ESGE vs. DEHP
ESGE (iShares ESG Aware MSCI EM ETF) and DEHP (Dimensional Emerging Markets High Profitability ETF) are both exchange-traded funds - ESGE is a Emerging Markets Equities fund tracking the MSCI EM Extended ESG Focus Index, while DEHP is a Emerging Markets Diversified fund actively managed by Dimensional. ESGE is passively managed, while DEHP is actively managed. Over the past 3 years, ESGE returned 22.00%/yr vs 23.11%/yr for DEHP. With a 0.96 correlation, they move nearly in lockstep. ESGE charges 0.25%/yr vs 0.41%/yr for DEHP.
Performance
ESGE vs. DEHP - Performance Comparison
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Returns By Period
In the year-to-date period, ESGE achieves a 22.18% return, which is significantly lower than DEHP's 29.47% return.
ESGE
- 1D
- 0.28%
- 1M
- -1.39%
- 6M
- 17.09%
- YTD
- 22.18%
- 1Y
- 39.72%
- 3Y*
- 22.00%
- 5Y*
- 6.82%
- 10Y*
- —
DEHP
- 1D
- -0.41%
- 1M
- -1.40%
- 6M
- 23.83%
- YTD
- 29.47%
- 1Y
- 50.84%
- 3Y*
- 23.11%
- 5Y*
- —
- 10Y*
- —
ESGE vs. DEHP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
ESGE iShares ESG Aware MSCI EM ETF | 22.18% | 35.86% | 6.63% | 9.51% | -7.52% |
DEHP Dimensional Emerging Markets High Profitability ETF | 29.47% | 32.86% | 4.47% | 12.31% | -9.73% |
Correlation
The correlation between ESGE and DEHP is 0.95 - 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 | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (All Time) Calculated using the full available price history since Apr 27, 2022 | 0.96 |
The correlation between ESGE and DEHP has been stable across timeframes, ranging from 0.95 to 0.96 - a consistent structural relationship.
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Return for Risk
ESGE vs. DEHP — Risk / Return Rank
ESGE
DEHP
ESGE vs. DEHP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EM ETF (ESGE) and Dimensional Emerging Markets High Profitability ETF (DEHP). 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.
| ESGE | DEHP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.30 | ||
| Sortino ratioReturn per unit of downside risk | -0.31 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.37 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.85 | 3.84 | -0.99 |
| Martin ratioReturn relative to average drawdown | 10.05 | 13.28 | -3.23 |
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Drawdowns
ESGE vs. DEHP - Drawdown Comparison
The maximum ESGE drawdown since its inception was -41.07%, which is greater than DEHP's maximum drawdown of -22.90%. Use the drawdown chart below to compare losses from any high point for ESGE and DEHP.
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Drawdown Indicators
| ESGE | DEHP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.07% | -22.90% | -18.17% |
Max Drawdown (1Y)Largest decline over 1 year | -13.90% | -13.16% | -0.74% |
Max Drawdown (3Y)Largest decline over 3 years | -16.71% | -19.14% | +2.43% |
Max Drawdown (5Y)Largest decline over 5 years | -37.46% | — | — |
Current DrawdownCurrent decline from peak | -5.69% | -7.22% | +1.53% |
Average DrawdownAverage peak-to-trough decline | -14.36% | -5.74% | -8.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.93% | 3.80% | +0.13% |
Volatility
ESGE vs. DEHP - Volatility Comparison
The current volatility for iShares ESG Aware MSCI EM ETF (ESGE) is 10.66%, while Dimensional Emerging Markets High Profitability ETF (DEHP) has a volatility of 12.45%. This indicates that ESGE experiences smaller price fluctuations and is considered to be less risky than DEHP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGE | DEHP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.66% | 12.45% | -1.79% |
Volatility (6M)Calculated over the trailing 6-month period | 21.18% | 23.37% | -2.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.26% | 25.26% | -2.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.80% | 19.71% | +0.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.22% | 19.71% | +0.51% |
ESGE vs. DEHP - Expense Ratio Comparison
ESGE has a 0.25% expense ratio, which is lower than DEHP's 0.41% expense ratio.
Dividends
ESGE vs. DEHP - Dividend Comparison
ESGE's dividend yield for the trailing twelve months is around 2.12%, more than DEHP's 1.35% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
DEHP Dimensional Emerging Markets High Profitability ETF | 1.35% | 1.73% | 2.44% | 2.84% | 1.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ESGE iShares ESG Aware MSCI EM ETF | 2.12% | 2.50% | 2.41% | 2.64% | 2.68% | 2.66% | 1.31% | 2.59% | 2.19% | 1.86% | 0.27% |
Frequently Asked Questions
With a correlation of 0.95, ESGE and DEHP 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.
DEHP has higher volatility (12.45%) compared to ESGE (10.66%). In terms of maximum drawdown, ESGE dropped -41.07% vs DEHP's -22.90%.
On 3-year performance, DEHP leads with 23.11% vs 22.00% for ESGE. On fees, ESGE is cheaper at 0.25% per year. On volatility, ESGE has been the lower-risk option at 10.66%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, DEHP has performed better with a 23.11% return vs 22.00%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ESGE is cheaper with a 0.25% expense ratio, compared with 0.41% for DEHP.
ESGE has the higher dividend yield at 2.12%, compared with 1.35% for DEHP.
ESGE is categorized as Emerging Markets Equities, while DEHP is Emerging Markets Diversified. They also come from different issuers: iShares and Dimensional. Their fees differ too: 0.25% for ESGE and 0.41% for DEHP.
DEHP currently has the higher Sharpe Ratio (2.00 vs 1.70), 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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