Market Bonds
0.90
0.82
0.77
0.68
0.67
GLD
Gold
0.35
0.33
0.32
0.27
0.26
DBC
Commodities
0.34
0.56
0.51
0.40
0.38

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.

DFA EMERGING MARKETS CORE EQUITY I (DFCEX) FUND
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1976 - 31 January 2024 (~48 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-61.22% Nov 2007 Feb 2009 16 Dec 2010 22 38 29.73
-54.22% Feb 1994 Aug 1998 55 Jan 2004 65 120 26.65
-34.15% Feb 2018 Mar 2020 26 Dec 2020 9 35 15.91
-29.42% Jul 2021 Oct 2022 16 in progress 15 31 15.05
-28.80% May 2011 Feb 2016 58 Jun 2017 16 74 14.65
-12.64% May 2006 Jun 2006 2 Nov 2006 5 7 8.16
-11.25% Apr 2004 Jul 2004 4 Oct 2004 3 7 7.34
-9.06% Mar 2005 Apr 2005 2 Jul 2005 3 5 5.61
-6.34% Oct 2005 Oct 2005 1 Dec 2005 2 3 3.20
-4.83% Jan 2011 Feb 2011 2 Mar 2011 1 3 2.89
-2.58% Aug 2007 Aug 2007 1 Sep 2007 1 2 1.49
-0.76% Feb 2007 Feb 2007 1 Mar 2007 1 2 0.44
-0.76% Sep 2017 Sep 2017 1 Oct 2017 1 2 0.44
-0.53% Jan 2005 Jan 2005 1 Feb 2005 1 2 0.31
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 43 8.4 Months 11.91%
 
DD = 0% 11.91%
 
0% < DD <= -5% 31 11.6 Months 8.59%
 
DD <= -5% 20.50%
 
-5% < DD <= -10% 52 6.9 Months 14.40%
 
DD <= -10% 34.90%
 
-10% < DD <= -15% 64 5.6 Months 17.73%
 
DD <= -15% 52.63%
 
-15% < DD <= -20% 52 6.9 Months 14.40%
 
DD <= -20% 67.04%
 
-20% < DD <= -25% 41 8.8 Months 11.36%
 
DD <= -25% 78.39%
 
-25% < DD <= -30% 28 12.9 Months 7.76%
 
DD <= -30% 86.15%
 
-30% < DD <= -35% 15 24.1 Months 4.16%
 
DD <= -35% 90.30%
 
-35% < DD <= -40% 18 20.1 Months 4.99%
 
DD <= -40% 95.29%
 
-40% < DD <= -45% 7 51.6 Months 1.94%
 
DD <= -45% 97.23%
 
-45% < DD <= -50% 3 120.3 Months 0.83%
 
DD <= -50% 98.06%
 
-50% < DD <= -55% 2 180.5 Months 0.55%
 
DD <= -55% 98.61%
 
-55% < DD <= -60% 4 90.3 Months 1.11%
 
DD <= -60% 99.72%
 
-60% < DD <= -65% 1 361.0 Months 0.28%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-61.86% Nov 2007 Feb 2009 16 Apr 2011 26 42 29.77
-59.01% Feb 1994 Aug 1998 55 Feb 2005 78 133 33.62
-36.52% Feb 2018 Mar 2020 26 Jan 2021 10 36 17.59
-35.86% Jul 2021 Oct 2022 16 in progress 15 31 21.87
-32.77% May 2011 Feb 2016 58 Oct 2017 20 78 17.65
-13.12% May 2006 Jun 2006 2 Nov 2006 5 7 8.77
-9.67% Mar 2005 Apr 2005 2 Jul 2005 3 5 6.01
-6.48% Oct 2005 Oct 2005 1 Dec 2005 2 3 3.25
-2.61% Aug 2007 Aug 2007 1 Sep 2007 1 2 1.51
-1.14% Feb 2007 Feb 2007 1 Mar 2007 1 2 0.66
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 31 11.6 Months 8.59%
 
DD = 0% 8.59%
 
0% < DD <= -5% 16 22.6 Months 4.43%
 
DD <= -5% 13.02%
 
-5% < DD <= -10% 29 12.4 Months 8.03%
 
DD <= -10% 21.05%
 
-10% < DD <= -15% 46 7.8 Months 12.74%
 
DD <= -15% 33.80%
 
-15% < DD <= -20% 63 5.7 Months 17.45%
 
DD <= -20% 51.25%
 
-20% < DD <= -25% 49 7.4 Months 13.57%
 
DD <= -25% 64.82%
 
-25% < DD <= -30% 43 8.4 Months 11.91%
 
DD <= -30% 76.73%
 
-30% < DD <= -35% 23 15.7 Months 6.37%
 
DD <= -35% 83.10%
 
-35% < DD <= -40% 15 24.1 Months 4.16%
 
DD <= -40% 87.26%
 
-40% < DD <= -45% 14 25.8 Months 3.88%
 
DD <= -45% 91.14%
 
-45% < DD <= -50% 18 20.1 Months 4.99%
 
DD <= -50% 96.12%
 
-50% < DD <= -55% 6 60.2 Months 1.66%
 
DD <= -55% 97.78%
 
-55% < DD <= -60% 7 51.6 Months 1.94%
 
DD <= -60% 99.72%
 
-60% < DD <= -65% 1 361.0 Months 0.28%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-61.22% Nov 2007 Feb 2009 16 Dec 2010 22 38 29.73
-55.33% Mar 1987 Dec 1987 10 Sep 1989 21 31 35.10
-55.05% Dec 1980 Jul 1982 20 May 1986 46 66 33.21
-54.22% Feb 1994 Aug 1998 55 Jan 2004 65 120 26.65
-34.47% Aug 1990 Sep 1990 2 Feb 1991 5 7 19.05
-34.15% Feb 2018 Mar 2020 26 Dec 2020 9 35 15.91
-29.42% Jul 2021 Oct 2022 16 in progress 15 31 15.05
-28.80% May 2011 Feb 2016 58 Jun 2017 16 74 14.65
-23.01% Jun 1992 Dec 1992 7 Apr 1993 4 11 13.98
-13.68% Feb 1980 Mar 1980 2 Nov 1980 8 10 6.61
-12.64% May 2006 Jun 2006 2 Nov 2006 5 7 8.16
-11.25% Apr 2004 Jul 2004 4 Oct 2004 3 7 7.34
-10.62% Jan 1990 Apr 1990 4 Jun 1990 2 6 6.39
-9.07% Sep 1986 Sep 1986 1 Jan 1987 4 5 4.68
-9.06% Mar 2005 Apr 2005 2 Jul 2005 3 5 5.61
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 87 6.6 Months 15.05%
 
DD = 0% 15.05%
 
0% < DD <= -5% 66 8.8 Months 11.42%
 
DD <= -5% 26.47%
 
-5% < DD <= -10% 84 6.9 Months 14.53%
 
DD <= -10% 41.00%
 
-10% < DD <= -15% 78 7.4 Months 13.49%
 
DD <= -15% 54.50%
 
-15% < DD <= -20% 64 9.0 Months 11.07%
 
DD <= -20% 65.57%
 
-20% < DD <= -25% 59 9.8 Months 10.21%
 
DD <= -25% 75.78%
 
-25% < DD <= -30% 35 16.5 Months 6.06%
 
DD <= -30% 81.83%
 
-30% < DD <= -35% 25 23.1 Months 4.33%
 
DD <= -35% 86.16%
 
-35% < DD <= -40% 23 25.1 Months 3.98%
 
DD <= -40% 90.14%
 
-40% < DD <= -45% 30 19.3 Months 5.19%
 
DD <= -45% 95.33%
 
-45% < DD <= -50% 14 41.3 Months 2.42%
 
DD <= -50% 97.75%
 
-50% < DD <= -55% 6 96.3 Months 1.04%
 
DD <= -55% 98.79%
 
-55% < DD <= -60% 6 96.3 Months 1.04%
 
DD <= -60% 99.83%
 
-60% < DD <= -65% 1 578.0 Months 0.17%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-62.18% Sep 1979 Dec 1987 100 Jul 1990 31 131 38.64
-61.86% Nov 2007 Feb 2009 16 Apr 2011 26 42 29.77
-59.01% Feb 1994 Aug 1998 55 Feb 2005 78 133 33.62
-36.52% Feb 2018 Mar 2020 26 Jan 2021 10 36 17.59
-35.86% Jul 2021 Oct 2022 16 in progress 15 31 21.87
-35.46% Aug 1990 Sep 1990 2 May 1991 8 10 17.47
-32.77% May 2011 Feb 2016 58 Oct 2017 20 78 17.65
-24.42% Jun 1992 Dec 1992 7 Jun 1993 6 13 14.01
-14.45% Feb 1976 Feb 1978 25 Aug 1978 6 31 8.91
-13.12% May 2006 Jun 2006 2 Nov 2006 5 7 8.77
-9.67% Mar 2005 Apr 2005 2 Jul 2005 3 5 6.01
-9.43% Sep 1978 Oct 1978 2 Aug 1979 10 12 4.50
-7.88% Jun 1991 Jun 1991 1 Aug 1991 2 3 4.95
-7.85% Nov 1991 Nov 1991 1 Dec 1991 1 2 4.53
-6.56% Feb 1992 Mar 1992 2 May 1992 2 4 4.11
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 48 12.0 Months 8.30%
 
DD = 0% 8.30%
 
0% < DD <= -5% 43 13.4 Months 7.44%
 
DD <= -5% 15.74%
 
-5% < DD <= -10% 58 10.0 Months 10.03%
 
DD <= -10% 25.78%
 
-10% < DD <= -15% 73 7.9 Months 12.63%
 
DD <= -15% 38.41%
 
-15% < DD <= -20% 76 7.6 Months 13.15%
 
DD <= -20% 51.56%
 
-20% < DD <= -25% 63 9.2 Months 10.90%
 
DD <= -25% 62.46%
 
-25% < DD <= -30% 51 11.3 Months 8.82%
 
DD <= -30% 71.28%
 
-30% < DD <= -35% 34 17.0 Months 5.88%
 
DD <= -35% 77.16%
 
-35% < DD <= -40% 28 20.6 Months 4.84%
 
DD <= -40% 82.01%
 
-40% < DD <= -45% 23 25.1 Months 3.98%
 
DD <= -45% 85.99%
 
-45% < DD <= -50% 28 20.6 Months 4.84%
 
DD <= -50% 90.83%
 
-50% < DD <= -55% 34 17.0 Months 5.88%
 
DD <= -55% 96.71%
 
-55% < DD <= -60% 15 38.5 Months 2.60%
 
DD <= -60% 99.31%
 
-60% < DD <= -65% 4 144.5 Months 0.69%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 

Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

DFA EMERGING MARKETS CORE EQUITY I (DFCEX) FUND
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1976 - 31 January 2024 (~48 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -55.44 11/2007
10/2008
0.44$ -16.40 0.83$ 6.57 1.06$ 32.62 1.32$ 106.53 03/2009
02/2010
2.06$ 2.99 38.97%
2Y -25.90 09/1996
08/1998
0.54$ -7.94 0.84$ 3.48 1.07$ 27.18 1.61$ 59.46 03/2009
02/2011
2.54$ -3.22 41.84%
3Y -15.31 09/1995
08/1998
0.60$ -3.63 0.89$ 4.85 1.15$ 20.71 1.75$ 45.39 04/2003
03/2006
3.07$ -0.87 29.54%
5Y -10.37 02/1994
01/1999
0.57$ -1.93 0.90$ 4.90 1.26$ 16.72 2.16$ 39.33 11/2002
10/2007
5.25$ 3.81 19.93%
7Y -6.71 10/1994
09/2001
0.61$ 0.96 1.06$ 5.57 1.46$ 17.45 3.08$ 24.64 04/2003
03/2010
4.67$ 5.16 11.91%
10Y 0.12 04/2010
03/2020
1.01$ 3.05 1.35$ 7.62 2.08$ 14.77 3.96$ 18.09 04/2003
03/2013
5.27$ 4.32 0.00%
15Y 0.66 11/2007
10/2022
1.10$ 5.41 2.20$ 8.70 3.49$ 10.81 4.66$ 13.65 04/2003
03/2018
6.81$ 8.32 0.00%
20Y 5.41 02/1994
01/2014
2.87$ 6.56 3.56$ 8.05 4.70$ 9.74 6.41$ 11.39 10/2001
09/2021
8.64$ 7.60 0.00%
30Y 5.05 02/1994
01/2024
4.38$ 5.05 4.38$ 5.05 4.38$ 5.05 4.38$ 5.05 02/1994
01/2024
4.38$ 5.05 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -57.04 11/2007
10/2008
0.42$ -18.21 0.81$ 3.95 1.03$ 29.16 1.29$ 102.18 03/2009
02/2010
2.02$ -0.11 42.12%
2Y -27.32 09/1996
08/1998
0.52$ -10.74 0.79$ 1.30 1.02$ 24.36 1.54$ 56.12 03/2009
02/2011
2.43$ -7.59 46.59%
3Y -17.17 09/1995
08/1998
0.56$ -5.40 0.84$ 2.26 1.06$ 17.38 1.61$ 41.45 04/2003
03/2006
2.83$ -6.19 39.38%
5Y -12.47 02/1994
01/1999
0.51$ -4.28 0.80$ 3.04 1.16$ 14.37 1.95$ 35.39 11/2002
10/2007
4.54$ -0.34 31.23%
7Y -9.04 10/1994
09/2001
0.51$ -1.12 0.92$ 2.77 1.21$ 14.32 2.55$ 21.70 04/2003
03/2010
3.95$ 1.62 19.86%
10Y -2.27 02/1994
01/2004
0.79$ 1.18 1.12$ 5.06 1.63$ 11.92 3.08$ 15.37 04/2003
03/2013
4.17$ 1.50 7.05%
15Y -1.68 11/2007
10/2022
0.77$ 3.17 1.59$ 6.40 2.53$ 8.32 3.31$ 11.36 04/2003
03/2018
5.02$ 5.62 3.31%
20Y 2.94 02/1994
01/2014
1.78$ 4.21 2.28$ 5.71 3.03$ 7.34 4.12$ 9.01 10/2001
09/2021
5.61$ 4.90 0.00%
30Y 2.46 02/1994
01/2024
2.07$ 2.46 2.07$ 2.46 2.07$ 2.46 2.07$ 2.46 02/1994
01/2024
2.07$ 2.46 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -55.44 11/2007
10/2008
0.44$ -15.86 0.84$ 10.63 1.10$ 34.51 1.34$ 111.70 01/1991
12/1991
2.11$ 2.99 34.10%
2Y -29.06 08/1980
07/1982
0.50$ -9.23 0.82$ 8.19 1.17$ 33.62 1.78$ 64.67 01/1988
12/1989
2.71$ -3.22 35.74%
3Y -18.57 10/1979
09/1982
0.53$ -4.44 0.87$ 6.40 1.20$ 28.50 2.12$ 60.25 01/1989
12/1991
4.11$ -0.87 28.78%
5Y -10.37 02/1994
01/1999
0.57$ -2.71 0.87$ 5.74 1.32$ 21.89 2.69$ 49.02 01/1989
12/1993
7.34$ 3.81 21.62%
7Y -8.52 12/1980
11/1987
0.53$ 0.16 1.01$ 6.10 1.51$ 20.41 3.66$ 36.13 11/1987
10/1994
8.66$ 5.16 14.17%
10Y -2.16 01/1978
12/1987
0.80$ 2.78 1.31$ 8.02 2.16$ 17.41 4.97$ 25.17 02/1984
01/1994
9.44$ 4.32 2.84%
15Y 0.66 11/2007
10/2022
1.10$ 7.01 2.76$ 10.51 4.47$ 13.01 6.26$ 18.23 08/1982
07/1997
12.33$ 8.32 0.00%
20Y 5.41 02/1994
01/2014
2.87$ 7.32 4.10$ 9.60 6.25$ 12.48 10.49$ 18.81 01/1988
12/2007
31.42$ 7.60 0.00%
30Y 5.05 02/1994
01/2024
4.38$ 8.39 11.22$ 10.32 19.02$ 11.85 28.78$ 13.30 01/1988
12/2017
42.40$ 5.05 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -57.04 11/2007
10/2008
0.42$ -18.21 0.81$ 5.60 1.05$ 31.03 1.31$ 105.57 01/1991
12/1991
2.05$ -0.11 39.58%
2Y -34.70 08/1980
07/1982
0.42$ -12.77 0.76$ 3.50 1.07$ 29.55 1.67$ 57.54 01/1988
12/1989
2.48$ -7.59 42.78%
3Y -25.91 08/1979
07/1982
0.40$ -7.42 0.79$ 2.78 1.08$ 24.60 1.93$ 53.18 01/1989
12/1991
3.59$ -6.19 37.45%
5Y -14.70 08/1977
07/1982
0.45$ -5.99 0.73$ 3.28 1.17$ 18.55 2.34$ 43.40 01/1989
12/1993
6.06$ -0.34 34.75%
7Y -12.34 12/1980
11/1987
0.39$ -4.53 0.72$ 3.49 1.27$ 16.96 2.99$ 31.13 11/1987
10/1994
6.66$ 1.62 27.73%
10Y -8.02 01/1978
12/1987
0.43$ -0.72 0.92$ 5.33 1.68$ 13.82 3.64$ 20.75 02/1984
01/1994
6.58$ 1.50 19.43%
15Y -1.68 11/2007
10/2022
0.77$ 4.45 1.92$ 7.12 2.80$ 9.80 4.06$ 14.37 08/1982
07/1997
7.49$ 5.62 1.76%
20Y 1.51 09/1978
08/1998
1.34$ 4.36 2.34$ 6.39 3.45$ 9.41 6.04$ 15.28 01/1988
12/2007
17.18$ 4.90 0.00%
30Y 2.46 02/1994
01/2024
2.07$ 5.05 4.37$ 6.97 7.55$ 8.80 12.54$ 10.46 01/1988
12/2017
19.77$ 2.46 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the DFA Emerging Markets Core Equity I (DFCEX) Fund: Rolling Returns page.

Seasonality

In which months is it better to invest in DFA Emerging Markets Core Equity I (DFCEX) Fund?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
-0.06
40%
-1.98
20%
-3.23
60%
1.84
75%
-0.45
60%
2.19
80%
1.32
60%
-1.27
40%
-2.86
20%
0.16
60%
5.92
60%
4.01
80%
Best 8.3
2023
3.1
2021
2.9
2023
10.9
2020
2.3
2021
7.1
2020
8.1
2020
2.1
2021
2.7
2019
4.0
2019
14.7
2022
7.8
2020
Worst -6.1
2020
-5.2
2023
-19.6
2020
-5.7
2022
-5.8
2019
-7.4
2022
-4.7
2021
-5.0
2023
-10.9
2022
-3.7
2023
-3.2
2021
-2.4
2022
Monthly Seasonality over the period Feb 1976 - Jan 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.72
60%
-0.46
40%
0.16
60%
1.85
78%
-0.85
50%
1.21
70%
1.44
70%
-1.11
50%
-2.46
20%
0.19
70%
2.53
50%
1.50
60%
Best 8.3
2023
3.9
2017
13.1
2016
10.9
2020
3.3
2014
7.1
2020
8.1
2020
3.1
2014
2.7
2019
5.7
2015
14.7
2022
7.8
2020
Worst -6.1
2020
-5.2
2023
-19.6
2020
-5.7
2022
-5.8
2019
-7.4
2022
-6.7
2015
-8.7
2015
-10.9
2022
-8.5
2018
-5.4
2016
-4.2
2014
Monthly Seasonality over the period Feb 1976 - Jan 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.89
59%
0.43
52%
-0.24
50%
2.52
70%
0.32
50%
0.41
57%
1.41
58%
-0.20
51%
-0.90
52%
0.57
63%
1.54
60%
3.00
65%
Best 20.8
1988
13.7
1991
15.8
2009
18.3
2009
19.7
2009
16.1
1988
18.4
1987
16.9
1989
13.4
1989
21.3
1990
14.7
2022
32.8
1991
Worst -10.7
1995
-13.6
1994
-21.6
1987
-9.8
2004
-12.5
1998
-14.6
1992
-9.7
1982
-26.1
1998
-16.6
1990
-36.0
1987
-9.8
2000
-8.1
1994
Monthly Seasonality over the period Feb 1976 - Jan 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the DFA Emerging Markets Core Equity I (DFCEX) Fund over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

DFA EMERGING MARKETS CORE EQUITY I (DFCEX) FUND
Monthly Returns Distribution
Data Source: 1 February 1994 - 31 January 2024 (30 Years)
Data Source: 1 January 1976 - 31 January 2024 (~48 years)
208 Positive Months (58%) - 152 Negative Months (42%)
332 Positive Months (58%) - 245 Negative Months (42%)
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(Scroll down to see all data)
Investment Returns, up to December 2005, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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