esg
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ESGV Vanguard ESG U.S. Stock ETF | Large Cap Blend Equities, ESG | 25% |
VOO Vanguard S&P 500 ETF | Large Cap Growth Equities | 25% |
VSGX Vanguard ESG International Stock ETF | Foreign Large Cap Equities, ESG | 25% |
VXUS Vanguard Total International Stock ETF | Foreign Large Cap Equities | 25% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in esg, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Sep 20, 2018, corresponding to the inception date of ESGV
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| esg | 16.75% | -1.09% | 6.89% | 24.91% | 10.53% | N/A |
| Portfolio components: | ||||||
ESGV Vanguard ESG U.S. Stock ETF | 26.24% | 2.96% | 14.04% | 35.85% | 15.76% | N/A |
VSGX Vanguard ESG International Stock ETF | 7.62% | -4.76% | 0.88% | 15.33% | 5.00% | N/A |
VOO Vanguard S&P 500 ETF | 26.88% | 2.17% | 13.46% | 35.00% | 15.77% | 13.41% |
VXUS Vanguard Total International Stock ETF | 6.85% | -4.99% | -0.72% | 14.09% | 5.45% | 4.93% |
Monthly Returns
The table below presents the monthly returns of esg, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.07% | 4.12% | 3.11% | -3.63% | 4.44% | 1.80% | 1.95% | 2.42% | 2.30% | -2.59% | 16.75% | ||
| 2023 | 7.88% | -3.30% | 3.12% | 1.55% | -1.05% | 5.41% | 3.63% | -3.13% | -4.25% | -2.88% | 9.12% | 5.17% | 22.08% |
| 2022 | -4.70% | -3.17% | 1.45% | -8.02% | 0.42% | -7.92% | 6.55% | -4.42% | -9.62% | 5.45% | 9.14% | -4.12% | -19.12% |
| 2021 | -0.22% | 2.33% | 2.83% | 4.07% | 1.59% | 1.21% | 0.57% | 2.38% | -4.22% | 4.91% | -2.50% | 3.81% | 17.63% |
| 2020 | -1.50% | -7.13% | -14.11% | 10.32% | 5.11% | 3.34% | 5.16% | 5.90% | -2.66% | -2.15% | 11.51% | 4.96% | 16.89% |
| 2019 | 8.11% | 2.43% | 1.16% | 3.59% | -5.82% | 6.31% | -0.03% | -1.84% | 2.26% | 2.94% | 2.42% | 3.56% | 27.32% |
| 2018 | -0.81% | -7.68% | 1.78% | -7.12% | -13.43% |
Expense Ratio
esg has an expense ratio of 0.08%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of esg is 38, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. 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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
ESGV Vanguard ESG U.S. Stock ETF | 2.87 | 3.79 | 1.53 | 3.77 | 17.59 |
VSGX Vanguard ESG International Stock ETF | 1.36 | 1.97 | 1.25 | 1.03 | 8.23 |
VOO Vanguard S&P 500 ETF | 3.06 | 4.08 | 1.58 | 4.43 | 20.25 |
VXUS Vanguard Total International Stock ETF | 1.33 | 1.90 | 1.24 | 1.23 | 7.70 |
Dividends
Dividend yield
esg provided a 2.10% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.10% | 2.16% | 2.20% | 1.95% | 1.61% | 2.12% | 1.47% | 1.13% | 1.24% | 1.23% | 1.31% | 1.13% |
| Portfolio components: | ||||||||||||
ESGV Vanguard ESG U.S. Stock ETF | 1.06% | 1.16% | 1.42% | 0.95% | 1.11% | 1.27% | 0.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VSGX Vanguard ESG International Stock ETF | 3.11% | 2.77% | 2.61% | 2.50% | 1.67% | 2.28% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.23% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
VXUS Vanguard Total International Stock ETF | 3.00% | 3.25% | 3.09% | 3.10% | 2.14% | 3.06% | 3.17% | 2.73% | 2.93% | 2.83% | 3.40% | 2.70% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the esg. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the esg was 33.46%, occurring on Mar 23, 2020. Recovery took 103 trading sessions.
The current esg drawdown is 1.45%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.46% | Feb 13, 2020 | 27 | Mar 23, 2020 | 103 | Aug 18, 2020 | 130 |
| -27.68% | Nov 9, 2021 | 233 | Oct 12, 2022 | 333 | Feb 9, 2024 | 566 |
| -17.43% | Sep 21, 2018 | 65 | Dec 24, 2018 | 81 | Apr 23, 2019 | 146 |
| -8.28% | Jul 17, 2024 | 14 | Aug 5, 2024 | 14 | Aug 23, 2024 | 28 |
| -7.05% | Sep 3, 2020 | 14 | Sep 23, 2020 | 13 | Oct 12, 2020 | 27 |
Volatility
Volatility Chart
The current esg volatility is 3.24%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| ESGV | VXUS | VSGX | VOO | |
|---|---|---|---|---|
| ESGV | 1.00 | 0.80 | 0.81 | 0.99 |
| VXUS | 0.80 | 1.00 | 0.99 | 0.81 |
| VSGX | 0.81 | 0.99 | 1.00 | 0.81 |
| VOO | 0.99 | 0.81 | 0.81 | 1.00 |