DSEFX vs. ITOT
DSEFX (Domini Impact Equity Fund) and ITOT (iShares Core S&P Total U.S. Stock Market ETF) are both funds - DSEFX is a Large Cap Growth Equities fund managed by Domini, while ITOT is a Large Cap Blend Equities fund tracking the S&P Total Market Index. Over the past 10 years, DSEFX returned 13.19%/yr vs 15.01%/yr for ITOT. With a 0.96 correlation, they move nearly in lockstep. DSEFX charges 1.09%/yr vs 0.03%/yr for ITOT.
Performance
DSEFX vs. ITOT - Performance Comparison
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Returns By Period
The year-to-date returns for both stocks are quite close, with DSEFX having a 11.81% return and ITOT slightly lower at 11.25%. Over the past 10 years, DSEFX has underperformed ITOT with an annualized return of 13.19%, while ITOT has yielded a comparatively higher 15.01% annualized return.
DSEFX
- 1D
- 0.02%
- 1M
- 6.66%
- YTD
- 11.81%
- 6M
- 11.75%
- 1Y
- 25.38%
- 3Y*
- 19.17%
- 5Y*
- 10.78%
- 10Y*
- 13.19%
ITOT
- 1D
- -0.73%
- 1M
- 5.01%
- YTD
- 11.25%
- 6M
- 11.12%
- 1Y
- 28.12%
- 3Y*
- 22.09%
- 5Y*
- 12.69%
- 10Y*
- 15.01%
DSEFX vs. ITOT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DSEFX Domini Impact Equity Fund | 11.81% | 11.51% | 21.68% | 28.43% | -25.70% | 21.44% | 30.06% | 31.66% | -9.25% | 15.44% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | 11.25% | 17.00% | 23.80% | 26.12% | -19.47% | 25.68% | 20.71% | 30.67% | -5.33% | 21.37% |
Correlation
The correlation between DSEFX and ITOT is 0.97 - 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 | 0.97 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.98 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jan 26, 2004 | 0.96 |
The correlation between DSEFX and ITOT has been stable across timeframes, ranging from 0.96 to 0.98 - a consistent structural relationship.
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Return for Risk
DSEFX vs. ITOT — Risk / Return Rank
DSEFX
ITOT
DSEFX vs. ITOT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Domini Impact Equity Fund (DSEFX) and iShares Core S&P Total U.S. Stock Market ETF (ITOT). 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.
| DSEFX | ITOT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.20 | ||
| Sortino ratioReturn per unit of downside risk | -0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.42 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.48 | 3.17 | -0.69 |
| Martin ratioReturn relative to average drawdown | 11.07 | 14.57 | -3.50 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DSEFX | ITOT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.12 | 2.32 | -0.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | 0.74 | -0.13 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.71 | 0.82 | -0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.50 | 0.57 | -0.07 |
Drawdowns
DSEFX vs. ITOT - Drawdown Comparison
The maximum DSEFX drawdown since its inception was -57.66%, roughly equal to the maximum ITOT drawdown of -55.20%. Use the drawdown chart below to compare losses from any high point for DSEFX and ITOT.
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Drawdown Indicators
| DSEFX | ITOT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -57.66% | -55.20% | -2.46% |
Max Drawdown (1Y)Largest decline over 1 year | -10.49% | -8.90% | -1.59% |
Max Drawdown (3Y)Largest decline over 3 years | -20.32% | -19.44% | -0.88% |
Max Drawdown (5Y)Largest decline over 5 years | -30.86% | -25.36% | -5.50% |
Max Drawdown (10Y)Largest decline over 10 years | -31.09% | -35.00% | +3.91% |
Current DrawdownCurrent decline from peak | 0.00% | -0.73% | +0.73% |
Average DrawdownAverage peak-to-trough decline | -10.92% | -6.97% | -3.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.35% | 1.94% | +0.41% |
Volatility
DSEFX vs. ITOT - Volatility Comparison
Domini Impact Equity Fund (DSEFX) and iShares Core S&P Total U.S. Stock Market ETF (ITOT) have volatilities of 3.10% and 2.99%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DSEFX | ITOT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.10% | 2.99% | +0.11% |
Volatility (6M)Calculated over the trailing 6-month period | 9.48% | 9.13% | +0.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.27% | 12.20% | +0.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.01% | 17.36% | +0.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.64% | 18.26% | +0.38% |
DSEFX vs. ITOT - Expense Ratio Comparison
DSEFX has a 1.09% expense ratio, which is higher than ITOT's 0.03% expense ratio.
Dividends
DSEFX vs. ITOT - Dividend Comparison
DSEFX's dividend yield for the trailing twelve months is around 10.00%, more than ITOT's 0.98% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DSEFX Domini Impact Equity Fund | 10.00% | 11.18% | 5.18% | 1.01% | 1.83% | 6.00% | 2.29% | 2.42% | 14.44% | 5.31% | 2.67% | 6.44% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | 0.98% | 1.11% | 1.23% | 1.47% | 1.66% | 1.18% | 1.41% | 1.88% | 2.14% | 1.69% | 1.83% | 2.01% |
Frequently Asked Questions
With a correlation of 0.97, DSEFX and ITOT 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.
DSEFX has higher volatility (3.10%) compared to ITOT (2.99%). In terms of maximum drawdown, DSEFX dropped -57.66% vs ITOT's -55.20%.
ITOT currently has the higher Sharpe Ratio (2.32 vs 2.12), 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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