ESG vs. MSCI
Compare and contrast key facts about FlexShares STOXX US ESG Select Index Fund (ESG) and MSCI Inc. (MSCI).
ESG is a passively managed fund by Northern Trust that tracks the performance of the STOXX USA ESG Select KPIs Index. It was launched on Jul 13, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ESG or MSCI.
Key characteristics
| ESG | MSCI | |
|---|---|---|
| YTD Return | 4.69% | -17.08% |
| 1Y Return | 23.19% | 1.53% |
| 3Y Return (Ann) | 7.17% | -0.36% |
| 5Y Return (Ann) | 13.14% | 16.68% |
| Sharpe Ratio | 1.94 | 0.03 |
| Daily Std Dev | 11.47% | 28.28% |
| Max Drawdown | -32.53% | -69.06% |
| Current Drawdown | -4.27% | -29.10% |
Correlation
The correlation between ESG and MSCI is 0.58, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
ESG vs. MSCI - Performance Comparison
In the year-to-date period, ESG achieves a 4.69% return, which is significantly higher than MSCI's -17.08% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ESG vs. MSCI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) and MSCI Inc. (MSCI). 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.
Dividends
ESG vs. MSCI - Dividend Comparison
ESG's dividend yield for the trailing twelve months is around 1.09%, less than MSCI's 1.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ESG FlexShares STOXX US ESG Select Index Fund | 1.09% | 1.10% | 1.38% | 1.03% | 1.33% | 1.51% | 1.72% | 1.93% | 0.92% | 0.00% | 0.00% |
MSCI MSCI Inc. | 1.23% | 0.98% | 0.98% | 0.59% | 0.65% | 0.98% | 1.30% | 1.04% | 1.27% | 1.11% | 0.38% |
Drawdowns
ESG vs. MSCI - Drawdown Comparison
The maximum ESG drawdown since its inception was -32.53%, smaller than the maximum MSCI drawdown of -69.06%. Use the drawdown chart below to compare losses from any high point for ESG and MSCI. For additional features, visit the drawdowns tool.
Volatility
ESG vs. MSCI - Volatility Comparison
The current volatility for FlexShares STOXX US ESG Select Index Fund (ESG) is 3.48%, while MSCI Inc. (MSCI) has a volatility of 16.66%. This indicates that ESG experiences smaller price fluctuations and is considered to be less risky than MSCI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.