iShares ESG Advanced MSCI EAFE Index ETF

10-Year Study

DMXF.US · · US · ETF

Executive Summary: iShares ESG Advanced MSCI EAFE Index ETF has compounded at 10.9% annually over the last 10 years, with a maximum drawdown of 32.0% and an annualized volatility of 15.0%.

1Y CAGR
+17.4%
3Y CAGR
+14.9%
5Y CAGR
+6.3%
10Y CAGR
+10.9%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
32.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.48
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.87
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
16.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +22.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -19.3%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20263.85.2-8.17.2————————7.6%
20254.31.4-1.44.04.63.2-3.63.22.21.4-0.41.522.1%
20240.14.32.1-3.95.2-0.72.43.01.2-6.00.1-3.44.0%
20239.4-3.23.72.4-2.43.72.4-4.1-4.5-3.010.15.820.5%
2022-6.1-4.6-0.9-7.72.8-8.25.7-6.2-9.94.613.6-1.3-19.3%
2021-0.81.81.72.83.5-1.01.32.7-3.83.1-3.93.510.9%
2020——————4.24.8-0.9-3.512.85.524.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 15.0%. The dominant macroeconomic risk driver is VEA.US, accounting for 88.7% of variance. Idiosyncratic stock-specific factors contribute 1.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-06-0110000
2020-07-0110418.506839671227
2020-08-0110914.544289785656
2020-09-0110814.082727990928
2020-10-0110434.352511878595
2020-11-0111773.108083330126
2020-12-0112418.660769058382
2021-01-0112316.50145667001
2021-02-0112536.529933606635
2021-03-0112752.053712301447
2021-04-0113102.74107492513
2021-05-0113556.198940150896
2021-06-0113422.936836886915
2021-07-0113593.436269838217
2021-08-0113960.014578018432
2021-09-0113434.843727717023
2021-10-0113856.13487836183
2021-11-0113311.722854665757
2021-12-0113772.17545233735
2022-01-0112929.661061071485
2022-02-0112332.279218853635
2022-03-0112216.10780489903
2022-04-0111270.868184380242
2022-05-0111581.284902922622
2022-06-0110625.926688865698
2022-07-0111235.147511889914
2022-08-0110534.22552013419
2022-09-019490.991735350111
2022-10-019922.9673963976
2022-11-0111271.818924712685
2022-12-0111120.515391806883
2023-01-0112167.597411269895
2023-02-0111780.329182521771
2023-03-0112210.629729650196
2023-04-0112507.758720212965
2023-05-0112208.592428937818
2023-06-0112662.299297583988
2023-07-0112967.894404440412
2023-08-0112431.541036895516
2023-09-0111868.182116574348
2023-10-0111506.448056754673
2023-11-0112664.38187164553
2023-12-0113402.586466437735
2024-01-0113421.488089713668
2024-02-0113998.451651458594
2024-03-0114294.290351570193
2024-04-0113734.1005656905
2024-05-0114449.532665853256
2024-06-0114353.93798909365
2024-07-0114703.493517988236
2024-08-0115150.545204307306
2024-09-0115335.7358390623
2024-10-0114416.098297495706
2024-11-0114433.143713455918
2024-12-0113937.55899683313
2025-01-0114530.685144229572
2025-02-0114729.118233615009
2025-03-0114524.211055299134
2025-04-0115108.735266354432
2025-05-0115801.077958443593
2025-06-0116306.962362001173
2025-07-0115724.249084912431
2025-08-0116230.269308517501
2025-09-0116591.731728242194
2025-10-0116826.134493538364
2025-11-0116758.22446979249
2025-12-0117013.72461579904
2026-01-0117661.133508843017
2026-02-0118584.70983178687
2026-03-0117079.37097208672
2026-04-0118304.264070391004
Annual Return Matrix
YearAnnual Return
20210.10899039022398505
2022-0.19253748761096712
20230.20521270770527278
20240.039915618655776086
20250.22071050028666228
20260.0758528472591804
Total Factor Risk
0.14951997768248204
VTI.US Exposure
-0.015154255508472072
VEA.US Exposure
0.8866299054273105
VWO.US Exposure
-0.0021296791098078956
QQQ.US Exposure
0.00559205205496875
VTV.US Exposure
-0.07971584287748991
IJR.US Exposure
0.03299989652696269
QUAL.US Exposure
0.13192513762628477
SHV.US Exposure
0.0034139009713392335
TLT.US Exposure
0.0012091449147627739
LQD.US Exposure
0.05196129398944829
HYG.US Exposure
-0.031657376916897156
GLD.US Exposure
-0.015145476558821053
USO.US Exposure
0.00895831940830521
VNQ.US Exposure
-0.010162297763110173
BTC-USD.CC Exposure
-0.0033470896447003965
CPER.US Exposure
-0.0030262190041740536
VIX.INDX Exposure
0.000499756481981323
UUP.US Exposure
0.02769945939592497
TIP.US Exposure
-0.009579291442826822
Idiosyncratic Exposure
0.019028662029010983
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.0%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+9.9%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.9% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.06
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares ESG Advanced MSCI EAFE Index ETF a high-risk investment?

iShares ESG Advanced MSCI EAFE Index ETF (DMXF.US) has an annualized volatility of 15.0% and experienced a maximum drawdown of 32.0% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of DMXF.US?

Over the past 10 years, DMXF.US has generated a Compound Annual Growth Rate (CAGR) of 10.9%. It has had a positive return in 83% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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