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ESG.TO vs. ESGV
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESG.TO vs. ESGV

Last updated Aug 4, 2026
Documentation

ESG.TO (Invesco S&P 500 ESG Index ETF) and ESGV (Vanguard ESG U.S. Stock ETF) are both exchange-traded funds - ESG.TO is a S&P 500 fund tracking the S&P 500 Equal Weight ESG Leaders Select Index, while ESGV is a Large Cap Blend Equities fund tracking the FTSE US All Cap Choice Index. Both are passively managed. Over the past 5 years, ESG.TO returned 15.44%/yr vs 14.12%/yr for ESGV. Their 0.67 correlation means they have sometimes moved together and sometimes differently. ESG.TO charges 0.20%/yr vs 0.09%/yr for ESGV.

Performance

ESG.TO vs. ESGV - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Invesco S&P 500 ESG Index ETF (ESG.TO) and Vanguard ESG U.S. Stock ETF (ESGV). The values are adjusted to include any dividend payments, if applicable.

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Different Trading Currencies

ESG.TO is traded in CAD, while ESGV is traded in USD. To make them comparable, the ESGV values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, ESG.TO achieves a 12.03% return, which is significantly lower than ESGV's 13.93% return.

ESG.TO

1D
1.72%
1M
-1.42%
6M
10.10%
YTD
12.03%
1Y
23.22%
3Y*
20.29%
5Y*
15.44%
10Y*
—
ALL TIME*
18.10%

ESGV

1D
1.55%
1M
0.17%
6M
13.23%
YTD
13.93%
1Y
24.55%
3Y*
22.54%
5Y*
14.12%
10Y*
—
ALL TIME*
15.76%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

ESG.TO

Invesco S&P 500 ESG Index ETF
CA$62.92KCA$100.63KCA$177.78K

ESGV

Vanguard ESG U.S. Stock ETF
CA$21.33MCA$25.36MCA$35.61M

ESG.TO vs. ESGV - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
ESG.TO
Invesco S&P 500 ESG Index ETF		12.03%10.99%34.27%25.18%-14.64%33.63%22.64%
ESGV
Vanguard ESG U.S. Stock ETF		13.93%11.16%35.25%27.68%-19.23%26.49%14.16%

Correlation

The correlation between ESG.TO and ESGV is 0.75, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.75

Correlation (3Y)
Balances recent behavior with more history.

0.75

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.72

Correlation (All Time)
Calculated using the full available price history since Feb 18, 2020

0.67

The correlation between ESG.TO and ESGV has been stable across timeframes, ranging from 0.67 to 0.75 - a consistent structural relationship.

ESG.TO vs. ESGV - Sectors Allocation Comparison

Sectors
ESG.TO
ESGV

Technology

38.1%
43.1%

Communication Services

12.3%
11.2%

Financial Services

12.3%
11.9%

Healthcare

10.6%
10.1%

Industrials

7.0%
4.2%

Consumer Defensive

5.0%
3.7%

Consumer Cyclical

4.9%
11.2%

Energy

2.7%
0.0%

Real Estate

2.2%
2.6%

Utilities

2.0%
0.1%

Basic Materials

2.0%
2.0%

Technology

ESG.TO
38.1%
ESGV
43.1%

Communication Services

ESG.TO
12.3%
ESGV
11.2%

Financial Services

ESG.TO
12.3%
ESGV
11.9%

Healthcare

ESG.TO
10.6%
ESGV
10.1%

Industrials

ESG.TO
7.0%
ESGV
4.2%

Consumer Defensive

ESG.TO
5.0%
ESGV
3.7%

Consumer Cyclical

ESG.TO
4.9%
ESGV
11.2%

Energy

ESG.TO
2.7%
ESGV
0.0%

Real Estate

ESG.TO
2.2%
ESGV
2.6%

Utilities

ESG.TO
2.0%
ESGV
0.1%

Basic Materials

ESG.TO
2.0%
ESGV
2.0%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco S&P 500 ESG Index ETF

Vanguard ESG U.S. Stock ETF

Often compared with ESG.TO:
ESG.TO vs. INAI.TOESG.TO vs. EQLI.TOESG.TO vs. USCC.TOESG.TO vs. TLV.TOESG.TO vs. ZSP-U.TOESG.TO vs. GEQT.TOESG.TO vs. QQCI.TO
Often compared with ESGV:
ESGV vs. VTIESGV vs. VOOESGV vs. ESGUESGV vs. SPYESGV vs. VFTAXESGV vs. ESGDESGV vs. VESGX

Return for Risk

ESG.TO vs. ESGV — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
ESG.TO
ESG.TO Risk / Return Rank: 6161
Overall Rank
ESG.TO Sharpe Ratio Rank: 6464
Sharpe Ratio Rank
ESG.TO Sortino Ratio Rank: 6464
Sortino Ratio Rank
ESG.TO Omega Ratio Rank: 6363
Omega Ratio Rank
ESG.TO Calmar Ratio Rank: 5757
Calmar Ratio Rank
ESG.TO Martin Ratio Rank: 6060
Martin Ratio Rank
ESGV
ESGV Risk / Return Rank: 6464
Overall Rank
ESGV Sharpe Ratio Rank: 6868
Sharpe Ratio Rank
ESGV Sortino Ratio Rank: 6666
Sortino Ratio Rank
ESGV Omega Ratio Rank: 6666
Omega Ratio Rank
ESGV Calmar Ratio Rank: 5555
Calmar Ratio Rank
ESGV Martin Ratio Rank: 6565
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ESG.TO vs. ESGV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 ESG Index ETF (ESG.TO) and Vanguard ESG U.S. Stock ETF (ESGV). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

ESG.TOESGVDifference
Sharpe ratioReturn per unit of total volatility
1.60
1.67

-0.07

Sortino ratioReturn per unit of downside risk
2.29
2.34

-0.06

Omega ratioGain probability vs. loss probability

1.29

1.29

0.00

Calmar ratioReturn relative to maximum drawdown

2.16

2.11

+0.06

Martin ratioReturn relative to average drawdown

7.67

7.44

+0.23

ESG.TO vs. ESGV - Sharpe Ratio Comparison

The current ESG.TO Sharpe Ratio is 1.60, which is comparable to the ESGV Sharpe Ratio of 1.67. The chart below compares the historical Sharpe Ratios of ESG.TO and ESGV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

ESG.TO vs. ESGV - Drawdown Comparison

The maximum ESG.TO drawdown since its inception was -22.58%, smaller than the maximum ESGV drawdown of -27.62%. Use the drawdown chart below to compare losses from any high point for ESG.TO and ESGV.

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Drawdown Indicators

ESG.TOESGVDifference

Max Drawdown

Largest peak-to-trough decline

-22.58%

-27.62%

+5.04%

Max Drawdown (1Y)

Largest decline over 1 year

-9.68%

-11.70%

+2.02%

Max Drawdown (3Y)

Largest decline over 3 years

-19.63%

-21.19%

+1.56%

Max Drawdown (5Y)

Largest decline over 5 years

-22.58%

-27.18%

+4.60%

Current Drawdown

Current decline from peak

-1.80%

-0.86%

-0.94%

Average Drawdown

Average peak-to-trough decline

-4.29%

-5.54%

+1.25%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.73%

3.31%

-0.58%

Volatility

ESG.TO vs. ESGV - Volatility Comparison

The current volatility for Invesco S&P 500 ESG Index ETF (ESG.TO) is 4.08%, while Vanguard ESG U.S. Stock ETF (ESGV) has a volatility of 4.35%. This indicates that ESG.TO experiences smaller price fluctuations and is considered to be less risky than ESGV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESG.TOESGVDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.08%

4.35%

-0.27%

Volatility (6M)

Calculated over the trailing 6-month period

10.50%

11.89%

-1.39%

Volatility (1Y)

Calculated over the trailing 1-year period

13.11%

14.83%

-1.72%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.15%

19.42%

-4.27%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.55%

21.41%

-4.86%

ESG.TO vs. ESGV - Expense Ratio Comparison

ESG.TO has a 0.20% expense ratio, which is higher than ESGV's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

ESG.TO vs. ESGV - Dividend Comparison

ESG.TO's dividend yield for the trailing twelve months is around 0.76%, less than ESGV's 0.86% yield.

PositionTTM20252024202320222021202020192018
ESG.TO
Invesco S&P 500 ESG Index ETF		0.76%0.86%0.92%1.11%1.38%1.10%0.95%0.00%0.00%
ESGV
Vanguard ESG U.S. Stock ETF		0.86%0.91%1.04%1.16%1.42%0.95%1.11%1.27%0.28%

Frequently Asked Questions

ESG.TO and ESGV have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, ESGV is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.

ESGV is cheaper with a 0.09% expense ratio, compared with 0.20% for ESG.TO.

ESG.TO is categorized as S&P 500, while ESGV is Large Cap Blend Equities. ESG.TO tracks S&P 500 Equal Weight ESG Leaders Select Index, while ESGV tracks FTSE US All Cap Choice Index. They also come from different issuers: Invesco and Vanguard. Their fees differ too: 0.20% for ESG.TO and 0.09% for ESGV.

Portfolio Optimizer

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