PortfoliosLab logoPortfoliosLab logo

Documentation

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

ESG vs. IUS

Last updated Aug 2, 2026
Documentation

ESG (FlexShares STOXX US ESG Select Index Fund) and IUS (Invesco RAFI Strategic US ETF) are both Large Cap Blend Equities funds - ESG tracks the STOXX USA ESG Select KPIs Index while IUS tracks the Invesco Strategic US Index. Both are passively managed. Over the past 5 years, ESG returned 11.70%/yr vs 14.35%/yr for IUS. Their correlation of 0.86 means they have usually moved in the same direction. ESG charges 0.32%/yr vs 0.19%/yr for IUS.

Performance

ESG vs. IUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX US ESG Select Index Fund (ESG) and Invesco RAFI Strategic US ETF (IUS). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ESG achieves a 11.91% return, which is significantly lower than IUS's 19.71% return.

ESG

1D
0.20%
1M
0.58%
6M
9.98%
YTD
11.91%
1Y
22.28%
3Y*
17.88%
5Y*
11.70%
10Y*
14.84%
ALL TIME*
14.86%

IUS

1D
0.43%
1M
2.30%
6M
15.22%
YTD
19.71%
1Y
34.78%
3Y*
19.28%
5Y*
14.35%
10Y*
—
ALL TIME*
15.51%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

ESG

FlexShares STOXX US ESG Select Index Fund
$141.70K$104.98K$155.55K

IUS

Invesco RAFI Strategic US ETF
$4.30M$3.35M$3.41M

ESG vs. IUS - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
ESG
FlexShares STOXX US ESG Select Index Fund		11.91%16.04%20.22%27.86%-19.89%28.48%20.75%31.74%-12.63%
IUS
Invesco RAFI Strategic US ETF		19.71%16.94%16.51%20.79%-8.34%32.17%15.09%29.34%-12.28%

Correlation

The correlation between ESG and IUS is 0.84, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.84

Correlation (3Y)
Balances recent behavior with more history.

0.89

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.92

Correlation (All Time)
Calculated using the full available price history since Sep 12, 2018

0.86

The correlation between ESG and IUS has been stable across timeframes, ranging from 0.84 to 0.92 - a consistent structural relationship.

ESG vs. IUS - Sectors Allocation Comparison

Sectors
ESG
IUS

Technology

33.3%
21.7%

Financial Services

18.3%
9.6%

Healthcare

13.7%
15.4%

Consumer Defensive

9.3%
7.6%

Consumer Cyclical

8.2%
11.2%

Industrials

4.6%
9.0%

Energy

3.6%
8.5%

Basic Materials

3.1%
3.1%

Real Estate

2.9%
0.6%

Communication Services

0.8%
11.2%

Utilities

0.7%
1.4%

Technology

ESG
33.3%
IUS
21.7%

Financial Services

ESG
18.3%
IUS
9.6%

Healthcare

ESG
13.7%
IUS
15.4%

Consumer Defensive

ESG
9.3%
IUS
7.6%

Consumer Cyclical

ESG
8.2%
IUS
11.2%

Industrials

ESG
4.6%
IUS
9.0%

Energy

ESG
3.6%
IUS
8.5%

Basic Materials

ESG
3.1%
IUS
3.1%

Real Estate

ESG
2.9%
IUS
0.6%

Communication Services

ESG
0.8%
IUS
11.2%

Utilities

ESG
0.7%
IUS
1.4%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

FlexShares STOXX US ESG Select Index Fund

Invesco RAFI Strategic US ETF

Often compared with ESG:
ESG vs. SPYESG vs. QQQESG vs. VOOESG vs. SCHDESG vs. 4UBQ.DEESG vs. USSGESG vs. MSCI
Often compared with IUS:
IUS vs. EPSIUS vs. BSIIXIUS vs. IUSGIUS vs. QLVIUS vs. SCHDIUS vs. FMDEIUS vs. XLK

Return for Risk

ESG vs. IUS — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
ESG
ESG Risk / Return Rank: 7474
Overall Rank
ESG Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
ESG Sortino Ratio Rank: 7575
Sortino Ratio Rank
ESG Omega Ratio Rank: 7474
Omega Ratio Rank
ESG Calmar Ratio Rank: 6868
Calmar Ratio Rank
ESG Martin Ratio Rank: 7777
Martin Ratio Rank
IUS
IUS Risk / Return Rank: 9696
Overall Rank
IUS Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
IUS Sortino Ratio Rank: 9696
Sortino Ratio Rank
IUS Omega Ratio Rank: 9595
Omega Ratio Rank
IUS Calmar Ratio Rank: 9595
Calmar Ratio Rank
IUS Martin Ratio Rank: 9696
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ESG vs. IUS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) and Invesco RAFI Strategic US ETF (IUS). 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.

ESGIUSDifference
Sharpe ratioReturn per unit of total volatility
1.74
3.11

-1.37

Sortino ratioReturn per unit of downside risk
2.42
4.22

-1.80

Omega ratioGain probability vs. loss probability

1.31

1.57

-0.27

Calmar ratioReturn relative to maximum drawdown

2.36

5.38

-3.02

Martin ratioReturn relative to average drawdown

9.79

22.90

-13.11

ESG vs. IUS - Sharpe Ratio Comparison

The current ESG Sharpe Ratio is 1.74, which is lower than the IUS Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of ESG and IUS, 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 vs. IUS - Drawdown Comparison

The maximum ESG drawdown since its inception was -32.53%, smaller than the maximum IUS drawdown of -34.67%. Use the drawdown chart below to compare losses from any high point for ESG and IUS.

Loading charts...

Drawdown Indicators

ESGIUSDifference

Max Drawdown

Largest peak-to-trough decline

-32.53%

-34.67%

+2.14%

Max Drawdown (1Y)

Largest decline over 1 year

-8.68%

-6.15%

-2.53%

Max Drawdown (3Y)

Largest decline over 3 years

-18.32%

-15.61%

-2.71%

Max Drawdown (5Y)

Largest decline over 5 years

-26.04%

-18.72%

-7.32%

Max Drawdown (10Y)

Largest decline over 10 years

-32.53%

—

—

Current Drawdown

Current decline from peak

-0.71%

-0.20%

-0.51%

Average Drawdown

Average peak-to-trough decline

-5.01%

-3.80%

-1.21%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.09%

1.44%

+0.65%

Volatility

ESG vs. IUS - Volatility Comparison

FlexShares STOXX US ESG Select Index Fund (ESG) has a higher volatility of 3.30% compared to Invesco RAFI Strategic US ETF (IUS) at 2.51%. This indicates that ESG's price experiences larger fluctuations and is considered to be riskier than IUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ESGIUSDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.30%

2.51%

+0.79%

Volatility (6M)

Calculated over the trailing 6-month period

9.35%

7.88%

+1.47%

Volatility (1Y)

Calculated over the trailing 1-year period

11.82%

10.67%

+1.15%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.79%

14.99%

+1.80%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.33%

17.92%

+0.41%

ESG vs. IUS - Expense Ratio Comparison

ESG has a 0.32% expense ratio, which is higher than IUS's 0.19% expense ratio.

Dividends

ESG vs. IUS - Dividend Comparison

ESG's dividend yield for the trailing twelve months is around 0.87%, less than IUS's 1.24% yield.

PositionTTM2025202420232022202120202019201820172016
ESG
FlexShares STOXX US ESG Select Index Fund		0.87%0.96%1.18%1.10%1.38%1.03%1.33%1.51%1.72%1.52%0.92%
IUS
Invesco RAFI Strategic US ETF		1.24%1.48%1.52%1.72%1.78%1.46%1.74%1.77%0.73%0.00%0.00%

Frequently Asked Questions

ESG and IUS have a correlation of 0.84, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESG has higher volatility (3.30%) compared to IUS (2.51%). In terms of maximum drawdown, ESG dropped -32.53% vs IUS's -34.67%.

On 5-year performance, IUS leads with 14.35% vs 11.70% for ESG. On fees, IUS is cheaper at 0.19% per year. On volatility, IUS has been the lower-risk option at 2.51%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, IUS has performed better with a 14.35% return vs 11.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

IUS is cheaper with a 0.19% expense ratio, compared with 0.32% for ESG.

IUS has the higher dividend yield at 1.24%, compared with 0.87% for ESG.

ESG tracks STOXX USA ESG Select KPIs Index, while IUS tracks Invesco Strategic US Index. They also come from different issuers: Northern Trust and Invesco. Their fees differ too: 0.32% for ESG and 0.19% for IUS.

IUS currently has the higher Sharpe Ratio (3.11 vs 1.74), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

Find the right allocation for ESG and IUS

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