PortfoliosLab logoPortfoliosLab logo

Documentation

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

ESG.TO vs. VSP.TO

Last updated Apr 1, 2026

Compare and contrast key facts about Invesco S&P 500 ESG Index ETF (ESG.TO) and Vanguard S&P 500 CAD-hedged ETF (VSP.TO).

ESG.TO and VSP.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. VSP.TO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Nov 2, 2012. Both ESG.TO and VSP.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. VSP.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 Vanguard S&P 500 CAD-hedged ETF (VSP.TO). The values are adjusted to include any dividend payments, if applicable.

Loading graphics...

ESG.TO vs. VSP.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%
VSP.TO
Vanguard S&P 500 CAD-hedged ETF		-4.82%15.49%23.68%24.16%-19.24%27.90%23.25%

Returns By Period

In the year-to-date period, ESG.TO achieves a -3.46% return, which is significantly higher than VSP.TO's -4.82% 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*
—

VSP.TO

1D
3.15%
1M
-5.06%
YTD
-4.82%
6M
-2.72%
1Y
15.55%
3Y*
16.44%
5Y*
10.21%
10Y*
12.44%
*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

Vanguard S&P 500 CAD-hedged 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. GEQT.TOESG.TO vs. QQCI.TOESG.TO vs. EQLI.TO
Often compared with VSP.TO:
VSP.TO vs. VFV.TOVSP.TO vs. XSP.TOVSP.TO vs. ZSP.TOVSP.TO vs. VOOVSP.TO vs. SPYVSP.TO vs. VTIVSP.TO vs. QQQ

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

ESG.TO has a 0.20% expense ratio, which is higher than VSP.TO'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%.

ESG.TO
Invesco S&P 500 ESG Index ETF
VSP.TO
Vanguard S&P 500 CAD-hedged ETF

Return for Risk

ESG.TO vs. VSP.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
VSP.TO
VSP.TO Risk / Return Rank: 5757
Overall Rank
VSP.TO Sharpe Ratio Rank: 5151
Sharpe Ratio Rank
VSP.TO Sortino Ratio Rank: 5454
Sortino Ratio Rank
VSP.TO Omega Ratio Rank: 5858
Omega Ratio Rank
VSP.TO Calmar Ratio Rank: 5858
Calmar Ratio Rank
VSP.TO Martin Ratio Rank: 6666
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. VSP.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 Vanguard S&P 500 CAD-hedged ETF (VSP.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.TOVSP.TODifference

Sharpe ratio

Return per unit of total volatility

0.77

0.86

-0.09

Sortino ratio

Return per unit of downside risk

1.19

1.35

-0.16

Omega ratio

Gain probability vs. loss probability

1.18

1.20

-0.03

Calmar ratio

Return relative to maximum drawdown

1.09

1.34

-0.25

Martin ratio

Return relative to average drawdown

3.97

6.22

-2.25

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. VSP.TO - Sharpe Ratio Comparison

The current ESG.TO Sharpe Ratio is 0.77, which is comparable to the VSP.TO Sharpe Ratio of 0.86. The chart below compares the historical Sharpe Ratios of ESG.TO and VSP.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.

Loading graphics...

Sharpe Ratios by Period

ESG.TOVSP.TODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.77

0.86

-0.09

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.94

0.61

+0.33

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.70

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.96

0.78

+0.19

Correlation

The correlation between ESG.TO and VSP.TO is 0.72, 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. VSP.TO - Dividend Comparison

ESG.TO's dividend yield for the trailing twelve months is around 0.87%, less than VSP.TO's 0.97% 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%
VSP.TO
Vanguard S&P 500 CAD-hedged ETF		0.97%0.92%1.07%1.17%1.37%1.07%1.27%1.52%1.76%1.46%1.69%1.75%

Drawdowns

ESG.TO vs. VSP.TO - Drawdown Comparison

The maximum ESG.TO drawdown since its inception was -22.31%, smaller than the maximum VSP.TO drawdown of -35.55%. Use the drawdown chart below to compare losses from any high point for ESG.TO and VSP.TO.

Loading graphics...

Drawdown Indicators

ESG.TOVSP.TODifference

Max Drawdown

Largest peak-to-trough decline

-22.31%

-35.55%

+13.24%

Max Drawdown (1Y)

Largest decline over 1 year

-13.02%

-12.07%

-0.95%

Max Drawdown (5Y)

Largest decline over 5 years

-22.31%

-25.54%

+3.23%

Max Drawdown (10Y)

Largest decline over 10 years

—

-35.55%

—

Current Drawdown

Current decline from peak

-6.93%

-6.55%

-0.38%

Average Drawdown

Average peak-to-trough decline

-4.39%

-4.04%

-0.35%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.57%

2.60%

+0.97%

Volatility

ESG.TO vs. VSP.TO - Volatility Comparison

Invesco S&P 500 ESG Index ETF (ESG.TO) and Vanguard S&P 500 CAD-hedged ETF (VSP.TO) have volatilities of 5.29% and 5.50%, 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.

Loading graphics...

Volatility by Period

ESG.TOVSP.TODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.29%

5.50%

-0.21%

Volatility (6M)

Calculated over the trailing 6-month period

9.59%

9.47%

+0.12%

Volatility (1Y)

Calculated over the trailing 1-year period

18.52%

18.12%

+0.40%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

14.98%

16.82%

-1.84%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.45%

17.96%

-1.51%