EFIV vs. ESGD
Compare and contrast key facts about SPDR S&P 500 ESG ETF (EFIV) and iShares ESG Aware MSCI EAFE ETF (ESGD).
EFIV and ESGD are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. EFIV is a passively managed fund by State Street that tracks the performance of the S&P 500 ESG Index. It was launched on Jul 27, 2020. ESGD is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Extended ESG Focus Index. It was launched on Jun 28, 2016. Both EFIV and ESGD 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: EFIV or ESGD.
Performance
EFIV vs. ESGD - Performance Comparison
Returns By Period
In the year-to-date period, EFIV achieves a 25.08% return, which is significantly higher than ESGD's 4.68% return.
EFIV
25.08%
1.08%
11.87%
31.29%
N/A
N/A
ESGD
4.68%
-4.50%
-2.45%
11.33%
5.72%
N/A
Key characteristics
| EFIV | ESGD | |
|---|---|---|
| Sharpe Ratio | 2.51 | 0.84 |
| Sortino Ratio | 3.37 | 1.23 |
| Omega Ratio | 1.46 | 1.15 |
| Calmar Ratio | 3.44 | 1.26 |
| Martin Ratio | 15.22 | 3.84 |
| Ulcer Index | 2.04% | 2.84% |
| Daily Std Dev | 12.36% | 12.92% |
| Max Drawdown | -24.53% | -33.70% |
| Current Drawdown | -1.19% | -8.52% |
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EFIV vs. ESGD - Expense Ratio Comparison
EFIV has a 0.10% expense ratio, which is lower than ESGD's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Correlation
The correlation between EFIV and ESGD is 0.76, 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.
Risk-Adjusted Performance
EFIV vs. ESGD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 ESG ETF (EFIV) and iShares ESG Aware MSCI EAFE ETF (ESGD). 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
EFIV vs. ESGD - Dividend Comparison
EFIV's dividend yield for the trailing twelve months is around 1.16%, less than ESGD's 3.06% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|
EFIV SPDR S&P 500 ESG ETF | 1.16% | 1.37% | 1.64% | 1.18% | 0.65% | 0.00% | 0.00% | 0.00% | 0.00% |
ESGD iShares ESG Aware MSCI EAFE ETF | 3.06% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% |
Drawdowns
EFIV vs. ESGD - Drawdown Comparison
The maximum EFIV drawdown since its inception was -24.53%, smaller than the maximum ESGD drawdown of -33.70%. Use the drawdown chart below to compare losses from any high point for EFIV and ESGD. For additional features, visit the drawdowns tool.
Volatility
EFIV vs. ESGD - Volatility Comparison
SPDR S&P 500 ESG ETF (EFIV) and iShares ESG Aware MSCI EAFE ETF (ESGD) have volatilities of 4.02% and 3.94%, 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.