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

ESG.TO vs. TLV.TO

Last updated Apr 1, 2026

Compare and contrast key facts about Invesco S&P 500 ESG Index ETF (ESG.TO) and Invesco S&P/TSX Composite Low Volatility Index ETF (TLV.TO).

ESG.TO and TLV.TO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESG.TO is a passively managed fund by Invesco that tracks the performance of the S&P 500 Equal Weight ESG Leaders Select Index. It was launched on Mar 5, 2020. TLV.TO is a passively managed fund by Invesco that tracks the performance of the S&P/TSX Composite Low Volatility Index. It was launched on Apr 24, 2012. Both ESG.TO and TLV.TO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

ESG.TO vs. TLV.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 S&P/TSX Composite Low Volatility Index ETF (TLV.TO). The values are adjusted to include any dividend payments, if applicable.

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

2026 (YTD)202520242023202220212020
ESG.TO
Invesco S&P 500 ESG Index ETF		-3.46%10.99%33.33%25.19%-14.05%32.71%19.30%
TLV.TO
Invesco S&P/TSX Composite Low Volatility Index ETF		3.87%22.51%20.36%4.75%-10.22%21.67%-9.43%

Returns By Period

In the year-to-date period, ESG.TO achieves a -3.46% return, which is significantly lower than TLV.TO's 3.87% return.

ESG.TO

1D
3.05%
1M
-3.23%
YTD
-3.46%
6M
-2.19%
1Y
14.25%
3Y*
18.23%
5Y*
14.03%
10Y*
—

TLV.TO

1D
-0.25%
1M
-2.73%
YTD
3.87%
6M
9.54%
1Y
23.51%
3Y*
16.04%
5Y*
9.94%
10Y*
8.39%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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 S&P/TSX Composite Low Volatility Index ETF

Often compared with ESG.TO:
ESG.TO vs. INAI.TOESG.TO vs. ZSP-U.TOESG.TO vs. HIU.TOESG.TO vs. GEQT.TOESG.TO vs. QQCI.TOESG.TO vs. EQLI.TOESG.TO vs. QQCE.TO
Often compared with TLV.TO:
TLV.TO vs. CLSA.TOTLV.TO vs. XIC.TOTLV.TO vs. VCE.TOTLV.TO vs. XDV.TOTLV.TO vs. XCS.TOTLV.TO vs. CANY.TOTLV.TO vs. FCCM.NEO

ESG.TO vs. TLV.TO - Expense Ratio Comparison

ESG.TO has a 0.20% expense ratio, which is lower than TLV.TO's 0.33% expense ratio.

TLV.TO
Invesco S&P/TSX Composite Low Volatility Index ETF
ESG.TO
Invesco S&P 500 ESG Index ETF

Return for Risk

ESG.TO vs. TLV.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: 4141
Overall Rank
ESG.TO Sharpe Ratio Rank: 4040
Sharpe Ratio Rank
ESG.TO Sortino Ratio Rank: 4040
Sortino Ratio Rank
ESG.TO Omega Ratio Rank: 4444
Omega Ratio Rank
ESG.TO Calmar Ratio Rank: 4141
Calmar Ratio Rank
ESG.TO Martin Ratio Rank: 4141
Martin Ratio Rank
TLV.TO
TLV.TO Risk / Return Rank: 9696
Overall Rank
TLV.TO Sharpe Ratio Rank: 9696
Sharpe Ratio Rank
TLV.TO Sortino Ratio Rank: 9696
Sortino Ratio Rank
TLV.TO Omega Ratio Rank: 9797
Omega Ratio Rank
TLV.TO Calmar Ratio Rank: 9393
Calmar Ratio Rank
TLV.TO Martin Ratio Rank: 9797
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. TLV.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 S&P/TSX Composite Low Volatility Index ETF (TLV.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.

ESG.TOTLV.TODifference

Sharpe ratio

Return per unit of total volatility

0.77

2.61

-1.84

Sortino ratio

Return per unit of downside risk

1.19

3.46

-2.27

Omega ratio

Gain probability vs. loss probability

1.18

1.56

-0.38

Calmar ratio

Return relative to maximum drawdown

1.09

3.62

-2.53

Martin ratio

Return relative to average drawdown

3.97

19.44

-15.47

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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

The current ESG.TO Sharpe Ratio is 0.77, which is lower than the TLV.TO Sharpe Ratio of 2.61. The chart below compares the historical Sharpe Ratios of ESG.TO and TLV.TO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

ESG.TOTLV.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.77

2.61

-1.84

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.94

1.01

-0.07

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.67

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.96

-0.13

+1.09

Correlation

The correlation between ESG.TO and TLV.TO is 0.42, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

ESG.TO vs. TLV.TO - Dividend Comparison

ESG.TO's dividend yield for the trailing twelve months is around 0.87%, less than TLV.TO's 3.16% yield.

TTM20252024202320222021202020192018201720162015
ESG.TO
Invesco S&P 500 ESG Index ETF		0.87%0.85%0.92%1.11%1.38%1.11%0.95%0.00%0.00%0.00%0.00%0.00%
TLV.TO
Invesco S&P/TSX Composite Low Volatility Index ETF		3.16%3.25%3.40%4.12%4.01%2.49%2.75%3.74%4.28%3.58%3.46%4.08%

Drawdowns

ESG.TO vs. TLV.TO - Drawdown Comparison

The maximum ESG.TO drawdown since its inception was -22.31%, smaller than the maximum TLV.TO drawdown of -81.40%. Use the drawdown chart below to compare losses from any high point for ESG.TO and TLV.TO.

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Drawdown Indicators

ESG.TOTLV.TODifference

Max Drawdown

Largest peak-to-trough decline

-22.31%

-81.40%

+59.09%

Max Drawdown (1Y)

Largest decline over 1 year

-13.02%

-6.57%

-6.45%

Max Drawdown (5Y)

Largest decline over 5 years

-22.31%

-19.36%

-2.95%

Max Drawdown (10Y)

Largest decline over 10 years

—

-37.68%

—

Current Drawdown

Current decline from peak

-6.93%

-36.54%

+29.61%

Average Drawdown

Average peak-to-trough decline

-4.39%

-64.71%

+60.32%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.57%

1.22%

+2.35%

Volatility

ESG.TO vs. TLV.TO - Volatility Comparison

Invesco S&P 500 ESG Index ETF (ESG.TO) has a higher volatility of 5.29% compared to Invesco S&P/TSX Composite Low Volatility Index ETF (TLV.TO) at 3.26%. This indicates that ESG.TO's price experiences larger fluctuations and is considered to be riskier than TLV.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESG.TOTLV.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.29%

3.26%

+2.03%

Volatility (6M)

Calculated over the trailing 6-month period

9.59%

5.72%

+3.87%

Volatility (1Y)

Calculated over the trailing 1-year period

18.52%

9.05%

+9.47%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.98%

9.89%

+5.09%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.45%

12.67%

+3.78%