ESGD vs. DMXF

Last updated Jun 5, 2026

ESGD (iShares ESG Aware MSCI EAFE ETF) and DMXF (iShares ESG Advanced MSCI EAFE ETF) are both Foreign Large Cap Equities funds from iShares - ESGD tracks the MSCI EAFE Extended ESG Focus Index while DMXF tracks the MSCI EAFE Choice ESG Screened Index. Both are passively managed. Over the past 5 years, ESGD returned 8.06%/yr vs 7.00%/yr for DMXF. Their correlation of 0.94 suggests significant overlap in exposure. ESGD charges 0.20%/yr vs 0.12%/yr for DMXF.

Performance

ESGD vs. DMXF - Performance Comparison

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

Returns By Period

In the year-to-date period, ESGD achieves a 9.10% return, which is significantly lower than DMXF's 12.40% return.

ESGD

• 1D: 0.73%
• 1M: 2.89%
• YTD: 9.10%
• 6M: 10.97%
• 1Y: 20.58%
• 3Y*: 16.40%
• 5Y*: 8.06%
• 10Y*: —

DMXF

• 1D: 0.79%
• 1M: 4.89%
• YTD: 12.40%
• 6M: 13.63%
• 1Y: 19.57%
• 3Y*: 15.27%
• 5Y*: 7.00%
• 10Y*: —

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

ESGD vs. DMXF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
ESGD iShares ESG Aware MSCI EAFE ETF	9.10%	29.63%	3.95%	18.53%	-15.17%	11.79%	20.58%
DMXF iShares ESG Advanced MSCI EAFE ETF	12.40%	22.07%	3.99%	20.52%	-19.25%	10.90%	23.13%

Correlation

The correlation between ESGD and DMXF 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	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Jun 19, 2020	0.94

The correlation between ESGD and DMXF has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.

ESGD vs. DMXF - Sectors Allocation Comparison

Sectors	ESGD	DMXF
Financial Services	26.4%	31.6%
Industrials	19.2%	16.3%
Technology	11.7%	18.3%
Healthcare	10.3%	10.6%
Consumer Cyclical	7.6%	4.6%
Consumer Defensive	6.4%	2.3%
Basic Materials	4.6%	4.8%
Communication Services	4.0%	7.0%
Energy	3.9%	-
Utilities	3.9%	0.6%
Real Estate	2.0%	3.9%

Return for Risk

ESGD vs. DMXF — Risk / Return Rank

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

ESGD

ESGD Risk / Return Rank: 39
ESGD Sharpe Ratio Rank: 39
ESGD Sortino Ratio Rank: 39
ESGD Omega Ratio Rank: 38
ESGD Calmar Ratio Rank: 36
ESGD Martin Ratio Rank: 42

DMXF

DMXF Risk / Return Rank: 35
DMXF Sharpe Ratio Rank: 34
DMXF Sortino Ratio Rank: 35
DMXF Omega Ratio Rank: 33
DMXF Calmar Ratio Rank: 34
DMXF Martin Ratio Rank: 40

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. DMXF - Risk-Adjusted Trends 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	DMXF	Difference
Sharpe ratio: Return per unit of total volatility	1.36	1.22	+0.13
Sortino ratio: Return per unit of downside risk	1.97	1.82	+0.16
Omega ratio: Gain probability vs. loss probability	1.25	1.22	+0.03
Calmar ratio: Return relative to maximum drawdown	1.77	1.66	+0.11
Martin ratio: Return relative to average drawdown	6.63	6.22	+0.41
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. DMXF - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.36, which is comparable to the DMXF Sharpe Ratio of 1.22. The chart below compares the historical Sharpe Ratios of ESGD and DMXF, 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	DMXF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.36	1.22	+0.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.49	0.40	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.58	0.66	-0.08

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.

Drawdown Indicators

	ESGD	DMXF	Difference
Max Drawdown Largest peak-to-trough decline	-33.70%	-34.52%	+0.82%
Max Drawdown (1Y) Largest decline over 1 year	-11.68%	-11.84%	+0.16%
Max Drawdown (3Y) Largest decline over 3 years	-13.86%	-16.54%	+2.68%
Max Drawdown (5Y) Largest decline over 5 years	-30.03%	-34.52%	+4.49%
Current Drawdown Current decline from peak	-0.64%	0.00%	-0.64%
Average Drawdown Average peak-to-trough decline	-6.19%	-7.66%	+1.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.11%	3.15%	-0.04%

Volatility

ESGD vs. DMXF - Volatility Comparison

iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares ESG Advanced MSCI EAFE ETF (DMXF) have volatilities of 4.77% and 4.98%, 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.

Volatility by Period

	ESGD	DMXF	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.77%	4.98%	-0.21%
Volatility (6M) Calculated over the trailing 6-month period	12.60%	13.31%	-0.71%
Volatility (1Y) Calculated over the trailing 1-year period	15.21%	16.06%	-0.85%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.61%	17.68%	-1.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.97%	17.25%	-0.28%

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%.

Dividends

ESGD vs. DMXF - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.30%, less than DMXF's 4.31% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
DMXF iShares ESG Advanced MSCI EAFE ETF	4.31%	4.85%	2.92%	2.29%	2.37%	1.91%	0.31%	0.00%	0.00%	0.00%	0.00%
ESGD iShares ESG Aware MSCI EAFE ETF	3.30%	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 DMXF in my portfolio?

With a correlation of 0.97, ESGD and DMXF 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 DMXF?

DMXF has higher volatility (4.98%) compared to ESGD (4.77%). In terms of maximum drawdown, ESGD dropped -33.70% vs DMXF's -34.52%.

Which ETF is better, ESGD or DMXF?

On 5-year performance, ESGD leads with 8.06% vs 7.00% for DMXF. On fees, DMXF is cheaper at 0.12% per year. On volatility, ESGD has been the lower-risk option at 4.77%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGD or DMXF?

Over the 5-year period, ESGD has performed better with a 8.06% return vs 7.00%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGD or DMXF?

DMXF is cheaper with a 0.12% expense ratio, compared with 0.20% for ESGD.

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

DMXF has the higher dividend yield at 4.31%, compared with 3.30% for ESGD.

What is the main difference between ESGD and DMXF?

ESGD tracks MSCI EAFE Extended ESG Focus Index, while DMXF tracks MSCI EAFE Choice ESG Screened Index. Their fees differ too: 0.20% for ESGD and 0.12% for DMXF.

Which has better risk-adjusted returns?

ESGD currently has the higher Sharpe Ratio (1.36 vs 1.22), 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.