ESG vs. MFUS

Last updated Jun 4, 2026

ESG (FlexShares STOXX US ESG Select Index Fund) and MFUS (PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF) are both Large Cap Growth Equities funds - ESG tracks the STOXX USA ESG Select KPIs Index while MFUS tracks the RAFI Dynamic Multi-Factor U.S. Index​. Both are passively managed. Over the past 5 years, ESG returned 12.73%/yr vs 12.82%/yr for MFUS. Their correlation of 0.85 suggests significant overlap in exposure. ESG charges 0.32%/yr vs 0.30%/yr for MFUS.

Performance

ESG vs. MFUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX US ESG Select Index Fund (ESG) and PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (MFUS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESG achieves a 12.20% return, which is significantly lower than MFUS's 16.37% return.

ESG

• 1D: -0.45%
• 1M: 7.28%
• YTD: 12.20%
• 6M: 13.15%
• 1Y: 25.90%
• 3Y*: 20.72%
• 5Y*: 12.73%
• 10Y*: —

MFUS

• 1D: 0.03%
• 1M: 5.72%
• YTD: 16.37%
• 6M: 16.58%
• 1Y: 28.04%
• 3Y*: 22.25%
• 5Y*: 12.82%
• 10Y*: —

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

ESG vs. MFUS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESG FlexShares STOXX US ESG Select Index Fund	12.20%	16.04%	20.22%	27.86%	-19.89%	28.48%	20.75%	31.74%	-5.17%	10.63%
MFUS PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF	16.37%	16.02%	20.17%	12.19%	-5.82%	24.10%	10.64%	26.17%	-7.30%	11.20%

Correlation

The correlation between ESG and MFUS is 0.85, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.85
Correlation (3Y) Calculated over the trailing 3-year period	0.88
Correlation (5Y) Calculated over the trailing 5-year period	0.88
Correlation (All Time) Calculated using the full available price history since Sep 7, 2017	0.85

The correlation between ESG and MFUS has been stable across timeframes, ranging from 0.85 to 0.88 - a consistent structural relationship.

ESG vs. MFUS - Sectors Allocation Comparison

Sectors	ESG	MFUS
Technology	36.7%	21.8%
Financial Services	16.9%	12.6%
Healthcare	11.2%	13.5%
Consumer Cyclical	10.0%	10.6%
Consumer Defensive	9.2%	10.3%
Industrials	4.5%	12.6%
Energy	3.1%	7.0%
Basic Materials	3.0%	2.8%
Real Estate	2.7%	1.8%
Communication Services	1.0%	5.3%
Utilities	0.7%	1.7%

Return for Risk

ESG vs. MFUS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESG

ESG Risk / Return Rank: 67
ESG Sharpe Ratio Rank: 70
ESG Sortino Ratio Rank: 70
ESG Omega Ratio Rank: 67
ESG Calmar Ratio Rank: 60
ESG Martin Ratio Rank: 70

MFUS

MFUS Risk / Return Rank: 82
MFUS Sharpe Ratio Rank: 80
MFUS Sortino Ratio Rank: 83
MFUS Omega Ratio Rank: 78
MFUS Calmar Ratio Rank: 83
MFUS Martin Ratio Rank: 86

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 vs. MFUS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) and PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (MFUS). 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	MFUS	Difference
Sharpe ratio: Return per unit of total volatility	2.33	2.63	-0.30
Sortino ratio: Return per unit of downside risk	3.23	3.77	-0.54
Omega ratio: Gain probability vs. loss probability	1.41	1.47	-0.06
Calmar ratio: Return relative to maximum drawdown	3.00	4.41	-1.41
Martin ratio: Return relative to average drawdown	13.02	18.13	-5.11
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 vs. MFUS - Sharpe Ratio Comparison

The current ESG Sharpe Ratio is 2.33, which is comparable to the MFUS Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of ESG and MFUS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ESG	MFUS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.33	2.63	-0.30
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.76	0.86	-0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.83	0.79	+0.04

Drawdowns

ESG vs. MFUS - Drawdown Comparison

The maximum ESG drawdown since its inception was -32.53%, smaller than the maximum MFUS drawdown of -35.21%. Use the drawdown chart below to compare losses from any high point for ESG and MFUS.

Drawdown Indicators

	ESG	MFUS	Difference
Max Drawdown Largest peak-to-trough decline	-32.53%	-35.21%	+2.68%
Max Drawdown (1Y) Largest decline over 1 year	-8.68%	-6.39%	-2.29%
Max Drawdown (3Y) Largest decline over 3 years	-18.32%	-15.39%	-2.93%
Max Drawdown (5Y) Largest decline over 5 years	-26.04%	-18.22%	-7.82%
Current Drawdown Current decline from peak	-0.45%	0.00%	-0.45%
Average Drawdown Average peak-to-trough decline	-5.07%	-4.00%	-1.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.99%	1.55%	+0.44%

Volatility

ESG vs. MFUS - Volatility Comparison

The current volatility for FlexShares STOXX US ESG Select Index Fund (ESG) is 2.94%, while PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (MFUS) has a volatility of 3.19%. This indicates that ESG experiences smaller price fluctuations and is considered to be less risky than MFUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESG	MFUS	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.94%	3.19%	-0.25%
Volatility (6M) Calculated over the trailing 6-month period	8.46%	8.22%	+0.24%
Volatility (1Y) Calculated over the trailing 1-year period	11.16%	10.72%	+0.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.73%	15.03%	+1.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.36%	17.35%	+1.01%

ESG vs. MFUS - Expense Ratio Comparison

ESG has a 0.32% expense ratio, which is higher than MFUS's 0.30% expense ratio.

Dividends

ESG vs. MFUS - Dividend Comparison

ESG's dividend yield for the trailing twelve months is around 0.87%, less than MFUS's 1.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
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%
MFUS PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF	1.36%	1.54%	1.45%	1.96%	2.07%	1.35%	1.72%	1.89%	1.69%	1.01%	0.00%

Frequently Asked Questions

Can I hold both ESG and MFUS in my portfolio?

ESG and MFUS have a correlation of 0.85, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESG or MFUS?

MFUS has higher volatility (3.19%) compared to ESG (2.94%). In terms of maximum drawdown, ESG dropped -32.53% vs MFUS's -35.21%.

Which ETF is better, ESG or MFUS?

On 5-year performance, MFUS leads with 12.82% vs 12.73% for ESG. On fees, MFUS is cheaper at 0.30% per year. On volatility, ESG has been the lower-risk option at 2.94%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESG or MFUS?

Over the 5-year period, MFUS has performed better with a 12.82% return vs 12.73%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESG or MFUS?

MFUS is cheaper with a 0.30% expense ratio, compared with 0.32% for ESG.

Which ETF pays a higher dividend yield, ESG or MFUS?

MFUS has the higher dividend yield at 1.36%, compared with 0.87% for ESG.

What is the main difference between ESG and MFUS?

ESG tracks STOXX USA ESG Select KPIs Index, while MFUS tracks RAFI Dynamic Multi-Factor U.S. Index​. They also come from different issuers: Northern Trust and PIMCO. Their fees differ too: 0.32% for ESG and 0.30% for MFUS.

Which has better risk-adjusted returns?

MFUS currently has the higher Sharpe Ratio (2.63 vs 2.33), 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.