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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in iShares ESG Advanced MSCI EAFE ETF, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
iShares ESG Advanced MSCI EAFE ETF (DMXF) has returned 0.39% so far this year and 17.59% over the past 12 months.
iShares ESG Advanced MSCI EAFE ETF
- 1D
- 3.51%
- 1M
- -8.10%
- YTD
- 0.39%
- 6M
- 2.94%
- 1Y
- 17.59%
- 3Y*
- 11.83%
- 5Y*
- 5.70%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jun 18, 2020, DMXF's average daily return is +0.04%, while the average monthly return is +0.86%. At this rate, your investment would double in approximately 6.7 years.
Historically, 60% of months were positive and 40% were negative. The best month was Nov 2022 with a return of +13.6%, while the worst month was Sep 2022 at -9.9%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 4 months.
On a daily basis, DMXF closed higher 52% of trading days. The best single day was Apr 9, 2025 with a return of +8.8%, while the worst single day was Apr 4, 2025 at -6.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.81% | 5.23% | -8.10% | 0.39% | |||||||||
| 2025 | 4.26% | 1.37% | -1.39% | 4.02% | 4.58% | 3.20% | -3.57% | 3.22% | 2.23% | 1.41% | -0.40% | 1.53% | 22.07% |
| 2024 | 0.14% | 4.30% | 2.11% | -3.92% | 5.21% | -0.66% | 2.44% | 3.04% | 1.22% | -6.00% | 0.12% | -3.43% | 3.99% |
| 2023 | 9.42% | -3.18% | 3.65% | 2.43% | -2.39% | 3.72% | 2.41% | -4.14% | -4.53% | -3.05% | 10.06% | 5.83% | 20.52% |
| 2022 | -6.12% | -4.62% | -0.94% | -7.74% | 2.75% | -8.25% | 5.73% | -6.24% | -9.90% | 4.55% | 13.59% | -1.34% | -19.25% |
| 2021 | -0.82% | 1.79% | 1.72% | 2.75% | 3.46% | -0.98% | 1.27% | 2.70% | -3.76% | 3.14% | -3.93% | 3.46% | 10.90% |
Benchmark Metrics
iShares ESG Advanced MSCI EAFE ETF has an annualized alpha of -0.78%, beta of 0.80, and R² of 0.62 versus S&P 500 Index. Calculated based on daily prices since June 19, 2020.
- This ETF participated in 93.26% of S&P 500 Index downside but only 79.26% of its upside — more exposed to losses than it benefited from rallies.
- Alpha
- -0.78%
- Beta
- 0.80
- R²
- 0.62
- Upside Capture
- 79.26%
- Downside Capture
- 93.26%
Expense Ratio
DMXF has an expense ratio of 0.12%, which is considered low.
Return for Risk
Risk / Return Rank
DMXF ranks 52 for risk / return — on par with similar ETFs. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and compare them to a chosen benchmark (S&P 500 Index).
| DMXF | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.94 | 0.90 | +0.04 |
Sortino ratioReturn per unit of downside risk | 1.44 | 1.39 | +0.05 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.21 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.44 | 1.40 | +0.04 |
Martin ratioReturn relative to average drawdown | 5.43 | 6.61 | -1.18 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore DMXF risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
iShares ESG Advanced MSCI EAFE ETF provided a 4.83% dividend yield over the last twelve months, with an annual payout of $3.64 per share. The fund has been increasing its distributions for 3 consecutive years.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
| Dividend | $3.64 | $3.64 | $1.89 | $1.46 | $1.29 | $1.31 | $0.20 |
Dividend yield | 4.83% | 4.85% | 2.92% | 2.29% | 2.37% | 1.91% | 0.31% |
Monthly Dividends
The table displays the monthly dividend distributions for iShares ESG Advanced MSCI EAFE ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.14 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.50 | $3.64 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.88 | $1.89 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.88 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.58 | $1.46 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.97 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.31 | $1.29 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.63 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.69 | $1.31 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the iShares ESG Advanced MSCI EAFE ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the iShares ESG Advanced MSCI EAFE ETF was 34.52%, occurring on Oct 12, 2022. Recovery took 351 trading sessions.
The current iShares ESG Advanced MSCI EAFE ETF drawdown is 8.42%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.52% | Sep 8, 2021 | 277 | Oct 12, 2022 | 351 | Mar 7, 2024 | 628 |
| -16.54% | Sep 27, 2024 | 132 | Apr 8, 2025 | 24 | May 13, 2025 | 156 |
| -11.84% | Feb 26, 2026 | 22 | Mar 27, 2026 | — | — | — |
| -7.98% | Jul 15, 2024 | 16 | Aug 5, 2024 | 14 | Aug 23, 2024 | 30 |
| -6.89% | Mar 8, 2024 | 30 | Apr 19, 2024 | 18 | May 15, 2024 | 48 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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