ESG.TO vs. USCL.TO

Last updated Apr 1, 2026

Compare and contrast key facts about Invesco S&P 500 ESG Index ETF (ESG.TO) and Global X Enhanced S&P 500 Covered Call ETF (USCL.TO).

ESG.TO and USCL.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. USCL.TO is an actively managed fund by Global X. It was launched on Jul 5, 2023.

Performance

ESG.TO vs. USCL.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 Global X Enhanced S&P 500 Covered Call ETF (USCL.TO). The values are adjusted to include any dividend payments, if applicable.

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

	2026 (YTD)	2025	2024	2023
ESG.TO Invesco S&P 500 ESG Index ETF	-3.46%	10.99%	33.33%	7.74%
USCL.TO Global X Enhanced S&P 500 Covered Call ETF	-5.43%	10.03%	38.54%	4.33%

Returns By Period

In the year-to-date period, ESG.TO achieves a -3.46% return, which is significantly higher than USCL.TO's -5.43% 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*: —

USCL.TO

• 1D: 0.00%
• 1M: -6.20%
• YTD: -5.43%
• 6M: -3.57%
• 1Y: 8.98%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

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

ESG.TO has a 0.20% expense ratio, which is higher than USCL.TO's 0.04% 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%.

ESG.TO

Invesco S&P 500 ESG Index ETF

USCL.TO

Global X Enhanced S&P 500 Covered Call ETF

Return for Risk

ESG.TO vs. USCL.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: 41
ESG.TO Sharpe Ratio Rank: 40
ESG.TO Sortino Ratio Rank: 40
ESG.TO Omega Ratio Rank: 44
ESG.TO Calmar Ratio Rank: 41
ESG.TO Martin Ratio Rank: 41

USCL.TO

USCL.TO Risk / Return Rank: 30
USCL.TO Sharpe Ratio Rank: 27
USCL.TO Sortino Ratio Rank: 28
USCL.TO Omega Ratio Rank: 32
USCL.TO Calmar Ratio Rank: 30
USCL.TO Martin Ratio Rank: 33

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. USCL.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 Global X Enhanced S&P 500 Covered Call ETF (USCL.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.TO	USCL.TO	Difference
Sharpe ratio Return per unit of total volatility	0.77	0.45	+0.32
Sortino ratio Return per unit of downside risk	1.19	0.76	+0.43
Omega ratio Gain probability vs. loss probability	1.18	1.12	+0.05
Calmar ratio Return relative to maximum drawdown	1.09	0.67	+0.42
Martin ratio Return relative to average drawdown	3.97	2.74	+1.23
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. USCL.TO - Sharpe Ratio Comparison

The current ESG.TO Sharpe Ratio is 0.77, which is higher than the USCL.TO Sharpe Ratio of 0.45. The chart below compares the historical Sharpe Ratios of ESG.TO and USCL.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.

Sharpe Ratios by Period

	ESG.TO	USCL.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.77	0.45	+0.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.94	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.96	1.04	-0.07

Correlation

The correlation between ESG.TO and USCL.TO is 0.87, 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.

Dividends

ESG.TO vs. USCL.TO - Dividend Comparison

ESG.TO's dividend yield for the trailing twelve months is around 0.87%, less than USCL.TO's 13.76% yield.

	TTM	2025	2024	2023	2022	2021	2020
ESG.TO Invesco S&P 500 ESG Index ETF	0.87%	0.85%	0.92%	1.11%	1.38%	1.11%	0.95%
USCL.TO Global X Enhanced S&P 500 Covered Call ETF	13.76%	12.94%	11.57%	7.08%	0.00%	0.00%	0.00%

Drawdowns

ESG.TO vs. USCL.TO - Drawdown Comparison

The maximum ESG.TO drawdown since its inception was -22.31%, roughly equal to the maximum USCL.TO drawdown of -21.85%. Use the drawdown chart below to compare losses from any high point for ESG.TO and USCL.TO.

Drawdown Indicators

	ESG.TO	USCL.TO	Difference
Max Drawdown Largest peak-to-trough decline	-22.31%	-21.85%	-0.46%
Max Drawdown (1Y) Largest decline over 1 year	-13.02%	-14.94%	+1.92%
Max Drawdown (5Y) Largest decline over 5 years	-22.31%	—	—
Current Drawdown Current decline from peak	-6.93%	-8.56%	+1.63%
Average Drawdown Average peak-to-trough decline	-4.39%	-2.66%	-1.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.57%	3.63%	-0.06%

Volatility

ESG.TO vs. USCL.TO - Volatility Comparison

Invesco S&P 500 ESG Index ETF (ESG.TO) and Global X Enhanced S&P 500 Covered Call ETF (USCL.TO) have volatilities of 5.29% and 5.13%, 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.

Volatility by Period

	ESG.TO	USCL.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.29%	5.13%	+0.16%
Volatility (6M) Calculated over the trailing 6-month period	9.59%	9.48%	+0.11%
Volatility (1Y) Calculated over the trailing 1-year period	18.52%	20.04%	-1.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.98%	15.62%	-0.64%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.45%	15.62%	+0.83%