DMXF vs. IDHQ
DMXF (iShares ESG Advanced MSCI EAFE ETF) and IDHQ (Invesco S&P International Developed High Quality ETF) are both Foreign Large Cap Equities funds - DMXF tracks the MSCI EAFE Choice ESG Screened Index while IDHQ tracks the IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. Both are passively managed. Over the past 5 years, DMXF returned 7.03%/yr vs 9.11%/yr for IDHQ. Their correlation of 0.89 suggests significant overlap in exposure. DMXF charges 0.12%/yr vs 0.29%/yr for IDHQ.
Performance
DMXF vs. IDHQ - Performance Comparison
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Returns By Period
In the year-to-date period, DMXF achieves a 12.36% return, which is significantly lower than IDHQ's 23.96% return.
DMXF
- 1D
- -1.30%
- 1M
- 0.11%
- 6M
- 8.05%
- YTD
- 12.36%
- 1Y
- 18.23%
- 3Y*
- 14.13%
- 5Y*
- 7.03%
- 10Y*
- —
IDHQ
- 1D
- -1.06%
- 1M
- 3.48%
- 6M
- 17.70%
- YTD
- 23.96%
- 1Y
- 34.45%
- 3Y*
- 18.63%
- 5Y*
- 9.11%
- 10Y*
- 10.54%
DMXF vs. IDHQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
DMXF iShares ESG Advanced MSCI EAFE ETF | 12.36% | 22.07% | 3.99% | 20.52% | -19.25% | 10.90% | 22.80% |
IDHQ Invesco S&P International Developed High Quality ETF | 23.96% | 27.46% | 1.33% | 18.80% | -20.23% | 11.38% | 19.04% |
Correlation
The correlation between DMXF and IDHQ is 0.93, 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 | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.89 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Jun 18, 2020 | 0.89 |
The correlation between DMXF and IDHQ has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.
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Return for Risk
DMXF vs. IDHQ — Risk / Return Rank
DMXF
IDHQ
DMXF vs. IDHQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and Invesco S&P International Developed High Quality ETF (IDHQ). 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 | IDHQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.59 | ||
| Sortino ratioReturn per unit of downside risk | -0.82 | ||
| Omega ratioGain probability vs. loss probability | 1.19 | 1.31 | -0.11 |
| Calmar ratioReturn relative to maximum drawdown | 1.55 | 2.58 | -1.03 |
| Martin ratioReturn relative to average drawdown | 5.75 | 10.14 | -4.39 |
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Drawdowns
DMXF vs. IDHQ - Drawdown Comparison
The maximum DMXF drawdown since its inception was -34.52%, smaller than the maximum IDHQ drawdown of -73.84%. Use the drawdown chart below to compare losses from any high point for DMXF and IDHQ.
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Drawdown Indicators
| DMXF | IDHQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.52% | -73.84% | +39.32% |
Max Drawdown (1Y)Largest decline over 1 year | -11.84% | -13.44% | +1.60% |
Max Drawdown (3Y)Largest decline over 3 years | -16.54% | -14.07% | -2.47% |
Max Drawdown (5Y)Largest decline over 5 years | -34.52% | -33.54% | -0.98% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.54% | — |
Current DrawdownCurrent decline from peak | -2.19% | -2.57% | +0.38% |
Average DrawdownAverage peak-to-trough decline | -7.56% | -21.09% | +13.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.18% | 3.41% | -0.23% |
Volatility
DMXF vs. IDHQ - Volatility Comparison
The current volatility for iShares ESG Advanced MSCI EAFE ETF (DMXF) is 5.74%, while Invesco S&P International Developed High Quality ETF (IDHQ) has a volatility of 7.92%. This indicates that DMXF experiences smaller price fluctuations and is considered to be less risky than IDHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DMXF | IDHQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.74% | 7.92% | -2.18% |
Volatility (6M)Calculated over the trailing 6-month period | 14.64% | 18.93% | -4.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.08% | 20.78% | -3.70% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.84% | 17.85% | -0.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.32% | 17.97% | -0.65% |
DMXF vs. IDHQ - Expense Ratio Comparison
DMXF has a 0.12% expense ratio, which is lower than IDHQ's 0.29% expense ratio.
Dividends
DMXF vs. IDHQ - Dividend Comparison
DMXF's dividend yield for the trailing twelve months is around 4.24%, more than IDHQ's 2.04% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DMXF iShares ESG Advanced MSCI EAFE ETF | 4.24% | 4.85% | 2.92% | 2.29% | 2.37% | 1.91% | 0.31% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IDHQ Invesco S&P International Developed High Quality ETF | 2.04% | 2.46% | 2.41% | 2.52% | 3.33% | 2.10% | 1.60% | 2.10% | 2.67% | 1.68% | 2.36% | 1.71% |
Frequently Asked Questions
With a correlation of 0.93, DMXF and IDHQ 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.
IDHQ has higher volatility (7.92%) compared to DMXF (5.74%). In terms of maximum drawdown, DMXF dropped -34.52% vs IDHQ's -73.84%.
On 5-year performance, IDHQ leads with 9.11% vs 7.03% for DMXF. On fees, DMXF is cheaper at 0.12% per year. On volatility, DMXF has been the lower-risk option at 5.74%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, IDHQ has performed better with a 9.11% return vs 7.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DMXF is cheaper with a 0.12% expense ratio, compared with 0.29% for IDHQ.
DMXF has the higher dividend yield at 4.24%, compared with 2.04% for IDHQ.
DMXF tracks MSCI EAFE Choice ESG Screened Index, while IDHQ tracks IDHQ-US - S&P Quality Developed Ex-U.S. LargeMidCap Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.12% for DMXF and 0.29% for IDHQ.
IDHQ currently has the higher Sharpe Ratio (1.67 vs 1.07), 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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