DFAC vs. ESGU
Compare and contrast key facts about Dimensional U.S. Core Equity 2 ETF (DFAC) and iShares ESG MSCI USA ETF (ESGU).
DFAC and ESGU are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DFAC is an actively managed fund by Dimensional Fund Advisors LP. It was launched on Jun 14, 2021. ESGU is a passively managed fund by iShares that tracks the performance of the MSCI USA ESG Focus Index. It was launched on Dec 1, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DFAC or ESGU.
Key characteristics
| DFAC | ESGU | |
|---|---|---|
| YTD Return | 24.10% | 26.59% |
| 1Y Return | 39.70% | 39.99% |
| 3Y Return (Ann) | 8.95% | 8.66% |
| Sharpe Ratio | 2.96 | 3.09 |
| Sortino Ratio | 4.03 | 4.12 |
| Omega Ratio | 1.55 | 1.57 |
| Calmar Ratio | 4.49 | 3.98 |
| Martin Ratio | 19.23 | 20.50 |
| Ulcer Index | 2.00% | 1.90% |
| Daily Std Dev | 13.03% | 12.60% |
| Max Drawdown | -23.12% | -33.87% |
| Current Drawdown | 0.00% | 0.00% |
Correlation
The correlation between DFAC and ESGU is 0.96, 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
DFAC vs. ESGU - Performance Comparison
In the year-to-date period, DFAC achieves a 24.10% return, which is significantly lower than ESGU's 26.59% 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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DFAC vs. ESGU - Expense Ratio Comparison
DFAC has a 0.19% expense ratio, which is higher than ESGU's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
DFAC vs. ESGU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dimensional U.S. Core Equity 2 ETF (DFAC) and iShares ESG MSCI USA ETF (ESGU). 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
DFAC vs. ESGU - Dividend Comparison
DFAC's dividend yield for the trailing twelve months is around 1.00%, less than ESGU's 1.10% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
DFAC Dimensional U.S. Core Equity 2 ETF | 1.00% | 1.20% | 1.50% | 0.88% | 0.00% | 0.00% | 0.00% | 0.00% |
ESGU iShares ESG MSCI USA ETF | 1.10% | 1.43% | 1.58% | 1.06% | 1.27% | 1.32% | 1.81% | 1.82% |
Drawdowns
DFAC vs. ESGU - Drawdown Comparison
The maximum DFAC drawdown since its inception was -23.12%, smaller than the maximum ESGU drawdown of -33.87%. Use the drawdown chart below to compare losses from any high point for DFAC and ESGU. For additional features, visit the drawdowns tool.
Volatility
DFAC vs. ESGU - Volatility Comparison
Dimensional U.S. Core Equity 2 ETF (DFAC) has a higher volatility of 4.50% compared to iShares ESG MSCI USA ETF (ESGU) at 4.03%. This indicates that DFAC's price experiences larger fluctuations and is considered to be riskier than ESGU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.