The energy distance is used to test distributional equality, and as a loss function in machine learning. While $D^2(X, Y)=0$ only when $X\sim Y$, the sensitivity to different moments is of practical importance. This work considers $D^2(X, Y)$ in the case where the distributions are close. In this regime, $D^2(X, Y)$ is more sensitive to differences in the means $\bar{X}-\bar{Y}$, than differences in the covariances $Δ$. This is due to the structure of the energy distance and is independent of dimension. The sensitivity to on versus off diagonal components of $Δ$ is examined when $X$ and $Y$ are close to isotropic. Here a dimension dependent averaging occurs and, in many cases, off diagonal correlations contribute significantly less. Numerical results verify these relationships hold even when distributional assumptions are not strictly met.