DMXF vs. FNIDX
DMXF (iShares ESG Advanced MSCI EAFE ETF) and FNIDX (Fidelity International Sustainability Index Fd) are both Foreign Large Cap Equities funds. Over the past 5 years, DMXF returned 7.21%/yr vs 6.97%/yr for FNIDX. Their correlation of 0.90 means they have usually moved in the same direction. DMXF charges 0.12%/yr vs 0.20%/yr for FNIDX.
Performance
DMXF vs. FNIDX - Performance Comparison
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Returns By Period
In the year-to-date period, DMXF achieves a 13.19% return, which is significantly higher than FNIDX's 9.37% return.
DMXF
- 1D
- -0.66%
- 1M
- -0.14%
- 6M
- 9.04%
- YTD
- 13.19%
- 1Y
- 22.77%
- 3Y*
- 14.62%
- 5Y*
- 7.21%
- 10Y*
- —
- ALL TIME*
- 11.10%
FNIDX
- 1D
- 2.64%
- 1M
- -0.12%
- 6M
- 4.18%
- YTD
- 9.37%
- 1Y
- 23.30%
- 3Y*
- 14.74%
- 5Y*
- 6.97%
- 10Y*
- —
- ALL TIME*
- 7.89%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $11.27M | $15.45M | $8.92M | |
| $0.00 | $0.00 | $0.00 |
DMXF vs. FNIDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DMXF iShares ESG Advanced MSCI EAFE ETF | 13.19% | 22.07% | 3.99% | 20.52% | -19.25% | 10.90% | 22.80% |
FNIDX Fidelity International Sustainability Index Fd | 9.37% | 29.80% | 5.67% | 14.65% | -18.89% | 7.65% | 22.72% |
Correlation
The correlation between DMXF and FNIDX is 0.94, 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. | 0.94 |
Correlation (3Y) Balances recent behavior with more history. | 0.91 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.92 |
Correlation (All Time) Calculated using the full available price history since Jun 18, 2020 | 0.90 |
The correlation between DMXF and FNIDX has been stable across timeframes, ranging from 0.90 to 0.94 - a consistent structural relationship.
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Return for Risk
DMXF vs. FNIDX — Risk / Return Rank
DMXF
FNIDX
DMXF vs. FNIDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and Fidelity International Sustainability Index Fd (FNIDX). 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.
| DMXF | FNIDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.01 | ||
| Sortino ratioReturn per unit of downside risk | +0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.24 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.91 | 1.93 | -0.02 |
| Martin ratioReturn relative to average drawdown | 7.17 | 7.01 | +0.16 |
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Drawdowns
DMXF vs. FNIDX - Drawdown Comparison
The maximum DMXF drawdown since its inception was -34.52%, roughly equal to the maximum FNIDX drawdown of -33.17%. Use the drawdown chart below to compare losses from any high point for DMXF and FNIDX.
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Drawdown Indicators
| DMXF | FNIDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.52% | -33.17% | -1.35% |
Max Drawdown (1Y)Largest decline over 1 year | -11.84% | -11.36% | -0.48% |
Max Drawdown (3Y)Largest decline over 3 years | -16.54% | -14.92% | -1.62% |
Max Drawdown (5Y)Largest decline over 5 years | -34.52% | -32.79% | -1.73% |
Current DrawdownCurrent decline from peak | -1.47% | -2.85% | +1.38% |
Average DrawdownAverage peak-to-trough decline | -7.51% | -8.15% | +0.64% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.14% | 3.12% | +0.02% |
Volatility
DMXF vs. FNIDX - Volatility Comparison
iShares ESG Advanced MSCI EAFE ETF (DMXF) has a higher volatility of 5.40% compared to Fidelity International Sustainability Index Fd (FNIDX) at 5.11%. This indicates that DMXF's price experiences larger fluctuations and is considered to be riskier than FNIDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DMXF | FNIDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.40% | 5.11% | +0.29% |
Volatility (6M)Calculated over the trailing 6-month period | 14.99% | 14.54% | +0.45% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.34% | 16.68% | +0.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.89% | 16.14% | +1.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.34% | 16.65% | +0.69% |
DMXF vs. FNIDX - Expense Ratio Comparison
DMXF has a 0.12% expense ratio, which is lower than FNIDX's 0.20% 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. FNIDX - Dividend Comparison
DMXF's dividend yield for the trailing twelve months is around 4.21%, more than FNIDX's 2.57% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
DMXF iShares ESG Advanced MSCI EAFE ETF | 4.21% | 4.85% | 2.92% | 2.29% | 2.37% | 1.91% | 0.31% | 0.00% | 0.00% | 0.00% |
FNIDX Fidelity International Sustainability Index Fd | 2.57% | 2.81% | 2.34% | 2.64% | 2.32% | 1.93% | 1.13% | 2.17% | 2.28% | 1.27% |
Frequently Asked Questions
With a correlation of 0.94, DMXF and FNIDX 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.
DMXF has higher volatility (5.40%) compared to FNIDX (5.11%). In terms of maximum drawdown, DMXF dropped -34.52% vs FNIDX's -33.17%.
FNIDX currently has the higher Sharpe Ratio (1.32 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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