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DMXF vs. USXF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DMXF and USXF is 0.74, 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.


-0.50.00.51.00.7

Performance

DMXF vs. USXF - Performance Comparison

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

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-2.50%
9.44%
DMXF
USXF

Key characteristics

Sharpe Ratio

DMXF:

0.36

USXF:

1.76

Sortino Ratio

DMXF:

0.59

USXF:

2.42

Omega Ratio

DMXF:

1.07

USXF:

1.32

Calmar Ratio

DMXF:

0.48

USXF:

2.88

Martin Ratio

DMXF:

1.27

USXF:

10.73

Ulcer Index

DMXF:

3.89%

USXF:

2.74%

Daily Std Dev

DMXF:

13.96%

USXF:

16.75%

Max Drawdown

DMXF:

-34.52%

USXF:

-29.54%

Current Drawdown

DMXF:

-9.86%

USXF:

-3.73%

Returns By Period

In the year-to-date period, DMXF achieves a 4.25% return, which is significantly lower than USXF's 28.19% return.


DMXF

YTD

4.25%

1M

-1.09%

6M

-2.50%

1Y

4.79%

5Y*

N/A

10Y*

N/A

USXF

YTD

28.19%

1M

-2.32%

6M

9.44%

1Y

29.13%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


DMXF vs. USXF - Expense Ratio Comparison

DMXF has a 0.12% expense ratio, which is higher than USXF's 0.10% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


DMXF
iShares ESG Advanced MSCI EAFE ETF
Expense ratio chart for DMXF: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for USXF: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

DMXF vs. USXF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and iShares ESG Advanced MSCI USA ETF (USXF). 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.


Sharpe ratio
The chart of Sharpe ratio for DMXF, currently valued at 0.36, compared to the broader market0.002.004.000.361.76
The chart of Sortino ratio for DMXF, currently valued at 0.59, compared to the broader market-2.000.002.004.006.008.0010.000.592.42
The chart of Omega ratio for DMXF, currently valued at 1.07, compared to the broader market0.501.001.502.002.503.001.071.32
The chart of Calmar ratio for DMXF, currently valued at 0.48, compared to the broader market0.005.0010.0015.000.482.88
The chart of Martin ratio for DMXF, currently valued at 1.27, compared to the broader market0.0020.0040.0060.0080.00100.001.2710.73
DMXF
USXF

The current DMXF Sharpe Ratio is 0.36, which is lower than the USXF Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of DMXF and USXF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.36
1.76
DMXF
USXF

Dividends

DMXF vs. USXF - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 2.91%, more than USXF's 0.99% yield.


TTM2023202220212020
DMXF
iShares ESG Advanced MSCI EAFE ETF
2.91%2.29%2.37%1.91%0.31%
USXF
iShares ESG Advanced MSCI USA ETF
0.99%1.21%1.39%0.85%0.58%

Drawdowns

DMXF vs. USXF - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, which is greater than USXF's maximum drawdown of -29.54%. Use the drawdown chart below to compare losses from any high point for DMXF and USXF. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.86%
-3.73%
DMXF
USXF

Volatility

DMXF vs. USXF - Volatility Comparison

The current volatility for iShares ESG Advanced MSCI EAFE ETF (DMXF) is 3.86%, while iShares ESG Advanced MSCI USA ETF (USXF) has a volatility of 4.81%. This indicates that DMXF experiences smaller price fluctuations and is considered to be less risky than USXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
3.86%
4.81%
DMXF
USXF
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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