EVUS vs. DMXF
EVUS (Ishares ESG Aware MSCI USA Value ETF) and DMXF (iShares ESG Advanced MSCI EAFE ETF) are both exchange-traded funds - EVUS is a Large Cap Value Equities fund tracking the MSCI USA Value Extended ESG Focus Index - Benchmark TR Gross, while DMXF is a Foreign Large Cap Equities fund tracking the MSCI EAFE Choice ESG Screened Index. Both are passively managed. Over the past 3 years, EVUS returned 15.77%/yr vs 15.44%/yr for DMXF. A 0.68 correlation means they provide meaningful diversification when combined. EVUS charges 0.18%/yr vs 0.12%/yr for DMXF.
Performance
EVUS vs. DMXF - Performance Comparison
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Returns By Period
In the year-to-date period, EVUS achieves a 10.02% return, which is significantly lower than DMXF's 11.78% return.
EVUS
- 1D
- 0.43%
- 1M
- 0.44%
- YTD
- 10.02%
- 6M
- 9.44%
- 1Y
- 21.71%
- 3Y*
- 15.77%
- 5Y*
- —
- 10Y*
- —
DMXF
- 1D
- -2.70%
- 1M
- 1.22%
- YTD
- 11.78%
- 6M
- 10.88%
- 1Y
- 19.96%
- 3Y*
- 15.44%
- 5Y*
- 6.99%
- 10Y*
- —
EVUS vs. DMXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
EVUS Ishares ESG Aware MSCI USA Value ETF | 10.02% | 13.31% | 14.23% | 3.68% |
DMXF iShares ESG Advanced MSCI EAFE ETF | 11.78% | 22.07% | 3.99% | 8.99% |
Correlation
The correlation between EVUS and DMXF is 0.75, 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 | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Feb 2, 2023 | 0.68 |
The correlation between EVUS and DMXF has been stable across timeframes, ranging from 0.67 to 0.75 - a consistent structural relationship.
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Return for Risk
EVUS vs. DMXF — Risk / Return Rank
EVUS
DMXF
EVUS vs. DMXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Ishares ESG Aware MSCI USA Value ETF (EVUS) and iShares ESG Advanced MSCI EAFE ETF (DMXF). 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.
| EVUS | DMXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.85 | ||
| Sortino ratioReturn per unit of downside risk | +1.13 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.22 | +0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.82 | 1.69 | +1.13 |
| Martin ratioReturn relative to average drawdown | 11.81 | 6.32 | +5.49 |
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Drawdowns
EVUS vs. DMXF - Drawdown Comparison
The maximum EVUS drawdown since its inception was -15.65%, smaller than the maximum DMXF drawdown of -34.52%. Use the drawdown chart below to compare losses from any high point for EVUS and DMXF.
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Drawdown Indicators
| EVUS | DMXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.65% | -34.52% | +18.87% |
Max Drawdown (1Y)Largest decline over 1 year | -7.72% | -11.84% | +4.12% |
Max Drawdown (3Y)Largest decline over 3 years | -15.65% | -16.54% | +0.89% |
Max Drawdown (5Y)Largest decline over 5 years | — | -34.52% | — |
Current DrawdownCurrent decline from peak | -0.97% | -2.70% | +1.73% |
Average DrawdownAverage peak-to-trough decline | -2.75% | -7.61% | +4.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.84% | 3.17% | -1.33% |
Volatility
EVUS vs. DMXF - Volatility Comparison
The current volatility for Ishares ESG Aware MSCI USA Value ETF (EVUS) is 3.27%, while iShares ESG Advanced MSCI EAFE ETF (DMXF) has a volatility of 6.29%. This indicates that EVUS experiences smaller price fluctuations and is considered to be less risky than DMXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EVUS | DMXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.27% | 6.29% | -3.02% |
Volatility (6M)Calculated over the trailing 6-month period | 8.21% | 14.41% | -6.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.71% | 16.93% | -6.22% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 12.73% | 17.83% | -5.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.73% | 17.34% | -4.61% |
EVUS vs. DMXF - Expense Ratio Comparison
EVUS has a 0.18% expense ratio, which is higher than DMXF's 0.12% 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
EVUS vs. DMXF - Dividend Comparison
EVUS's dividend yield for the trailing twelve months is around 1.53%, less than DMXF's 4.26% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
DMXF iShares ESG Advanced MSCI EAFE ETF | 4.26% | 4.85% | 2.92% | 2.29% | 2.37% | 1.91% | 0.31% |
EVUS Ishares ESG Aware MSCI USA Value ETF | 1.53% | 1.62% | 1.99% | 2.31% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EVUS and DMXF have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DMXF has higher volatility (6.29%) compared to EVUS (3.27%). In terms of maximum drawdown, EVUS dropped -15.65% vs DMXF's -34.52%.
On 3-year performance, EVUS leads with 15.77% vs 15.44% for DMXF. On fees, DMXF is cheaper at 0.12% per year. On volatility, EVUS has been the lower-risk option at 3.27%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, EVUS has performed better with a 15.77% return vs 15.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DMXF is cheaper with a 0.12% expense ratio, compared with 0.18% for EVUS.
DMXF has the higher dividend yield at 4.26%, compared with 1.53% for EVUS.
EVUS is categorized as Large Cap Value Equities, while DMXF is Foreign Large Cap Equities. EVUS tracks MSCI USA Value Extended ESG Focus Index - Benchmark TR Gross, while DMXF tracks MSCI EAFE Choice ESG Screened Index. Their fees differ too: 0.18% for EVUS and 0.12% for DMXF.
EVUS currently has the higher Sharpe Ratio (2.04 vs 1.19), 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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