DMXF vs. DFSI

Last updated Jun 4, 2026

DMXF (iShares ESG Advanced MSCI EAFE ETF) and DFSI (Dimensional International Sustainability Core 1 ETF) are both Foreign Large Cap Equities funds. DMXF is passively managed, while DFSI is actively managed. Over the past 3 years, DMXF returned 14.81%/yr vs 16.80%/yr for DFSI. Their correlation of 0.94 suggests significant overlap in exposure. DMXF charges 0.12%/yr vs 0.24%/yr for DFSI.

Performance

DMXF vs. DFSI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI EAFE ETF (DMXF) and Dimensional International Sustainability Core 1 ETF (DFSI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DMXF achieves a 11.52% return, which is significantly higher than DFSI's 5.54% return.

DMXF

• 1D: -0.56%
• 1M: 5.69%
• YTD: 11.52%
• 6M: 13.01%
• 1Y: 19.38%
• 3Y*: 14.81%
• 5Y*: 6.83%
• 10Y*: —

DFSI

• 1D: -0.92%
• 1M: 2.26%
• YTD: 5.54%
• 6M: 8.46%
• 1Y: 19.10%
• 3Y*: 16.80%
• 5Y*: —
• 10Y*: —

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

DMXF vs. DFSI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
DMXF iShares ESG Advanced MSCI EAFE ETF	11.52%	22.07%	3.99%	20.52%	13.04%
DFSI Dimensional International Sustainability Core 1 ETF	5.54%	33.62%	4.98%	17.86%	11.99%

Correlation

The correlation between DMXF and DFSI is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (All Time) Calculated using the full available price history since Nov 3, 2022	0.94

The correlation between DMXF and DFSI has been stable across timeframes, ranging from 0.93 to 0.94 - a consistent structural relationship.

DMXF vs. DFSI - Sectors Allocation Comparison

Sectors	DMXF	DFSI
Financial Services	31.6%	27.7%
Technology	18.3%	3.0%
Industrials	16.3%	27.9%
Healthcare	10.6%	3.7%
Communication Services	7.0%	1.8%
Basic Materials	4.8%	7.4%
Consumer Cyclical	4.6%	14.2%
Real Estate	3.9%	3.4%
Consumer Defensive	2.3%	8.1%
Utilities	0.6%	1.7%
Energy	-	1.3%

Return for Risk

DMXF vs. DFSI — Risk / Return Rank

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

DMXF

DMXF Risk / Return Rank: 34
DMXF Sharpe Ratio Rank: 33
DMXF Sortino Ratio Rank: 33
DMXF Omega Ratio Rank: 32
DMXF Calmar Ratio Rank: 33
DMXF Martin Ratio Rank: 39

DFSI

DFSI Risk / Return Rank: 35
DFSI Sharpe Ratio Rank: 36
DFSI Sortino Ratio Rank: 35
DFSI Omega Ratio Rank: 36
DFSI Calmar Ratio Rank: 32
DFSI Martin Ratio Rank: 38

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.

DMXF vs. DFSI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and Dimensional International Sustainability Core 1 ETF (DFSI). 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.

	DMXF	DFSI	Difference
Sharpe ratio Return per unit of total volatility	1.21	1.28	-0.07
Sortino ratio Return per unit of downside risk	1.80	1.88	-0.08
Omega ratio Gain probability vs. loss probability	1.22	1.24	-0.02
Calmar ratio Return relative to maximum drawdown	1.64	1.57	+0.08
Martin ratio Return relative to average drawdown	6.16	5.94	+0.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DMXF vs. DFSI - Sharpe Ratio Comparison

The current DMXF Sharpe Ratio is 1.21, which is comparable to the DFSI Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of DMXF and DFSI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	DMXF	DFSI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.21	1.28	-0.07
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	1.36	-0.71

Drawdowns

DMXF vs. DFSI - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, which is greater than DFSI's maximum drawdown of -12.82%. Use the drawdown chart below to compare losses from any high point for DMXF and DFSI.

Drawdown Indicators

	DMXF	DFSI	Difference
Max Drawdown Largest peak-to-trough decline	-34.52%	-12.82%	-21.70%
Max Drawdown (1Y) Largest decline over 1 year	-11.84%	-12.26%	+0.42%
Max Drawdown (3Y) Largest decline over 3 years	-16.54%	-12.82%	-3.72%
Max Drawdown (5Y) Largest decline over 5 years	-34.52%	—	—
Current Drawdown Current decline from peak	-0.56%	-3.15%	+2.59%
Average Drawdown Average peak-to-trough decline	-7.67%	-2.62%	-5.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.15%	3.22%	-0.07%

Volatility

DMXF vs. DFSI - Volatility Comparison

iShares ESG Advanced MSCI EAFE ETF (DMXF) has a higher volatility of 5.13% compared to Dimensional International Sustainability Core 1 ETF (DFSI) at 4.63%. This indicates that DMXF's price experiences larger fluctuations and is considered to be riskier than DFSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DMXF	DFSI	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.13%	4.63%	+0.50%
Volatility (6M) Calculated over the trailing 6-month period	13.29%	12.67%	+0.62%
Volatility (1Y) Calculated over the trailing 1-year period	16.07%	14.97%	+1.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.68%	15.24%	+2.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.25%	15.24%	+2.01%

DMXF vs. DFSI - Expense Ratio Comparison

DMXF has a 0.12% expense ratio, which is lower than DFSI's 0.24% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

DMXF vs. DFSI - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 4.35%, more than DFSI's 2.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
DFSI Dimensional International Sustainability Core 1 ETF	2.14%	2.23%	2.39%	2.10%	0.18%	0.00%	0.00%
DMXF iShares ESG Advanced MSCI EAFE ETF	4.35%	4.85%	2.92%	2.29%	2.37%	1.91%	0.31%

Frequently Asked Questions

Can I hold both DMXF and DFSI in my portfolio?

With a correlation of 0.94, DMXF and DFSI move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, DMXF or DFSI?

DMXF has higher volatility (5.13%) compared to DFSI (4.63%). In terms of maximum drawdown, DMXF dropped -34.52% vs DFSI's -12.82%.

Which ETF is better, DMXF or DFSI?

On 3-year performance, DFSI leads with 16.80% vs 14.81% for DMXF. On fees, DMXF is cheaper at 0.12% per year. On volatility, DFSI has been the lower-risk option at 4.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DMXF or DFSI?

Over the 3-year period, DFSI has performed better with a 16.80% return vs 14.81%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DMXF or DFSI?

DMXF is cheaper with a 0.12% expense ratio, compared with 0.24% for DFSI.

Which ETF pays a higher dividend yield, DMXF or DFSI?

DMXF has the higher dividend yield at 4.35%, compared with 2.14% for DFSI.

What is the main difference between DMXF and DFSI?

They also come from different issuers: iShares and Dimensional. Their fees differ too: 0.12% for DMXF and 0.24% for DFSI.

Which has better risk-adjusted returns?

DFSI currently has the higher Sharpe Ratio (1.28 vs 1.21), 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.