DFESX vs. ESGE

Last updated Apr 1, 2026

Compare and contrast key facts about DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) and iShares ESG Aware MSCI EM ETF (ESGE).

DFESX is managed by T. Rowe Price. It was launched on Aug 30, 2006. ESGE is a passively managed fund by iShares that tracks the performance of the MSCI EM Extended ESG Focus Index. It was launched on Jun 28, 2016.

Performance

DFESX vs. ESGE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) and iShares ESG Aware MSCI EM ETF (ESGE). The values are adjusted to include any dividend payments, if applicable.

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	0.15%	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	2.94%	35.86%	6.63%	9.51%	-22.41%	-2.87%	18.60%	20.37%	-15.24%	38.86%

Returns By Period

In the year-to-date period, DFESX achieves a 0.15% return, which is significantly lower than ESGE's 2.94% return.

DFESX

• 1D: -1.08%
• 1M: -12.17%
• YTD: 0.15%
• 6M: 4.22%
• 1Y: 28.38%
• 3Y*: 14.71%
• 5Y*: 5.15%
• 10Y*: 8.27%

ESGE

• 1D: 3.81%
• 1M: -9.28%
• YTD: 2.94%
• 6M: 6.50%
• 1Y: 33.62%
• 3Y*: 15.97%
• 5Y*: 3.40%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

DFESX vs. ESGE - Expense Ratio Comparison

DFESX has a 0.45% expense ratio, which is higher than ESGE's 0.25% expense ratio.

DFESX

DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio

ESGE

iShares ESG Aware MSCI EM ETF

Return for Risk

DFESX vs. ESGE — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DFESX

DFESX Risk / Return Rank: 83
DFESX Sharpe Ratio Rank: 88
DFESX Sortino Ratio Rank: 86
DFESX Omega Ratio Rank: 84
DFESX Calmar Ratio Rank: 81
DFESX Martin Ratio Rank: 78

ESGE

ESGE Risk / Return Rank: 85
ESGE Sharpe Ratio Rank: 85
ESGE Sortino Ratio Rank: 86
ESGE Omega Ratio Rank: 85
ESGE Calmar Ratio Rank: 84
ESGE Martin Ratio Rank: 85

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	DFESX	ESGE	Difference
Sharpe ratio Return per unit of total volatility	1.77	1.65	+0.12
Sortino ratio Return per unit of downside risk	2.29	2.25	+0.04
Omega ratio Gain probability vs. loss probability	1.34	1.33	+0.01
Calmar ratio Return relative to maximum drawdown	1.95	2.41	-0.45
Martin ratio Return relative to average drawdown	7.55	9.51	-1.95
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DFESX vs. ESGE - Sharpe Ratio Comparison

The current DFESX Sharpe Ratio is 1.77, which is comparable to the ESGE Sharpe Ratio of 1.65. The chart below compares the historical Sharpe Ratios of DFESX and ESGE, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	DFESX	ESGE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.77	1.65	+0.12
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.36	0.18	+0.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.39	-0.01

Correlation

The correlation between DFESX and ESGE is 0.90, 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.

Dividends

DFESX vs. ESGE - Dividend Comparison

DFESX's dividend yield for the trailing twelve months is around 2.74%, more than ESGE's 2.43% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DFESX DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio	2.74%	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	2.43%	2.50%	2.41%	2.64%	2.68%	2.66%	1.31%	2.59%	2.19%	1.86%	0.27%	0.00%

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.

Drawdown Indicators

	DFESX	ESGE	Difference
Max Drawdown Largest peak-to-trough decline	-41.43%	-41.07%	-0.36%
Max Drawdown (1Y) Largest decline over 1 year	-12.79%	-13.90%	+1.11%
Max Drawdown (5Y) Largest decline over 5 years	-32.64%	-39.26%	+6.62%
Max Drawdown (10Y) Largest decline over 10 years	-41.43%	—	—
Current Drawdown Current decline from peak	-12.79%	-10.62%	-2.17%
Average Drawdown Average peak-to-trough decline	-10.87%	-14.68%	+3.81%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.31%	3.52%	-0.21%

Volatility

DFESX vs. ESGE - Volatility Comparison

The current volatility for DFA Investment Dimensions Group Inc - Emerging Markets Social Core Equity Portfolio (DFESX) is 7.89%, while iShares ESG Aware MSCI EM ETF (ESGE) has a volatility of 10.74%. This indicates that DFESX experiences smaller price fluctuations and is considered to be less risky than ESGE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DFESX	ESGE	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.89%	10.74%	-2.85%
Volatility (6M) Calculated over the trailing 6-month period	11.42%	15.22%	-3.80%
Volatility (1Y) Calculated over the trailing 1-year period	15.74%	20.43%	-4.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.58%	18.63%	-4.05%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.86%	19.77%	-3.91%