ESGD vs. DFSI

Last updated Jun 4, 2026

ESGD (iShares ESG Aware MSCI EAFE ETF) and DFSI (Dimensional International Sustainability Core 1 ETF) are both Foreign Large Cap Equities funds. ESGD is passively managed, while DFSI is actively managed. Over the past 3 years, ESGD returned 15.89%/yr vs 16.80%/yr for DFSI. With a 0.97 correlation, they move nearly in lockstep. ESGD charges 0.20%/yr vs 0.24%/yr for DFSI.

Performance

ESGD vs. DFSI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EAFE ETF (ESGD) and Dimensional International Sustainability Core 1 ETF (DFSI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGD achieves a 8.31% return, which is significantly higher than DFSI's 5.54% return.

ESGD

• 1D: -0.81%
• 1M: 3.52%
• YTD: 8.31%
• 6M: 10.53%
• 1Y: 20.25%
• 3Y*: 15.89%
• 5Y*: 7.90%
• 10Y*: —

DFSI

• 1D: -0.92%
• 1M: 2.26%
• YTD: 5.54%
• 6M: 8.46%
• 1Y: 19.10%
• 3Y*: 16.80%
• 5Y*: —
• 10Y*: —

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

ESGD vs. DFSI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
ESGD iShares ESG Aware MSCI EAFE ETF	8.31%	29.63%	3.95%	18.53%	11.88%
DFSI Dimensional International Sustainability Core 1 ETF	5.54%	33.62%	4.98%	17.86%	11.99%

Correlation

The correlation between ESGD and DFSI 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	0.97
Correlation (All Time) Calculated using the full available price history since Nov 3, 2022	0.97

The correlation between ESGD and DFSI has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.

ESGD vs. DFSI - Sectors Allocation Comparison

Sectors	ESGD	DFSI
Financial Services	26.4%	27.7%
Industrials	19.2%	27.9%
Technology	11.7%	3.0%
Healthcare	10.3%	3.7%
Consumer Cyclical	7.6%	14.2%
Consumer Defensive	6.4%	8.1%
Basic Materials	4.6%	7.4%
Communication Services	4.0%	1.8%
Energy	3.9%	1.3%
Utilities	3.9%	1.7%
Real Estate	2.0%	3.4%

Return for Risk

ESGD vs. DFSI — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESGD

ESGD Risk / Return Rank: 37
ESGD Sharpe Ratio Rank: 37
ESGD Sortino Ratio Rank: 37
ESGD Omega Ratio Rank: 36
ESGD Calmar Ratio Rank: 35
ESGD Martin Ratio Rank: 41

DFSI

DFSI Risk / Return Rank: 35
DFSI Sharpe Ratio Rank: 36
DFSI Sortino Ratio Rank: 35
DFSI Omega Ratio Rank: 36
DFSI Calmar Ratio Rank: 32
DFSI Martin Ratio Rank: 38

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.

ESGD vs. DFSI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and Dimensional International Sustainability Core 1 ETF (DFSI). 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.

	ESGD	DFSI	Difference
Sharpe ratio: Return per unit of total volatility	1.34	1.28	+0.05
Sortino ratio: Return per unit of downside risk	1.95	1.88	+0.06
Omega ratio: Gain probability vs. loss probability	1.24	1.24	0.00
Calmar ratio: Return relative to maximum drawdown	1.74	1.57	+0.18
Martin ratio: Return relative to average drawdown	6.53	5.94	+0.58
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGD vs. DFSI - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.34, which is comparable to the DFSI Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of ESGD and DFSI, 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

	ESGD	DFSI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.34	1.28	+0.05
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.57	1.36	-0.79

Drawdowns

ESGD vs. DFSI - Drawdown Comparison

The maximum ESGD drawdown since its inception was -33.70%, which is greater than DFSI's maximum drawdown of -12.82%. Use the drawdown chart below to compare losses from any high point for ESGD and DFSI.

Drawdown Indicators

	ESGD	DFSI	Difference
Max Drawdown Largest peak-to-trough decline	-33.70%	-12.82%	-20.88%
Max Drawdown (1Y) Largest decline over 1 year	-11.68%	-12.26%	+0.58%
Max Drawdown (3Y) Largest decline over 3 years	-13.86%	-12.82%	-1.04%
Max Drawdown (5Y) Largest decline over 5 years	-30.03%	—	—
Current Drawdown Current decline from peak	-1.36%	-3.15%	+1.79%
Average Drawdown Average peak-to-trough decline	-6.19%	-2.62%	-3.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.11%	3.22%	-0.11%

Volatility

ESGD vs. DFSI - Volatility Comparison

iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 4.88% compared to Dimensional International Sustainability Core 1 ETF (DFSI) at 4.63%. This indicates that ESGD's price experiences larger fluctuations and is considered to be riskier than DFSI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGD	DFSI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.88%	4.63%	+0.25%
Volatility (6M) Calculated over the trailing 6-month period	12.59%	12.67%	-0.08%
Volatility (1Y) Calculated over the trailing 1-year period	15.22%	14.97%	+0.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.61%	15.24%	+1.37%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.97%	15.24%	+1.73%

ESGD vs. DFSI - Expense Ratio Comparison

ESGD has a 0.20% expense ratio, which is lower than DFSI's 0.24% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

ESGD vs. DFSI - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.33%, more than DFSI's 2.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
DFSI Dimensional International Sustainability Core 1 ETF	2.14%	2.23%	2.39%	2.10%	0.18%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ESGD iShares ESG Aware MSCI EAFE ETF	3.33%	3.60%	3.23%	3.02%	2.59%	2.75%	1.63%	2.57%	2.69%	2.65%	0.09%

Frequently Asked Questions

Can I hold both ESGD and DFSI in my portfolio?

With a correlation of 0.96, ESGD and DFSI 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, ESGD or DFSI?

ESGD has higher volatility (4.88%) compared to DFSI (4.63%). In terms of maximum drawdown, ESGD dropped -33.70% vs DFSI's -12.82%.

Which ETF is better, ESGD or DFSI?

On 3-year performance, DFSI leads with 16.80% vs 15.89% for ESGD. On fees, ESGD is cheaper at 0.20% per year. On volatility, DFSI has been the lower-risk option at 4.63%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGD or DFSI?

Over the 3-year period, DFSI has performed better with a 16.80% return vs 15.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGD or DFSI?

ESGD is cheaper with a 0.20% expense ratio, compared with 0.24% for DFSI.

Which ETF pays a higher dividend yield, ESGD or DFSI?

ESGD has the higher dividend yield at 3.33%, compared with 2.14% for DFSI.

What is the main difference between ESGD and DFSI?

They also come from different issuers: iShares and Dimensional. Their fees differ too: 0.20% for ESGD and 0.24% for DFSI.

Which has better risk-adjusted returns?

ESGD currently has the higher Sharpe Ratio (1.34 vs 1.28), 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.