ESG vs. MSCI
ESG (FlexShares STOXX US ESG Select Index Fund) is Large Cap Growth Equities fund tracking the STOXX USA ESG Select KPIs Index, while MSCI (MSCI Inc.) is a stock. Over the past 5 years, ESG returned 12.07%/yr vs 1.98%/yr for MSCI. A 0.54 correlation means they provide meaningful diversification when combined.
Performance
ESG vs. MSCI - Performance Comparison
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Returns By Period
In the year-to-date period, ESG achieves a 10.65% return, which is significantly higher than MSCI's -2.56% return.
ESG
- 1D
- 0.29%
- 1M
- 0.37%
- YTD
- 10.65%
- 6M
- 9.41%
- 1Y
- 20.98%
- 3Y*
- 19.24%
- 5Y*
- 12.07%
- 10Y*
- —
MSCI
- 1D
- 1.89%
- 1M
- -8.06%
- YTD
- -2.56%
- 6M
- -4.43%
- 1Y
- -0.55%
- 3Y*
- 7.38%
- 5Y*
- 1.98%
- 10Y*
- 23.71%
ESG vs. MSCI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESG FlexShares STOXX US ESG Select Index Fund | 10.65% | 16.04% | 20.22% | 27.86% | -19.89% | 28.48% | 20.75% | 31.74% | -5.17% | 22.78% |
MSCI MSCI Inc. | -2.56% | -3.17% | 7.31% | 22.90% | -23.34% | 38.14% | 74.38% | 77.19% | 17.95% | 62.63% |
Correlation
The correlation between ESG and MSCI is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.45 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.61 |
Correlation (All Time) Calculated using the full available price history since Jul 14, 2016 | 0.54 |
Over the past year, the correlation between ESG and MSCI has dropped to 0.28 - well below their long-term average of 0.54, suggesting their price drivers have been diverging.
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Return for Risk
ESG vs. MSCI — Risk / Return Rank
ESG
MSCI
ESG vs. MSCI - Risk-Adjusted Trends 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.
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.
| ESG | MSCI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.85 | ||
| Sortino ratioReturn per unit of downside risk | +2.36 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.02 | +0.30 |
| Calmar ratioReturn relative to maximum drawdown | 2.43 | -0.03 | +2.46 |
| Martin ratioReturn relative to average drawdown | 10.15 | -0.08 | +10.22 |
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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.
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Drawdown Indicators
| ESG | MSCI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.53% | -69.06% | +36.53% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -18.07% | +9.39% |
Max Drawdown (3Y)Largest decline over 3 years | -18.32% | -25.99% | +7.67% |
Max Drawdown (5Y)Largest decline over 5 years | -26.04% | -43.74% | +17.70% |
Max Drawdown (10Y)Largest decline over 10 years | — | -43.74% | — |
Current DrawdownCurrent decline from peak | -1.83% | -13.82% | +11.99% |
Average DrawdownAverage peak-to-trough decline | -5.05% | -13.07% | +8.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.07% | 7.18% | -5.11% |
Volatility
ESG vs. MSCI - Volatility Comparison
The current volatility for FlexShares STOXX US ESG Select Index Fund (ESG) is 4.31%, while MSCI Inc. (MSCI) has a volatility of 9.82%. 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.
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Volatility by Period
| ESG | MSCI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.31% | 9.82% | -5.51% |
Volatility (6M)Calculated over the trailing 6-month period | 9.22% | 21.90% | -12.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.52% | 29.17% | -17.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.80% | 30.83% | -14.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.34% | 31.22% | -12.88% |
Dividends
ESG vs. MSCI - Dividend Comparison
ESG's dividend yield for the trailing twelve months is around 0.88%, less than MSCI's 1.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESG FlexShares STOXX US ESG Select Index Fund | 0.88% | 0.96% | 1.18% | 1.10% | 1.38% | 1.03% | 1.33% | 1.51% | 1.72% | 1.52% | 0.92% | 0.00% |
MSCI MSCI Inc. | 1.39% | 1.25% | 1.07% | 0.98% | 0.98% | 0.59% | 0.65% | 0.98% | 1.30% | 1.04% | 1.27% | 1.11% |
Frequently Asked Questions
ESG and MSCI have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MSCI has higher volatility (9.82%) compared to ESG (4.31%). In terms of maximum drawdown, ESG dropped -32.53% vs MSCI's -69.06%.
ESG currently has the higher Sharpe Ratio (1.83 vs -0.02), 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.
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