DEMZ vs. ESGU
Compare and contrast key facts about Democratic Large Cap Core ETF (DEMZ) and iShares ESG MSCI USA ETF (ESGU).
DEMZ and ESGU are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. DEMZ is a passively managed fund by Reflection Asset Management, LLC that tracks the performance of the Democratic Large Cap Core Index. It was launched on Nov 2, 2020. ESGU is a passively managed fund by iShares that tracks the performance of the MSCI USA ESG Focus Index. It was launched on Dec 1, 2016. Both DEMZ and ESGU are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DEMZ or ESGU.
Key characteristics
| DEMZ | ESGU | |
|---|---|---|
| YTD Return | 21.19% | 21.90% |
| 1Y Return | 33.65% | 34.37% |
| 3Y Return (Ann) | 7.77% | 7.25% |
| Sharpe Ratio | 2.63 | 2.80 |
| Sortino Ratio | 3.52 | 3.73 |
| Omega Ratio | 1.48 | 1.52 |
| Calmar Ratio | 3.78 | 3.54 |
| Martin Ratio | 16.12 | 18.20 |
| Ulcer Index | 2.14% | 1.90% |
| Daily Std Dev | 13.13% | 12.35% |
| Max Drawdown | -27.17% | -33.87% |
| Current Drawdown | -2.46% | -1.36% |
Correlation
The correlation between DEMZ and ESGU is 0.88, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
DEMZ vs. ESGU - Performance Comparison
The year-to-date returns for both investments are quite close, with DEMZ having a 21.19% return and ESGU slightly higher at 21.90%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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DEMZ vs. ESGU - Expense Ratio Comparison
DEMZ has a 0.45% expense ratio, which is higher than ESGU's 0.15% expense ratio.
Risk-Adjusted Performance
DEMZ vs. ESGU - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Democratic Large Cap Core ETF (DEMZ) and iShares ESG MSCI USA ETF (ESGU). 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.
Dividends
DEMZ vs. ESGU - Dividend Comparison
DEMZ's dividend yield for the trailing twelve months is around 0.74%, less than ESGU's 1.15% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
DEMZ Democratic Large Cap Core ETF | 0.74% | 0.90% | 0.98% | 2.46% | 0.27% | 0.00% | 0.00% | 0.00% |
ESGU iShares ESG MSCI USA ETF | 1.15% | 1.43% | 1.58% | 1.06% | 1.27% | 1.32% | 1.81% | 1.82% |
Drawdowns
DEMZ vs. ESGU - Drawdown Comparison
The maximum DEMZ drawdown since its inception was -27.17%, smaller than the maximum ESGU drawdown of -33.87%. Use the drawdown chart below to compare losses from any high point for DEMZ and ESGU. For additional features, visit the drawdowns tool.
Volatility
DEMZ vs. ESGU - Volatility Comparison
Democratic Large Cap Core ETF (DEMZ) and iShares ESG MSCI USA ETF (ESGU) have volatilities of 3.49% and 3.33%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.