How to create a dynamically sized virtual disk that works with both macOS and windows?

I want to make a virtual drive which I want to mount natively on both macos and windows. By natively I mean I don't want to involve virtual machines because they make things slow.

So far I have tried creating a VHD which doesn't agree with macos and I tried creating an image with mac's disk utility but didn't know enough to create something useful.

Please guide. Thanks.