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ESGD vs. IWM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESGD vs. IWM

Last updated Jul 14, 2026
Documentation

ESGD (iShares ESG Aware MSCI EAFE ETF) and IWM (iShares Russell 2000 ETF) are both exchange-traded funds - ESGD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Extended ESG Focus Index, while IWM is a Small Cap Blend Equities fund tracking the Russell 2000 Index. Both are passively managed. Over the past 10 years, ESGD returned 9.69%/yr vs 10.76%/yr for IWM. A 0.69 correlation means they provide meaningful diversification when combined. ESGD charges 0.20%/yr vs 0.19%/yr for IWM.

Performance

ESGD vs. IWM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares Russell 2000 ETF (IWM). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ESGD achieves a 9.32% return, which is significantly lower than IWM's 19.72% return. Over the past 10 years, ESGD has underperformed IWM with an annualized return of 9.69%, while IWM has yielded a comparatively higher 10.76% annualized return.

ESGD

1D
-1.03%
1M
0.17%
6M
5.46%
YTD
9.32%
1Y
19.66%
3Y*
14.83%
5Y*
8.37%
10Y*
9.69%

IWM

1D
-0.85%
1M
0.42%
6M
12.70%
YTD
19.72%
1Y
33.75%
3Y*
16.65%
5Y*
7.37%
10Y*
10.76%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGD vs. IWM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ESGD
iShares ESG Aware MSCI EAFE ETF		9.32%29.63%3.95%18.53%-15.17%11.79%8.20%23.12%-13.33%25.10%
IWM
iShares Russell 2000 ETF		19.72%12.66%11.38%16.83%-20.48%14.54%20.03%25.39%-11.12%14.58%

Correlation

The correlation between ESGD and IWM is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.71

Correlation (3Y)
Calculated over the trailing 3-year period

0.70

Correlation (5Y)
Calculated over the trailing 5-year period

0.73

Correlation (10Y)
Calculated over the trailing 10-year period

0.69

Correlation (All Time)
Calculated using the full available price history since Jun 30, 2016

0.69

The correlation between ESGD and IWM has been stable across timeframes, ranging from 0.69 to 0.73 - a consistent structural relationship.

ESGD vs. IWM - Sectors Allocation Comparison

Sectors
ESGD
IWM

Financial Services

26.5%
18.1%

Industrials

18.1%
13.8%

Technology

13.9%
14.9%

Healthcare

10.1%
20.1%

Consumer Defensive

6.9%
2.5%

Consumer Cyclical

6.3%
8.9%

Basic Materials

5.4%
4.3%

Utilities

3.7%
2.9%

Communication Services

3.6%
2.0%

Energy

3.4%
5.7%

Real Estate

1.6%
6.3%

Financial Services

ESGD
26.5%
IWM
18.1%

Industrials

ESGD
18.1%
IWM
13.8%

Technology

ESGD
13.9%
IWM
14.9%

Healthcare

ESGD
10.1%
IWM
20.1%

Consumer Defensive

ESGD
6.9%
IWM
2.5%

Consumer Cyclical

ESGD
6.3%
IWM
8.9%

Basic Materials

ESGD
5.4%
IWM
4.3%

Utilities

ESGD
3.7%
IWM
2.9%

Communication Services

ESGD
3.6%
IWM
2.0%

Energy

ESGD
3.4%
IWM
5.7%

Real Estate

ESGD
1.6%
IWM
6.3%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

iShares ESG Aware MSCI EAFE ETF

iShares Russell 2000 ETF

Often compared with ESGD:
ESGD vs. ESGUESGD vs. ESGVESGD vs. DMXFESGD vs. SPYESGD vs. SDGESGD vs. FNIDXESGD vs. VOO
Often compared with IWM:
IWM vs. SPYIWM vs. VTWOIWM vs. IJRIWM vs. AVUVIWM vs. IWNIWM vs. VOOIWM vs. IWO

Return for Risk

ESGD vs. IWM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ESGD
ESGD Risk / Return Rank: 4444
Overall Rank
ESGD Sharpe Ratio Rank: 4444
Sharpe Ratio Rank
ESGD Sortino Ratio Rank: 4444
Sortino Ratio Rank
ESGD Omega Ratio Rank: 4343
Omega Ratio Rank
ESGD Calmar Ratio Rank: 4242
Calmar Ratio Rank
ESGD Martin Ratio Rank: 4848
Martin Ratio Rank
IWM
IWM Risk / Return Rank: 6969
Overall Rank
IWM Sharpe Ratio Rank: 6767
Sharpe Ratio Rank
IWM Sortino Ratio Rank: 6868
Sortino Ratio Rank
IWM Omega Ratio Rank: 6060
Omega Ratio Rank
IWM Calmar Ratio Rank: 7575
Calmar Ratio Rank
IWM Martin Ratio Rank: 7474
Martin Ratio Rank
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. IWM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares Russell 2000 ETF (IWM). 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.

ESGDIWMDifference
Sharpe ratioReturn per unit of total volatility
1.24
1.74

-0.50

Sortino ratioReturn per unit of downside risk
1.82
2.47

-0.65

Omega ratioGain probability vs. loss probability

1.23

1.29

-0.06

Calmar ratioReturn relative to maximum drawdown

1.69

3.07

-1.38

Martin ratioReturn relative to average drawdown

6.30

10.87

-4.57

ESGD vs. IWM - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.24, which is comparable to the IWM Sharpe Ratio of 1.74. The chart below compares the historical Sharpe Ratios of ESGD and IWM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

ESGD vs. IWM - Drawdown Comparison

The maximum ESGD drawdown since its inception was -33.70%, smaller than the maximum IWM drawdown of -59.05%. Use the drawdown chart below to compare losses from any high point for ESGD and IWM.

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Drawdown Indicators

ESGDIWMDifference

Max Drawdown

Largest peak-to-trough decline

-33.70%

-59.05%

+25.35%

Max Drawdown (1Y)

Largest decline over 1 year

-11.68%

-11.03%

-0.65%

Max Drawdown (3Y)

Largest decline over 3 years

-13.86%

-27.50%

+13.64%

Max Drawdown (5Y)

Largest decline over 5 years

-30.03%

-31.91%

+1.88%

Max Drawdown (10Y)

Largest decline over 10 years

-33.70%

-41.13%

+7.43%

Current Drawdown

Current decline from peak

-2.01%

-2.32%

+0.31%

Average Drawdown

Average peak-to-trough decline

-6.14%

-10.73%

+4.59%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.13%

3.11%

+0.02%

Volatility

ESGD vs. IWM - Volatility Comparison

iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 5.09% compared to iShares Russell 2000 ETF (IWM) at 4.81%. This indicates that ESGD's price experiences larger fluctuations and is considered to be riskier than IWM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESGDIWMDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.09%

4.81%

+0.28%

Volatility (6M)

Calculated over the trailing 6-month period

13.66%

14.19%

-0.53%

Volatility (1Y)

Calculated over the trailing 1-year period

15.93%

19.54%

-3.61%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.72%

22.56%

-5.84%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.02%

23.00%

-5.98%

ESGD vs. IWM - Expense Ratio Comparison

ESGD has a 0.20% expense ratio, which is higher than IWM's 0.19% 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. IWM - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.35%, more than IWM's 0.91% yield.

PositionTTM20252024202320222021202020192018201720162015
ESGD
iShares ESG Aware MSCI EAFE ETF		3.35%3.60%3.23%3.02%2.59%2.75%1.63%2.57%2.69%2.65%0.09%0.00%
IWM
iShares Russell 2000 ETF		0.91%1.04%1.15%1.35%1.48%0.94%1.04%1.26%1.40%1.26%1.38%1.54%

Frequently Asked Questions

ESGD and IWM have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESGD has higher volatility (5.09%) compared to IWM (4.81%). In terms of maximum drawdown, ESGD dropped -33.70% vs IWM's -59.05%.

On 10-year performance, IWM leads with 10.76% vs 9.69% for ESGD. On fees, IWM is cheaper at 0.19% per year. On volatility, IWM has been the lower-risk option at 4.81%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, IWM has performed better with a 10.76% return vs 9.69%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IWM is cheaper with a 0.19% expense ratio, compared with 0.20% for ESGD.

ESGD has the higher dividend yield at 3.35%, compared with 0.91% for IWM.

ESGD is categorized as Foreign Large Cap Equities, while IWM is Small Cap Blend Equities. ESGD tracks MSCI EAFE Extended ESG Focus Index, while IWM tracks Russell 2000 Index. Their fees differ too: 0.20% for ESGD and 0.19% for IWM.

IWM currently has the higher Sharpe Ratio (1.74 vs 1.24), 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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