ESGD vs. FNIDX
ESGD (iShares ESG Aware MSCI EAFE ETF) and FNIDX (Fidelity International Sustainability Index Fd) are both Foreign Large Cap Equities funds. Over the past 5 years, ESGD returned 8.96%/yr vs 6.76%/yr for FNIDX. Their correlation of 0.94 means they have usually moved in the same direction. Both charge a 0.20% expense ratio.
Performance
ESGD vs. FNIDX - Performance Comparison
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Returns By Period
In the year-to-date period, ESGD achieves a 13.66% return, which is significantly higher than FNIDX's 9.83% return.
ESGD
- 1D
- 1.28%
- 1M
- 2.97%
- 6M
- 7.57%
- YTD
- 13.66%
- 1Y
- 24.93%
- 3Y*
- 17.40%
- 5Y*
- 8.96%
- 10Y*
- 9.73%
- ALL TIME*
- 10.02%
FNIDX
- 1D
- 0.30%
- 1M
- 0.30%
- 6M
- 4.23%
- YTD
- 9.83%
- 1Y
- 22.32%
- 3Y*
- 16.12%
- 5Y*
- 6.76%
- 10Y*
- —
- ALL TIME*
- 7.92%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $32.59M | $25.13M | $29.59M | |
| $0.00 | $0.00 | $0.00 |
ESGD vs. FNIDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 13.66% | 29.63% | 3.95% | 18.53% | -15.17% | 11.79% | 8.20% | 23.12% | -13.33% | 11.11% |
FNIDX Fidelity International Sustainability Index Fd | 9.83% | 29.80% | 5.67% | 14.65% | -18.89% | 7.65% | 12.98% | 22.20% | -14.00% | 12.96% |
Correlation
The correlation between ESGD and FNIDX is 0.92, meaning they have usually moved in the same direction, including during past declines.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.92 |
Correlation (3Y) Balances recent behavior with more history. | 0.93 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.94 |
Correlation (All Time) Calculated using the full available price history since May 9, 2017 | 0.94 |
The correlation between ESGD and FNIDX has been stable across timeframes, ranging from 0.92 to 0.94 - a consistent structural relationship.
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Return for Risk
ESGD vs. FNIDX — Risk / Return Rank
ESGD
FNIDX
ESGD vs. FNIDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and Fidelity International Sustainability Index Fd (FNIDX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ESGD | FNIDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.13 | ||
| Sortino ratioReturn per unit of downside risk | +0.22 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.27 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.15 | 2.11 | +0.04 |
| Martin ratioReturn relative to average drawdown | 8.11 | 7.63 | +0.48 |
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Drawdowns
ESGD vs. FNIDX - Drawdown Comparison
The maximum ESGD drawdown since its inception was -33.70%, roughly equal to the maximum FNIDX drawdown of -33.17%. Use the drawdown chart below to compare losses from any high point for ESGD and FNIDX.
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Drawdown Indicators
| ESGD | FNIDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.70% | -33.17% | -0.53% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -11.36% | -0.32% |
Max Drawdown (3Y)Largest decline over 3 years | -13.86% | -14.92% | +1.06% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | -32.79% | +2.76% |
Max Drawdown (10Y)Largest decline over 10 years | -33.70% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -2.44% | +2.44% |
Average DrawdownAverage peak-to-trough decline | -6.11% | -8.15% | +2.04% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.08% | 3.13% | -0.05% |
Volatility
ESGD vs. FNIDX - Volatility Comparison
The current volatility for iShares ESG Aware MSCI EAFE ETF (ESGD) is 4.57%, while Fidelity International Sustainability Index Fd (FNIDX) has a volatility of 4.92%. This indicates that ESGD experiences smaller price fluctuations and is considered to be less risky than FNIDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGD | FNIDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.57% | 4.92% | -0.35% |
Volatility (6M)Calculated over the trailing 6-month period | 13.84% | 14.42% | -0.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.97% | 16.65% | -0.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.76% | 16.13% | +0.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.02% | 16.65% | +0.37% |
ESGD vs. FNIDX - Expense Ratio Comparison
Both ESGD and FNIDX have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Dividends
ESGD vs. FNIDX - Dividend Comparison
ESGD's dividend yield for the trailing twelve months is around 3.22%, more than FNIDX's 2.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 3.22% | 3.60% | 3.23% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% |
FNIDX Fidelity International Sustainability Index Fd | 2.56% | 2.81% | 2.34% | 2.64% | 2.32% | 1.93% | 1.13% | 2.17% | 2.28% | 1.27% | 0.00% |
Frequently Asked Questions
With a correlation of 0.92, ESGD and FNIDX 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.
FNIDX has higher volatility (4.92%) compared to ESGD (4.57%). In terms of maximum drawdown, ESGD dropped -33.70% vs FNIDX's -33.17%.
ESGD currently has the higher Sharpe Ratio (1.57 vs 1.44), 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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