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

Key characteristics


ESGDDMXF
YTD Return7.27%8.04%
1Y Return17.77%19.76%
3Y Return (Ann)1.86%0.82%
Sharpe Ratio1.481.56
Sortino Ratio2.112.27
Omega Ratio1.261.27
Calmar Ratio1.641.32
Martin Ratio8.188.14
Ulcer Index2.32%2.67%
Daily Std Dev12.81%13.84%
Max Drawdown-33.70%-34.52%
Current Drawdown-6.26%-6.59%

Correlation

-0.50.00.51.00.9

The correlation between ESGD and DMXF is 0.94, 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.

Performance

ESGD vs. DMXF - Performance Comparison

In the year-to-date period, ESGD achieves a 7.27% return, which is significantly lower than DMXF's 8.04% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
1.47%
2.23%
ESGD
DMXF

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ESGD vs. DMXF - Expense Ratio Comparison

ESGD has a 0.20% expense ratio, which is higher than DMXF's 0.12% 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%.


ESGD
iShares ESG Aware MSCI EAFE ETF
Expense ratio chart for ESGD: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
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%

Risk-Adjusted Performance

ESGD vs. DMXF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares ESG Advanced MSCI EAFE ETF (DMXF). 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
Sharpe ratio
The chart of Sharpe ratio for ESGD, currently valued at 1.48, compared to the broader market0.002.004.001.48
Sortino ratio
The chart of Sortino ratio for ESGD, currently valued at 2.11, compared to the broader market0.005.0010.002.11
Omega ratio
The chart of Omega ratio for ESGD, currently valued at 1.26, compared to the broader market1.001.502.002.503.001.26
Calmar ratio
The chart of Calmar ratio for ESGD, currently valued at 1.64, compared to the broader market0.005.0010.0015.0020.001.64
Martin ratio
The chart of Martin ratio for ESGD, currently valued at 8.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.18
DMXF
Sharpe ratio
The chart of Sharpe ratio for DMXF, currently valued at 1.56, compared to the broader market0.002.004.001.56
Sortino ratio
The chart of Sortino ratio for DMXF, currently valued at 2.27, compared to the broader market0.005.0010.002.27
Omega ratio
The chart of Omega ratio for DMXF, currently valued at 1.27, compared to the broader market1.001.502.002.503.001.27
Calmar ratio
The chart of Calmar ratio for DMXF, currently valued at 1.32, compared to the broader market0.005.0010.0015.0020.001.32
Martin ratio
The chart of Martin ratio for DMXF, currently valued at 8.14, compared to the broader market0.0020.0040.0060.0080.00100.00120.008.14

ESGD vs. DMXF - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.48, which is comparable to the DMXF Sharpe Ratio of 1.56. The chart below compares the historical Sharpe Ratios of ESGD and DMXF, 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 Ratio0.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
1.48
1.56
ESGD
DMXF

Dividends

ESGD vs. DMXF - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 2.98%, more than DMXF's 2.33% yield.


TTM20232022202120202019201820172016
ESGD
iShares ESG Aware MSCI EAFE ETF
2.98%3.02%2.59%2.74%1.63%2.57%2.69%2.64%0.09%
DMXF
iShares ESG Advanced MSCI EAFE ETF
2.33%2.29%2.37%1.91%0.31%0.00%0.00%0.00%0.00%

Drawdowns

ESGD vs. DMXF - Drawdown Comparison

The maximum ESGD drawdown since its inception was -33.70%, roughly equal to the maximum DMXF drawdown of -34.52%. Use the drawdown chart below to compare losses from any high point for ESGD and DMXF. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-6.26%
-6.59%
ESGD
DMXF

Volatility

ESGD vs. DMXF - Volatility Comparison

The current volatility for iShares ESG Aware MSCI EAFE ETF (ESGD) is 3.09%, while iShares ESG Advanced MSCI EAFE ETF (DMXF) has a volatility of 3.74%. This indicates that ESGD experiences smaller price fluctuations and is considered to be less risky than DMXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.50%3.00%3.50%4.00%4.50%5.00%5.50%6.00%JuneJulyAugustSeptemberOctoberNovember
3.09%
3.74%
ESGD
DMXF