DMXF vs. VEU

Last updated Jun 4, 2026

DMXF (iShares ESG Advanced MSCI EAFE ETF) and VEU (Vanguard FTSE All-World ex-US ETF) are both Foreign Large Cap Equities funds - DMXF tracks the MSCI EAFE Choice ESG Screened Index while VEU tracks the FTSE All-World ex US Index. Both are passively managed. Over the past 5 years, DMXF returned 6.83%/yr vs 8.67%/yr for VEU. Their correlation of 0.91 suggests significant overlap in exposure. DMXF charges 0.12%/yr vs 0.04%/yr for VEU.

Performance

DMXF vs. VEU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI EAFE ETF (DMXF) and Vanguard FTSE All-World ex-US ETF (VEU). 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 lower than VEU's 14.60% return.

DMXF

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

VEU

• 1D: -0.98%
• 1M: 5.07%
• YTD: 14.60%
• 6M: 17.34%
• 1Y: 32.37%
• 3Y*: 19.62%
• 5Y*: 8.67%
• 10Y*: 9.94%

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

DMXF vs. VEU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
DMXF iShares ESG Advanced MSCI EAFE ETF	11.52%	22.07%	3.99%	20.52%	-19.25%	10.90%	23.13%
VEU Vanguard FTSE All-World ex-US ETF	14.60%	32.35%	5.56%	15.84%	-15.58%	8.27%	23.82%

Correlation

The correlation between DMXF and VEU is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.96
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (All Time) Calculated using the full available price history since Jun 19, 2020	0.91

The correlation between DMXF and VEU has been stable across timeframes, ranging from 0.91 to 0.96 - a consistent structural relationship.

DMXF vs. VEU - Sectors Allocation Comparison

Sectors	DMXF	VEU
Financial Services	31.6%	23.3%
Technology	18.3%	18.5%
Industrials	16.3%	15.7%
Healthcare	10.6%	7.1%
Communication Services	7.0%	4.6%
Basic Materials	4.8%	7.1%
Consumer Cyclical	4.6%	8.2%
Real Estate	3.9%	2.0%
Consumer Defensive	2.3%	5.1%
Utilities	0.6%	3.2%
Energy	-	5.2%

Return for Risk

DMXF vs. VEU — 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

VEU

VEU Risk / Return Rank: 60
VEU Sharpe Ratio Rank: 62
VEU Sortino Ratio Rank: 61
VEU Omega Ratio Rank: 62
VEU Calmar Ratio Rank: 56
VEU Martin Ratio Rank: 61

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. VEU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI EAFE ETF (DMXF) and Vanguard FTSE All-World ex-US ETF (VEU). 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	VEU	Difference
Sharpe ratio Return per unit of total volatility	1.21	2.13	-0.91
Sortino ratio Return per unit of downside risk	1.80	2.94	-1.14
Omega ratio Gain probability vs. loss probability	1.22	1.39	-0.17
Calmar ratio Return relative to maximum drawdown	1.64	2.85	-1.20
Martin ratio Return relative to average drawdown	6.16	11.06	-4.90
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. VEU - Sharpe Ratio Comparison

The current DMXF Sharpe Ratio is 1.21, which is lower than the VEU Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of DMXF and VEU, 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	VEU	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.21	2.13	-0.91
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.39	0.54	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.58	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.25	+0.40

Drawdowns

DMXF vs. VEU - Drawdown Comparison

The maximum DMXF drawdown since its inception was -34.52%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for DMXF and VEU.

Drawdown Indicators

	DMXF	VEU	Difference
Max Drawdown Largest peak-to-trough decline	-34.52%	-61.52%	+27.00%
Max Drawdown (1Y) Largest decline over 1 year	-11.84%	-11.43%	-0.41%
Max Drawdown (3Y) Largest decline over 3 years	-16.54%	-13.69%	-2.85%
Max Drawdown (5Y) Largest decline over 5 years	-34.52%	-29.31%	-5.21%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.98%	—
Current Drawdown Current decline from peak	-0.56%	-0.98%	+0.42%
Average Drawdown Average peak-to-trough decline	-7.67%	-13.13%	+5.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.15%	2.93%	+0.22%

Volatility

DMXF vs. VEU - Volatility Comparison

The current volatility for iShares ESG Advanced MSCI EAFE ETF (DMXF) is 5.13%, while Vanguard FTSE All-World ex-US ETF (VEU) has a volatility of 5.59%. This indicates that DMXF experiences smaller price fluctuations and is considered to be less risky than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DMXF	VEU	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.13%	5.59%	-0.46%
Volatility (6M) Calculated over the trailing 6-month period	13.29%	13.04%	+0.25%
Volatility (1Y) Calculated over the trailing 1-year period	16.07%	15.29%	+0.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.68%	16.07%	+1.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.25%	17.21%	+0.04%

DMXF vs. VEU - Expense Ratio Comparison

DMXF has a 0.12% expense ratio, which is higher than VEU's 0.04% 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%.

Dividends

DMXF vs. VEU - Dividend Comparison

DMXF's dividend yield for the trailing twelve months is around 4.35%, more than VEU's 2.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
DMXF iShares ESG Advanced MSCI EAFE ETF	4.35%	4.85%	2.92%	2.29%	2.37%	1.91%	0.31%	0.00%	0.00%	0.00%	0.00%	0.00%
VEU Vanguard FTSE All-World ex-US ETF	2.61%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%

Frequently Asked Questions

Can I hold both DMXF and VEU in my portfolio?

With a correlation of 0.96, DMXF and VEU 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 VEU?

VEU has higher volatility (5.59%) compared to DMXF (5.13%). In terms of maximum drawdown, DMXF dropped -34.52% vs VEU's -61.52%.

Which ETF is better, DMXF or VEU?

On 5-year performance, VEU leads with 8.67% vs 6.83% for DMXF. On fees, VEU is cheaper at 0.04% per year. On volatility, DMXF has been the lower-risk option at 5.13%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, DMXF or VEU?

Over the 5-year period, VEU has performed better with a 8.67% return vs 6.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DMXF or VEU?

VEU is cheaper with a 0.04% expense ratio, compared with 0.12% for DMXF.

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

DMXF has the higher dividend yield at 4.35%, compared with 2.61% for VEU.

What is the main difference between DMXF and VEU?

DMXF tracks MSCI EAFE Choice ESG Screened Index, while VEU tracks FTSE All-World ex US Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.12% for DMXF and 0.04% for VEU.

Which has better risk-adjusted returns?

VEU currently has the higher Sharpe Ratio (2.13 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.