ESGD vs. DWMF

Last updated Apr 1, 2026

Compare and contrast key facts about iShares ESG Aware MSCI EAFE ETF (ESGD) and WisdomTree International Multifactor Fund (DWMF).

ESGD and DWMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESGD is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Extended ESG Focus Index. It was launched on Jun 28, 2016. DWMF is an actively managed fund by WisdomTree. It was launched on Aug 10, 2018.

Performance

ESGD vs. DWMF - Performance Comparison

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

ESGD vs. DWMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESGD iShares ESG Aware MSCI EAFE ETF	0.56%	29.63%	3.95%	18.53%	-15.17%	11.79%	8.20%	23.12%	-10.73%
DWMF WisdomTree International Multifactor Fund	3.84%	24.42%	10.22%	10.78%	-7.31%	11.24%	-1.18%	16.10%	-7.30%

Returns By Period

In the year-to-date period, ESGD achieves a 0.56% return, which is significantly lower than DWMF's 3.84% return.

ESGD

• 1D: 3.29%
• 1M: -8.25%
• YTD: 0.56%
• 6M: 4.79%
• 1Y: 21.50%
• 3Y*: 13.70%
• 5Y*: 7.69%
• 10Y*: —

DWMF

• 1D: 2.44%
• 1M: -5.33%
• YTD: 3.84%
• 6M: 6.56%
• 1Y: 18.87%
• 3Y*: 14.10%
• 5Y*: 9.33%
• 10Y*: —

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

ESGD vs. DWMF - Expense Ratio Comparison

ESGD has a 0.20% expense ratio, which is lower than DWMF's 0.38% expense ratio.

DWMF

WisdomTree International Multifactor Fund

ESGD

iShares ESG Aware MSCI EAFE ETF

Return for Risk

ESGD vs. DWMF — Risk / Return Rank

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

ESGD

ESGD Risk / Return Rank: 71
ESGD Sharpe Ratio Rank: 71
ESGD Sortino Ratio Rank: 72
ESGD Omega Ratio Rank: 70
ESGD Calmar Ratio Rank: 71
ESGD Martin Ratio Rank: 70

DWMF

DWMF Risk / Return Rank: 78
DWMF Sharpe Ratio Rank: 76
DWMF Sortino Ratio Rank: 79
DWMF Omega Ratio Rank: 77
DWMF Calmar Ratio Rank: 79
DWMF Martin Ratio Rank: 77

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. DWMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and WisdomTree International Multifactor Fund (DWMF). 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	DWMF	Difference
Sharpe ratio Return per unit of total volatility	1.22	1.38	-0.16
Sortino ratio Return per unit of downside risk	1.75	2.02	-0.27
Omega ratio Gain probability vs. loss probability	1.25	1.29	-0.04
Calmar ratio Return relative to maximum drawdown	1.75	2.13	-0.38
Martin ratio Return relative to average drawdown	6.75	8.12	-1.38
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. DWMF - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.22, which is comparable to the DWMF Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of ESGD and DWMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	ESGD	DWMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.22	1.38	-0.16
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.47	0.84	-0.37
Sharpe Ratio (All Time) Calculated using the full available price history	0.53	0.53	+0.01

Correlation

The correlation between ESGD and DWMF is 0.87, 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.

Dividends

ESGD vs. DWMF - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.58%, more than DWMF's 2.87% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESGD iShares ESG Aware MSCI EAFE ETF	3.58%	3.60%	3.23%	3.02%	2.59%	2.75%	1.63%	2.57%	2.69%	2.65%	0.09%
DWMF WisdomTree International Multifactor Fund	2.87%	2.80%	3.50%	4.01%	3.41%	3.54%	2.06%	2.77%	1.15%	0.00%	0.00%

Drawdowns

ESGD vs. DWMF - Drawdown Comparison

The maximum ESGD drawdown since its inception was -33.70%, which is greater than DWMF's maximum drawdown of -29.72%. Use the drawdown chart below to compare losses from any high point for ESGD and DWMF.

Drawdown Indicators

	ESGD	DWMF	Difference
Max Drawdown Largest peak-to-trough decline	-33.70%	-29.72%	-3.98%
Max Drawdown (1Y) Largest decline over 1 year	-11.68%	-8.74%	-2.94%
Max Drawdown (5Y) Largest decline over 5 years	-30.03%	-17.00%	-13.03%
Current Drawdown Current decline from peak	-8.42%	-5.33%	-3.09%
Average Drawdown Average peak-to-trough decline	-6.25%	-3.88%	-2.37%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.03%	2.29%	+0.74%

Volatility

ESGD vs. DWMF - Volatility Comparison

iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 7.99% compared to WisdomTree International Multifactor Fund (DWMF) at 5.84%. This indicates that ESGD's price experiences larger fluctuations and is considered to be riskier than DWMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGD	DWMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.99%	5.84%	+2.15%
Volatility (6M) Calculated over the trailing 6-month period	11.29%	8.39%	+2.90%
Volatility (1Y) Calculated over the trailing 1-year period	17.75%	13.70%	+4.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.45%	11.20%	+5.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.94%	14.16%	+2.78%