DFESX vs. ESGE
DFESX (DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio) and ESGE (iShares ESG Aware MSCI EM ETF) are both Emerging Markets Equities funds. Over the past 10 years, DFESX returned 8.77%/yr vs 8.88%/yr for ESGE. Their correlation of 0.90 means they have usually moved in the same direction. DFESX charges 0.45%/yr vs 0.25%/yr for ESGE.
Performance
DFESX vs. ESGE - Performance Comparison
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Returns By Period
In the year-to-date period, DFESX achieves a 14.39% return, which is significantly lower than ESGE's 17.50% return. Both investments have delivered pretty close results over the past 10 years, with DFESX having a 8.77% annualized return and ESGE not far ahead at 8.88%.
DFESX
- 1D
- 3.26%
- 1M
- -5.56%
- 6M
- 6.19%
- YTD
- 14.39%
- 1Y
- 30.05%
- 3Y*
- 16.87%
- 5Y*
- 7.96%
- 10Y*
- 8.77%
- ALL TIME*
- 6.69%
ESGE
- 1D
- 0.92%
- 1M
- -1.79%
- 6M
- 9.17%
- YTD
- 17.50%
- 1Y
- 34.75%
- 3Y*
- 18.81%
- 5Y*
- 6.80%
- 10Y*
- 8.88%
- ALL TIME*
- 8.86%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $53.52M | $39.94M | $58.74M |
DFESX vs. ESGE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio | 14.39% | 29.95% | 7.16% | 14.58% | -18.49% | 4.16% | 12.99% | 17.12% | -14.87% | 37.30% |
ESGE iShares ESG Aware MSCI EM ETF | 17.50% | 35.86% | 6.63% | 9.51% | -22.41% | -2.87% | 18.60% | 20.37% | -15.24% | 38.86% |
Correlation
The correlation between DFESX and ESGE is 0.87, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.87 |
Correlation (3Y) Balances recent behavior with more history. | 0.91 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.92 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.90 |
Correlation (All Time) Calculated using the full available price history since Jul 20, 2016 | 0.90 |
The correlation between DFESX and ESGE has been stable across timeframes, ranging from 0.87 to 0.92 - a consistent structural relationship.
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Return for Risk
DFESX vs. ESGE — Risk / Return Rank
DFESX
ESGE
DFESX vs. ESGE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) and iShares ESG Aware MSCI EM ETF (ESGE). 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.
| DFESX | ESGE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.07 | ||
| Sortino ratioReturn per unit of downside risk | -0.12 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.27 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.85 | 2.44 | -0.59 |
| Martin ratioReturn relative to average drawdown | 6.43 | 7.40 | -0.97 |
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Drawdowns
DFESX vs. ESGE - Drawdown Comparison
The maximum DFESX drawdown since its inception was -41.43%, roughly equal to the maximum ESGE drawdown of -41.07%. Use the drawdown chart below to compare losses from any high point for DFESX and ESGE.
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Drawdown Indicators
| DFESX | ESGE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.43% | -41.07% | -0.36% |
Max Drawdown (1Y)Largest decline over 1 year | -15.03% | -13.90% | -1.13% |
Max Drawdown (3Y)Largest decline over 3 years | -16.53% | -16.71% | +0.18% |
Max Drawdown (5Y)Largest decline over 5 years | -30.66% | -37.07% | +6.41% |
Max Drawdown (10Y)Largest decline over 10 years | -41.43% | -41.07% | -0.36% |
Current DrawdownCurrent decline from peak | -12.26% | -9.30% | -2.96% |
Average DrawdownAverage peak-to-trough decline | -10.71% | -14.34% | +3.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.31% | 4.58% | -0.27% |
Volatility
DFESX vs. ESGE - Volatility Comparison
DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) and iShares ESG Aware MSCI EM ETF (ESGE) have volatilities of 9.14% and 9.09%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DFESX | ESGE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.14% | 9.09% | +0.05% |
Volatility (6M)Calculated over the trailing 6-month period | 19.81% | 22.33% | -2.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.21% | 24.45% | -3.24% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.22% | 19.98% | -3.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.54% | 20.35% | -3.81% |
DFESX vs. ESGE - Expense Ratio Comparison
DFESX has a 0.45% expense ratio, which is higher than ESGE's 0.25% expense ratio.
Dividends
DFESX vs. ESGE - Dividend Comparison
DFESX's dividend yield for the trailing twelve months is around 2.43%, more than ESGE's 2.20% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio | 2.43% | 2.59% | 3.15% | 3.23% | 3.17% | 2.37% | 1.64% | 2.33% | 2.37% | 2.04% | 2.05% | 2.17% |
ESGE iShares ESG Aware MSCI EM ETF | 2.20% | 2.50% | 2.41% | 2.64% | 2.68% | 2.66% | 1.31% | 2.59% | 2.19% | 1.86% | 0.27% | 0.00% |
Frequently Asked Questions
DFESX and ESGE have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DFESX has higher volatility (9.14%) compared to ESGE (9.09%). In terms of maximum drawdown, DFESX dropped -41.43% vs ESGE's -41.07%.
ESGE currently has the higher Sharpe Ratio (1.39 vs 1.31), 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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