DMXF vs. MCSE

Last updated Aug 2, 2026

DMXF (iShares ESG Advanced MSCI EAFE ETF) and MCSE (Franklin Sustainable International Equity ETF) are both Foreign Large Cap Equities funds. DMXF is passively managed, while MCSE is actively managed. Over the past 3 years, DMXF returned 14.62%/yr vs -0.12%/yr for MCSE. Their 0.76 correlation means they have sometimes moved together and sometimes differently. DMXF charges 0.12%/yr vs 0.59%/yr for MCSE.

Performance

DMXF vs. MCSE - Performance Comparison

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

Returns By Period

In the year-to-date period, DMXF achieves a 13.19% return, which is significantly higher than MCSE's 1.12% 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%

MCSE

• 1D: 0.00%
• 1M: 0.00%
• 6M: 0.00%
• YTD: 1.12%
• 1Y: 4.30%
• 3Y*: -0.12%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.07%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
DMXF iShares ESG Advanced MSCI EAFE ETF	$11.27M	$15.45M	$8.92M
MCSE Franklin Sustainable International Equity ETF	$0.00	$0.00	$0.00

DMXF vs. MCSE - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
DMXF iShares ESG Advanced MSCI EAFE ETF	13.19%	22.07%	3.99%	20.52%	10.97%
MCSE Franklin Sustainable International Equity ETF	1.12%	7.79%	-9.46%	14.86%	10.04%

Correlation

The correlation between DMXF and MCSE is 0.47, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.47
Correlation (3Y) Balances recent behavior with more history.	0.73
Correlation (All Time) Calculated using the full available price history since Oct 31, 2022	0.76

Over the past year, the correlation between DMXF and MCSE has dropped to 0.47 - well below their long-term average of 0.76, suggesting their price drivers have been diverging.

DMXF vs. MCSE - Sectors Allocation Comparison

Sectors	DMXF	MCSE
Financial Services	34.2%	2.1%
Technology	20.3%	31.1%
Industrials	15.3%	18.1%
Healthcare	10.0%	20.1%
Communication Services	5.0%	4.7%
Basic Materials	4.9%	5.1%
Consumer Cyclical	4.1%	13.8%
Real Estate	3.0%	-
Consumer Defensive	2.1%	5.0%
Utilities	0.7%	-
Energy	-	-

Return for Risk

DMXF vs. MCSE — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

DMXF

DMXF Risk / Return Rank: 55
DMXF Sharpe Ratio Rank: 54
DMXF Sortino Ratio Rank: 54
DMXF Omega Ratio Rank: 52
DMXF Calmar Ratio Rank: 53
DMXF Martin Ratio Rank: 60

MCSE

MCSE Risk / Return Rank: 19
MCSE Sharpe Ratio Rank: 20
MCSE Sortino Ratio Rank: 18
MCSE Omega Ratio Rank: 22
MCSE Calmar Ratio Rank: 17
MCSE Martin Ratio Rank: 17

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

DMXF vs. MCSE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and Franklin Sustainable International Equity ETF (MCSE). 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	MCSE	Difference
Sharpe ratio: Return per unit of total volatility	1.31	0.37	+0.93
Sortino ratio: Return per unit of downside risk	1.90	0.58	+1.33
Omega ratio: Gain probability vs. loss probability	1.23	1.10	+0.13
Calmar ratio: Return relative to maximum drawdown	1.91	0.37	+1.54
Martin ratio: Return relative to average drawdown	7.17	0.92	+6.25

DMXF vs. MCSE - Sharpe Ratio Comparison

The current DMXF Sharpe Ratio is 1.31, which is higher than the MCSE Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of DMXF and MCSE, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

DMXF vs. MCSE - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, which is greater than MCSE's maximum drawdown of -26.36%. Use the drawdown chart below to compare losses from any high point for DMXF and MCSE.

Drawdown Indicators

	DMXF	MCSE	Difference
Max Drawdown Largest peak-to-trough decline	-34.52%	-26.36%	-8.16%
Max Drawdown (1Y) Largest decline over 1 year	-11.84%	-10.42%	-1.42%
Max Drawdown (3Y) Largest decline over 3 years	-16.54%	-26.36%	+9.82%
Max Drawdown (5Y) Largest decline over 5 years	-34.52%	—	—
Current Drawdown Current decline from peak	-1.47%	-10.51%	+9.04%
Average Drawdown Average peak-to-trough decline	-7.51%	-8.79%	+1.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.14%	4.36%	-1.22%

Volatility

DMXF vs. MCSE - Volatility Comparison

iShares ESG Advanced MSCI EAFE ETF (DMXF) has a higher volatility of 5.40% compared to Franklin Sustainable International Equity ETF (MCSE) at 0.00%. This indicates that DMXF's price experiences larger fluctuations and is considered to be riskier than MCSE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DMXF	MCSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.40%	0.00%	+5.40%
Volatility (6M) Calculated over the trailing 6-month period	14.99%	1.91%	+13.08%
Volatility (1Y) Calculated over the trailing 1-year period	17.34%	10.71%	+6.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.89%	19.08%	-1.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.34%	19.08%	-1.74%

DMXF vs. MCSE - Expense Ratio Comparison

DMXF has a 0.12% expense ratio, which is lower than MCSE's 0.59% expense ratio.

Dividends

DMXF vs. MCSE - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 4.21%, more than MCSE's 3.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020
DMXF iShares ESG Advanced MSCI EAFE ETF	4.21%	4.85%	2.92%	2.29%	2.37%	1.91%	0.31%
MCSE Franklin Sustainable International Equity ETF	3.74%	3.78%	0.63%	0.57%	0.48%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DMXF and MCSE in my portfolio?

DMXF and MCSE have a correlation of 0.47, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DMXF or MCSE?

DMXF has higher volatility (5.40%) compared to MCSE (0.00%). In terms of maximum drawdown, DMXF dropped -34.52% vs MCSE's -26.36%.

Which ETF is better, DMXF or MCSE?

On 3-year performance, DMXF leads with 14.62% vs -0.12% for MCSE. On fees, DMXF is cheaper at 0.12% per year. On volatility, MCSE has been the lower-risk option at 0.00%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DMXF or MCSE?

Over the 3-year period, DMXF has performed better with a 14.62% return vs -0.12%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DMXF or MCSE?

DMXF is cheaper with a 0.12% expense ratio, compared with 0.59% for MCSE.

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

DMXF has the higher dividend yield at 4.21%, compared with 3.74% for MCSE.

What is the main difference between DMXF and MCSE?

They also come from different issuers: iShares and Franklin. Their fees differ too: 0.12% for DMXF and 0.59% for MCSE.

Which has better risk-adjusted returns?

DMXF currently has the higher Sharpe Ratio (1.31 vs 0.37), 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.