ESGN vs. DWMF

Last updated Jun 24, 2026

ESGN (Columbia Sustainable International Equity Income ETF) and DWMF (WisdomTree International Multifactor Fund) are both Foreign Large Cap Equities funds. ESGN is passively managed, while DWMF is actively managed. Over the past 5 years, ESGN returned 11.66%/yr vs 8.70%/yr for DWMF. Their correlation of 0.80 suggests significant overlap in exposure. ESGN charges 0.45%/yr vs 0.38%/yr for DWMF.

Performance

ESGN vs. DWMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Columbia Sustainable International Equity Income ETF (ESGN) and WisdomTree International Multifactor Fund (DWMF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with ESGN having a 5.17% return and DWMF slightly lower at 5.12%.

ESGN

• 1D: -0.95%
• 1M: -2.95%
• YTD: 5.17%
• 6M: 5.43%
• 1Y: 23.37%
• 3Y*: 19.18%
• 5Y*: 11.66%
• 10Y*: 9.59%

DWMF

• 1D: -2.08%
• 1M: 1.38%
• YTD: 5.12%
• 6M: 4.50%
• 1Y: 11.72%
• 3Y*: 14.20%
• 5Y*: 8.70%
• 10Y*: —

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

ESGN vs. DWMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESGN Columbia Sustainable International Equity Income ETF	5.17%	39.85%	6.02%	20.88%	-5.95%	10.18%	-0.52%	15.83%	-14.63%
DWMF WisdomTree International Multifactor Fund	5.12%	24.42%	10.22%	10.78%	-7.31%	11.24%	-1.18%	16.10%	-7.26%

Correlation

The correlation between ESGN and DWMF is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.84
Correlation (All Time) Calculated using the full available price history since Aug 10, 2018	0.80

The correlation between ESGN and DWMF has been stable across timeframes, ranging from 0.80 to 0.84 - a consistent structural relationship.

ESGN vs. DWMF - Sectors Allocation Comparison

Sectors	ESGN	DWMF
Industrials	15.8%	19.1%
Financial Services	15.4%	19.9%
Energy	13.0%	1.9%
Utilities	9.3%	8.9%
Technology	7.0%	4.5%
Consumer Cyclical	6.6%	5.8%
Healthcare	3.9%	9.1%
Consumer Defensive	3.5%	11.3%
Basic Materials	1.9%	3.9%
Communication Services	1.2%	9.4%
Real Estate	0.2%	6.3%

Return for Risk

ESGN vs. DWMF — Risk / Return Rank

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

ESGN

ESGN Risk / Return Rank: 54
ESGN Sharpe Ratio Rank: 54
ESGN Sortino Ratio Rank: 54
ESGN Omega Ratio Rank: 53
ESGN Calmar Ratio Rank: 54
ESGN Martin Ratio Rank: 53

DWMF

DWMF Risk / Return Rank: 29
DWMF Sharpe Ratio Rank: 29
DWMF Sortino Ratio Rank: 29
DWMF Omega Ratio Rank: 29
DWMF Calmar Ratio Rank: 29
DWMF Martin Ratio Rank: 28

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.

ESGN vs. DWMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Columbia Sustainable International Equity Income ETF (ESGN) 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.

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.

	ESGN	DWMF	Difference
Sharpe ratio: Return per unit of total volatility	1.70	1.01	+0.69
Sortino ratio: Return per unit of downside risk	2.40	1.49	+0.91
Omega ratio: Gain probability vs. loss probability	1.31	1.19	+0.12
Calmar ratio: Return relative to maximum drawdown	2.46	1.35	+1.11
Martin ratio: Return relative to average drawdown	8.42	3.70	+4.73

ESGN vs. DWMF - Sharpe Ratio Comparison

The current ESGN Sharpe Ratio is 1.70, which is higher than the DWMF Sharpe Ratio of 1.01. The chart below compares the historical Sharpe Ratios of ESGN and DWMF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ESGN vs. DWMF - Drawdown Comparison

The maximum ESGN drawdown since its inception was -41.71%, which is greater than DWMF's maximum drawdown of -29.72%. Use the drawdown chart below to compare losses from any high point for ESGN and DWMF.

Drawdown Indicators

	ESGN	DWMF	Difference
Max Drawdown Largest peak-to-trough decline	-41.71%	-29.72%	-11.99%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-8.74%	-0.82%
Max Drawdown (3Y) Largest decline over 3 years	-14.38%	-8.74%	-5.64%
Max Drawdown (5Y) Largest decline over 5 years	-24.51%	-17.00%	-7.51%
Max Drawdown (10Y) Largest decline over 10 years	-41.71%	—	—
Current Drawdown Current decline from peak	-5.44%	-4.17%	-1.27%
Average Drawdown Average peak-to-trough decline	-7.04%	-3.90%	-3.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.78%	3.18%	-0.40%

Volatility

ESGN vs. DWMF - Volatility Comparison

The current volatility for Columbia Sustainable International Equity Income ETF (ESGN) is 3.96%, while WisdomTree International Multifactor Fund (DWMF) has a volatility of 4.71%. This indicates that ESGN experiences smaller price fluctuations and is considered to be less risky than DWMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGN	DWMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.96%	4.71%	-0.75%
Volatility (6M) Calculated over the trailing 6-month period	11.06%	9.58%	+1.48%
Volatility (1Y) Calculated over the trailing 1-year period	13.77%	11.64%	+2.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.33%	11.37%	+3.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.34%	14.14%	+2.20%

ESGN vs. DWMF - Expense Ratio Comparison

ESGN has a 0.45% expense ratio, which is higher than DWMF's 0.38% expense ratio.

Dividends

ESGN vs. DWMF - Dividend Comparison

ESGN's dividend yield for the trailing twelve months is around 9.38%, more than DWMF's 2.83% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
DWMF WisdomTree International Multifactor Fund	2.83%	2.80%	3.50%	4.01%	3.41%	3.54%	2.06%	2.77%	1.15%	0.00%	0.00%
ESGN Columbia Sustainable International Equity Income ETF	9.38%	9.76%	3.11%	3.27%	3.57%	3.43%	2.64%	3.34%	7.25%	4.63%	2.52%

Frequently Asked Questions

Can I hold both ESGN and DWMF in my portfolio?

ESGN and DWMF have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGN or DWMF?

DWMF has higher volatility (4.71%) compared to ESGN (3.96%). In terms of maximum drawdown, ESGN dropped -41.71% vs DWMF's -29.72%.

Which ETF is better, ESGN or DWMF?

On 5-year performance, ESGN leads with 11.66% vs 8.70% for DWMF. On fees, DWMF is cheaper at 0.38% per year. On volatility, ESGN has been the lower-risk option at 3.96%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGN or DWMF?

Over the 5-year period, ESGN has performed better with a 11.66% return vs 8.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGN or DWMF?

DWMF is cheaper with a 0.38% expense ratio, compared with 0.45% for ESGN.

Which ETF pays a higher dividend yield, ESGN or DWMF?

ESGN has the higher dividend yield at 9.38%, compared with 2.83% for DWMF.

What is the main difference between ESGN and DWMF?

They also come from different issuers: Ameriprise Financial and WisdomTree. Their fees differ too: 0.45% for ESGN and 0.38% for DWMF.

Which has better risk-adjusted returns?

ESGN currently has the higher Sharpe Ratio (1.70 vs 1.01), 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.