PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
ESG.TO vs. PFL.TO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESG.TO vs. PFL.TO

Last updated Jul 14, 2026
Documentation

ESG.TO (Invesco S&P 500 ESG Index ETF) and PFL.TO (Invesco Canadian Government Floating Rate Index 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 PFL.TO is a Canadian Government Bonds fund tracking the FTSE Canada Government Floating Rate Note Index. Both are passively managed. Over the past 5 years, ESG.TO returned 15.52%/yr vs 3.13%/yr for PFL.TO. At a 0.08 correlation, their price movements are largely independent.

Performance

ESG.TO vs. PFL.TO - 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 Invesco Canadian Government Floating Rate Index ETF (PFL.TO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ESG.TO achieves a 12.61% return, which is significantly higher than PFL.TO's 1.26% return.

ESG.TO

1D
-0.84%
1M
1.38%
6M
10.09%
YTD
12.61%
1Y
24.82%
3Y*
21.40%
5Y*
15.52%
10Y*
—

PFL.TO

1D
0.00%
1M
0.30%
6M
1.15%
YTD
1.26%
1Y
2.67%
3Y*
3.72%
5Y*
3.13%
10Y*
2.15%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESG.TO vs. PFL.TO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
ESG.TO
Invesco S&P 500 ESG Index ETF		12.61%10.99%34.27%25.18%-14.64%33.63%22.64%
PFL.TO
Invesco Canadian Government Floating Rate Index ETF		1.26%3.00%4.53%5.09%1.78%0.25%0.75%

Correlation

The correlation between ESG.TO and PFL.TO is 0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.01

Correlation (3Y)
Calculated over the trailing 3-year period

0.04

Correlation (5Y)
Calculated over the trailing 5-year period

0.08

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

0.08

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

Invesco Canadian Government Floating Rate Index ETF

Often compared with ESG.TO:
ESG.TO vs. INAI.TOESG.TO vs. EQLI.TOESG.TO vs. TLV.TOESG.TO vs. ZSP-U.TOESG.TO vs. USCC.TOESG.TO vs. GEQT.TOESG.TO vs. QQC.TO
Often compared with PFL.TO:
PFL.TO vs. XLB.TOPFL.TO vs. ZSB.TOPFL.TO vs. XSTB.TOPFL.TO vs. XFR.TOPFL.TO vs. ESGC.TOPFL.TO vs. QQC-F.TOPFL.TO vs. QQC.TO

Return for Risk

ESG.TO vs. PFL.TO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ESG.TO
ESG.TO Risk / Return Rank: 7373
Overall Rank
ESG.TO Sharpe Ratio Rank: 7777
Sharpe Ratio Rank
ESG.TO Sortino Ratio Rank: 7979
Sortino Ratio Rank
ESG.TO Omega Ratio Rank: 7777
Omega Ratio Rank
ESG.TO Calmar Ratio Rank: 6565
Calmar Ratio Rank
ESG.TO Martin Ratio Rank: 6666
Martin Ratio Rank
PFL.TO
PFL.TO Risk / Return Rank: 9797
Overall Rank
PFL.TO Sharpe Ratio Rank: 9696
Sharpe Ratio Rank
PFL.TO Sortino Ratio Rank: 9797
Sortino Ratio Rank
PFL.TO Omega Ratio Rank: 9797
Omega Ratio Rank
PFL.TO Calmar Ratio Rank: 9999
Calmar Ratio Rank
PFL.TO Martin Ratio Rank: 9898
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ESG.TO vs. PFL.TO - 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 Invesco Canadian Government Floating Rate Index ETF (PFL.TO). 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.TOPFL.TODifference
Sharpe ratioReturn per unit of total volatility
1.95
3.26

-1.30

Sortino ratioReturn per unit of downside risk
2.78
5.65

-2.87

Omega ratioGain probability vs. loss probability

1.36

1.77

-0.41

Calmar ratioReturn relative to maximum drawdown

2.57

17.43

-14.86

Martin ratioReturn relative to average drawdown

9.37

56.45

-47.08

ESG.TO vs. PFL.TO - Sharpe Ratio Comparison

The current ESG.TO Sharpe Ratio is 1.95, which is lower than the PFL.TO Sharpe Ratio of 3.26. The chart below compares the historical Sharpe Ratios of ESG.TO and PFL.TO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

ESG.TO vs. PFL.TO - Drawdown Comparison

The maximum ESG.TO drawdown since its inception was -22.58%, which is greater than PFL.TO's maximum drawdown of -2.07%. Use the drawdown chart below to compare losses from any high point for ESG.TO and PFL.TO.

Loading charts...

Drawdown Indicators

ESG.TOPFL.TODifference

Max Drawdown

Largest peak-to-trough decline

-22.58%

-2.07%

-20.51%

Max Drawdown (1Y)

Largest decline over 1 year

-9.68%

-0.15%

-9.53%

Max Drawdown (3Y)

Largest decline over 3 years

-19.63%

-0.22%

-19.41%

Max Drawdown (5Y)

Largest decline over 5 years

-22.58%

-0.30%

-22.28%

Max Drawdown (10Y)

Largest decline over 10 years

—

-2.07%

—

Current Drawdown

Current decline from peak

-1.29%

0.00%

-1.29%

Average Drawdown

Average peak-to-trough decline

-4.30%

-0.08%

-4.22%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.66%

0.05%

+2.61%

Volatility

ESG.TO vs. PFL.TO - Volatility Comparison

Invesco S&P 500 ESG Index ETF (ESG.TO) has a higher volatility of 4.19% compared to Invesco Canadian Government Floating Rate Index ETF (PFL.TO) at 0.27%. This indicates that ESG.TO's price experiences larger fluctuations and is considered to be riskier than PFL.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ESG.TOPFL.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.19%

0.27%

+3.92%

Volatility (6M)

Calculated over the trailing 6-month period

10.29%

0.56%

+9.73%

Volatility (1Y)

Calculated over the trailing 1-year period

12.78%

0.82%

+11.96%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.09%

0.97%

+14.12%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.55%

1.33%

+15.22%

Dividends

ESG.TO vs. PFL.TO - Dividend Comparison

ESG.TO's dividend yield for the trailing twelve months is around 0.76%, less than PFL.TO's 2.63% yield.

PositionTTM20252024202320222021202020192018201720162015
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%0.00%0.00%0.00%
PFL.TO
Invesco Canadian Government Floating Rate Index ETF		2.63%2.95%5.23%5.13%2.22%0.36%1.21%2.10%1.59%0.95%0.81%0.95%

Frequently Asked Questions

ESG.TO and PFL.TO have a correlation of 0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESG.TO is categorized as S&P 500, while PFL.TO is Canadian Government Bonds. ESG.TO tracks S&P 500 Equal Weight ESG Leaders Select Index, while PFL.TO tracks FTSE Canada Government Floating Rate Note Index.

Portfolio Optimizer

Find the right allocation for ESG.TO and PFL.TO

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer