ESGN vs. DWMF

Last updated Apr 1, 2026

Compare and contrast key facts about Columbia Sustainable International Equity Income ETF (ESGN) and WisdomTree International Multifactor Fund (DWMF).

ESGN and DWMF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESGN is a passively managed fund by Ameriprise Financial that tracks the performance of the MSCI Beta ADV Sust Intl Equity Income 100. It was launched on Jun 13, 2016. DWMF is an actively managed fund by WisdomTree. It was launched on Aug 10, 2018.

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.

ESGN vs. DWMF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESGN Columbia Sustainable International Equity Income ETF	4.95%	39.85%	6.02%	20.88%	-5.95%	10.18%	-0.52%	15.83%	-13.79%
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, ESGN achieves a 4.95% return, which is significantly higher than DWMF's 3.84% return.

ESGN

• 1D: 2.63%
• 1M: -5.63%
• YTD: 4.95%
• 6M: 13.38%
• 1Y: 32.70%
• 3Y*: 20.25%
• 5Y*: 12.22%
• 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)

ESGN vs. DWMF - Expense Ratio Comparison

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

ESGN

Columbia Sustainable International Equity Income ETF

DWMF

WisdomTree International Multifactor Fund

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: 90
ESGN Sharpe Ratio Rank: 89
ESGN Sortino Ratio Rank: 90
ESGN Omega Ratio Rank: 91
ESGN Calmar Ratio Rank: 87
ESGN Martin Ratio Rank: 90

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.

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.

	ESGN	DWMF	Difference
Sharpe ratio Return per unit of total volatility	1.94	1.38	+0.56
Sortino ratio Return per unit of downside risk	2.60	2.02	+0.58
Omega ratio Gain probability vs. loss probability	1.40	1.29	+0.11
Calmar ratio Return relative to maximum drawdown	2.73	2.13	+0.60
Martin ratio Return relative to average drawdown	12.02	8.12	+3.90
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGN vs. DWMF - Sharpe Ratio Comparison

The current ESGN Sharpe Ratio is 1.94, which is higher than the DWMF Sharpe Ratio of 1.38. The chart below compares the historical Sharpe Ratios of ESGN 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

	ESGN	DWMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.94	1.38	+0.56
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.81	0.84	-0.03
Sharpe Ratio (All Time) Calculated using the full available price history	0.60	0.53	+0.07

Correlation

The correlation between ESGN and DWMF is 0.80, 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

ESGN vs. DWMF - Dividend Comparison

ESGN's dividend yield for the trailing twelve months is around 9.40%, more than DWMF's 2.87% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ESGN Columbia Sustainable International Equity Income ETF	9.40%	9.76%	3.11%	3.27%	3.57%	3.43%	2.64%	3.34%	7.25%	4.63%	2.52%
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

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	-11.54%	-8.74%	-2.80%
Max Drawdown (5Y) Largest decline over 5 years	-24.51%	-17.00%	-7.51%
Current Drawdown Current decline from peak	-5.63%	-5.33%	-0.30%
Average Drawdown Average peak-to-trough decline	-7.13%	-3.88%	-3.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.62%	2.29%	+0.33%

Volatility

ESGN vs. DWMF - Volatility Comparison

Columbia Sustainable International Equity Income ETF (ESGN) has a higher volatility of 6.97% compared to WisdomTree International Multifactor Fund (DWMF) at 5.84%. This indicates that ESGN'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

	ESGN	DWMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.97%	5.84%	+1.13%
Volatility (6M) Calculated over the trailing 6-month period	9.80%	8.39%	+1.41%
Volatility (1Y) Calculated over the trailing 1-year period	16.96%	13.70%	+3.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.22%	11.20%	+4.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.33%	14.16%	+2.17%