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

ESG.TO vs. USXF

Last updated Jun 4, 2026

ESG.TO (Invesco S&P 500 ESG Index ETF) and USXF (iShares ESG Advanced MSCI USA 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 USXF is a Large Cap Growth Equities fund tracking the MSCI USA Choice ESG Screened Index. Both are passively managed. Over the past 5 years, ESG.TO returned 16.77%/yr vs 19.01%/yr for USXF. A 0.77 correlation means they provide meaningful diversification when combined. ESG.TO charges 0.20%/yr vs 0.10%/yr for USXF.

Performance

ESG.TO vs. USXF - 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 iShares ESG Advanced MSCI USA ETF (USXF). 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 USXF is traded in USD. To make them comparable, the USXF 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 10.72% return, which is significantly lower than USXF's 22.30% return.

ESG.TO

1D
-0.18%
1M
6.87%
YTD
10.72%
6M
7.79%
1Y
29.42%
3Y*
21.78%
5Y*
16.77%
10Y*
—

USXF

1D
-0.10%
1M
12.52%
YTD
22.30%
6M
20.59%
1Y
36.96%
3Y*
28.86%
5Y*
19.01%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESG.TO vs. USXF - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
ESG.TO
Invesco S&P 500 ESG Index ETF		10.72%10.99%33.33%25.19%-14.05%32.71%13.35%
USXF
iShares ESG Advanced MSCI USA ETF		22.30%11.61%37.00%28.75%-15.59%25.99%16.35%

Correlation

The correlation between ESG.TO and USXF is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

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

0.73

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

0.80

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

0.80

Correlation (All Time)
Calculated using the full available price history since Jun 19, 2020

0.77

The correlation between ESG.TO and USXF has been stable across timeframes, ranging from 0.73 to 0.80 - a consistent structural relationship.

ESG.TO vs. USXF - Sectors Allocation Comparison

Sectors
ESG.TO
USXF

Technology

38.6%
56.6%

Communication Services

14.5%
2.2%

Financial Services

12.0%
14.3%

Healthcare

9.3%
4.6%

Industrials

6.8%
7.7%

Consumer Defensive

5.1%
0.9%

Consumer Cyclical

4.6%
6.3%

Energy

4.2%
0.1%

Real Estate

2.2%
3.7%

Basic Materials

1.9%
2.2%

Utilities

0.8%
1.2%

Technology

ESG.TO
38.6%
USXF
56.6%

Communication Services

ESG.TO
14.5%
USXF
2.2%

Financial Services

ESG.TO
12.0%
USXF
14.3%

Healthcare

ESG.TO
9.3%
USXF
4.6%

Industrials

ESG.TO
6.8%
USXF
7.7%

Consumer Defensive

ESG.TO
5.1%
USXF
0.9%

Consumer Cyclical

ESG.TO
4.6%
USXF
6.3%

Energy

ESG.TO
4.2%
USXF
0.1%

Real Estate

ESG.TO
2.2%
USXF
3.7%

Basic Materials

ESG.TO
1.9%
USXF
2.2%

Utilities

ESG.TO
0.8%
USXF
1.2%

Compare stocks, funds, or ETFs

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Invesco S&P 500 ESG Index ETF

iShares ESG Advanced MSCI USA ETF

Often compared with ESG.TO:
ESG.TO vs. INAI.TOESG.TO vs. TLV.TOESG.TO vs. HIU.TOESG.TO vs. ZSP-U.TOESG.TO vs. USCC.TOESG.TO vs. EQLI.TOESG.TO vs. GEQT.TO
Often compared with USXF:
USXF vs. QQQUSXF vs. SCHGUSXF vs. SPYXUSXF vs. SPYUSXF vs. ESGVUSXF vs. VOOUSXF vs. SMH

Return for Risk

ESG.TO vs. USXF — 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: 7171
Overall Rank
ESG.TO Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
ESG.TO Sortino Ratio Rank: 7777
Sortino Ratio Rank
ESG.TO Omega Ratio Rank: 7878
Omega Ratio Rank
ESG.TO Calmar Ratio Rank: 6262
Calmar Ratio Rank
ESG.TO Martin Ratio Rank: 6363
Martin Ratio Rank
USXF
USXF Risk / Return Rank: 6666
Overall Rank
USXF Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
USXF Sortino Ratio Rank: 6262
Sortino Ratio Rank
USXF Omega Ratio Rank: 6262
Omega Ratio Rank
USXF Calmar Ratio Rank: 6969
Calmar Ratio Rank
USXF Martin Ratio Rank: 7373
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. USXF - 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 iShares ESG Advanced MSCI USA ETF (USXF). 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.TOUSXFDifference
Sharpe ratioReturn per unit of total volatility
2.46
2.33

+0.12

Sortino ratioReturn per unit of downside risk
3.46
3.11

+0.35

Omega ratioGain probability vs. loss probability

1.46

1.42

+0.03

Calmar ratioReturn relative to maximum drawdown

3.05

3.74

-0.69

Martin ratioReturn relative to average drawdown

11.22

12.83

-1.62

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. USXF - Sharpe Ratio Comparison

The current ESG.TO Sharpe Ratio is 2.46, which is comparable to the USXF Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of ESG.TO and USXF, 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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Sharpe Ratios by Period

ESG.TOUSXFDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.46

2.33

+0.12

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.13

1.08

+0.05

Sharpe Ratio (All Time)

Calculated using the full available price history

1.10

1.16

-0.06

Drawdowns

ESG.TO vs. USXF - Drawdown Comparison

The maximum ESG.TO drawdown since its inception was -22.31%, smaller than the maximum USXF drawdown of -26.38%. Use the drawdown chart below to compare losses from any high point for ESG.TO and USXF.

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Drawdown Indicators

ESG.TOUSXFDifference

Max Drawdown

Largest peak-to-trough decline

-22.31%

-26.38%

+4.07%

Max Drawdown (1Y)

Largest decline over 1 year

-9.69%

-9.93%

+0.24%

Max Drawdown (3Y)

Largest decline over 3 years

-19.85%

-21.58%

+1.73%

Max Drawdown (5Y)

Largest decline over 5 years

-22.31%

-26.38%

+4.07%

Current Drawdown

Current decline from peak

-0.63%

-0.10%

-0.53%

Average Drawdown

Average peak-to-trough decline

-4.30%

-5.55%

+1.25%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.63%

2.89%

-0.26%

Volatility

ESG.TO vs. USXF - Volatility Comparison

The current volatility for Invesco S&P 500 ESG Index ETF (ESG.TO) is 3.00%, while iShares ESG Advanced MSCI USA ETF (USXF) has a volatility of 5.34%. This indicates that ESG.TO experiences smaller price fluctuations and is considered to be less risky than USXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESG.TOUSXFDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.00%

5.34%

-2.34%

Volatility (6M)

Calculated over the trailing 6-month period

9.36%

12.69%

-3.33%

Volatility (1Y)

Calculated over the trailing 1-year period

12.04%

15.96%

-3.92%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.98%

17.73%

-2.75%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.34%

17.38%

-1.04%

ESG.TO vs. USXF - Expense Ratio Comparison

ESG.TO has a 0.20% expense ratio, which is higher than USXF's 0.10% 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. USXF - Dividend Comparison

ESG.TO's dividend yield for the trailing twelve months is around 0.76%, less than USXF's 0.80% yield.

PositionTTM202520242023202220212020
ESG.TO
Invesco S&P 500 ESG Index ETF		0.76%0.85%0.92%1.11%1.38%1.11%0.95%
USXF
iShares ESG Advanced MSCI USA ETF		0.80%0.93%1.00%1.21%1.39%0.86%0.58%

Frequently Asked Questions

ESG.TO and USXF have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

On fees, USXF is cheaper at 0.10% per year. The better choice depends on whether you care most about return, fees, risk, or income.

USXF is cheaper with a 0.10% expense ratio, compared with 0.20% for ESG.TO.

ESG.TO is categorized as S&P 500, while USXF is Large Cap Growth Equities. ESG.TO tracks S&P 500 Equal Weight ESG Leaders Select Index, while USXF tracks MSCI USA Choice ESG Screened Index. They also come from different issuers: Invesco and iShares. Their fees differ too: 0.20% for ESG.TO and 0.10% for USXF.

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