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ESG vs. QLV
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESG vs. QLV

Last updated Aug 2, 2026
Documentation

ESG (FlexShares STOXX US ESG Select Index Fund) and QLV (FlexShares US Quality Low Volatility Index Fund) are both exchange-traded funds - ESG is a Large Cap Blend Equities fund tracking the STOXX USA ESG Select KPIs Index, while QLV is a Quality Factor fund tracking the Northern Trust Quality Low Volatility Index. Both are passively managed. Over the past 5 years, ESG returned 11.70%/yr vs 9.98%/yr for QLV. Their correlation of 0.88 means they have usually moved in the same direction. ESG charges 0.32%/yr vs 0.22%/yr for QLV.

Performance

ESG vs. QLV - Performance Comparison

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

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Returns By Period

In the year-to-date period, ESG achieves a 11.91% return, which is significantly higher than QLV's 9.01% 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%

QLV

1D
0.10%
1M
1.40%
6M
6.81%
YTD
9.01%
1Y
16.12%
3Y*
14.76%
5Y*
9.98%
10Y*
—
ALL TIME*
11.61%
*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

QLV

FlexShares US Quality Low Volatility Index Fund
$433.57K$400.63K$648.84K

ESG vs. QLV - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
ESG
FlexShares STOXX US ESG Select Index Fund		11.91%16.04%20.22%27.86%-19.89%28.48%20.75%7.75%
QLV
FlexShares US Quality Low Volatility Index Fund		9.01%12.28%18.08%13.71%-9.97%26.08%9.63%5.97%

Correlation

The correlation between ESG and QLV is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

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

0.67

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

0.82

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

0.86

Correlation (All Time)
Calculated using the full available price history since Jul 16, 2019

0.88

Over the past year, the correlation between ESG and QLV has dropped to 0.67 - well below their long-term average of 0.88, suggesting their price drivers have been diverging.

ESG vs. QLV - Sectors Allocation Comparison

Sectors
ESG
QLV

Technology

33.3%
30.2%

Financial Services

18.3%
12.3%

Healthcare

13.7%
14.1%

Consumer Defensive

9.3%
7.8%

Consumer Cyclical

8.2%
6.4%

Industrials

4.6%
6.3%

Energy

3.6%
6.5%

Basic Materials

3.1%
1.3%

Real Estate

2.9%
1.4%

Communication Services

0.8%
7.4%

Utilities

0.7%
6.4%

Technology

ESG
33.3%
QLV
30.2%

Financial Services

ESG
18.3%
QLV
12.3%

Healthcare

ESG
13.7%
QLV
14.1%

Consumer Defensive

ESG
9.3%
QLV
7.8%

Consumer Cyclical

ESG
8.2%
QLV
6.4%

Industrials

ESG
4.6%
QLV
6.3%

Energy

ESG
3.6%
QLV
6.5%

Basic Materials

ESG
3.1%
QLV
1.3%

Real Estate

ESG
2.9%
QLV
1.4%

Communication Services

ESG
0.8%
QLV
7.4%

Utilities

ESG
0.7%
QLV
6.4%

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

FlexShares US Quality Low Volatility Index Fund

Often compared with ESG:
ESG vs. SPYESG vs. QQQESG vs. VOOESG vs. SCHDESG vs. 4UBQ.DEESG vs. USSGESG vs. MSCI
Often compared with QLV:
QLV vs. USMVQLV vs. IUSQLV vs. VOOQLV vs. VMVFXQLV vs. PBJQLV vs. DEUSQLV vs. MGV

Return for Risk

ESG vs. QLV — 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
QLV
QLV Risk / Return Rank: 8282
Overall Rank
QLV Sharpe Ratio Rank: 8585
Sharpe Ratio Rank
QLV Sortino Ratio Rank: 8787
Sortino Ratio Rank
QLV Omega Ratio Rank: 8484
Omega Ratio Rank
QLV Calmar Ratio Rank: 7373
Calmar Ratio Rank
QLV Martin Ratio Rank: 8080
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. QLV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) and FlexShares US Quality Low Volatility Index Fund (QLV). 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.

ESGQLVDifference
Sharpe ratioReturn per unit of total volatility
1.74
1.99

-0.25

Sortino ratioReturn per unit of downside risk
2.42
2.93

-0.51

Omega ratioGain probability vs. loss probability

1.31

1.36

-0.05

Calmar ratioReturn relative to maximum drawdown

2.36

2.53

-0.17

Martin ratioReturn relative to average drawdown

9.79

10.43

-0.64

ESG vs. QLV - Sharpe Ratio Comparison

The current ESG Sharpe Ratio is 1.74, which is comparable to the QLV Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of ESG and QLV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

ESG vs. QLV - Drawdown Comparison

The maximum ESG drawdown since its inception was -32.53%, roughly equal to the maximum QLV drawdown of -33.71%. Use the drawdown chart below to compare losses from any high point for ESG and QLV.

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Drawdown Indicators

ESGQLVDifference

Max Drawdown

Largest peak-to-trough decline

-32.53%

-33.71%

+1.18%

Max Drawdown (1Y)

Largest decline over 1 year

-8.68%

-6.19%

-2.49%

Max Drawdown (3Y)

Largest decline over 3 years

-18.32%

-12.05%

-6.27%

Max Drawdown (5Y)

Largest decline over 5 years

-26.04%

-17.93%

-8.11%

Max Drawdown (10Y)

Largest decline over 10 years

-32.53%

—

—

Current Drawdown

Current decline from peak

-0.71%

-0.43%

-0.28%

Average Drawdown

Average peak-to-trough decline

-5.01%

-3.93%

-1.08%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.09%

1.50%

+0.59%

Volatility

ESG vs. QLV - Volatility Comparison

FlexShares STOXX US ESG Select Index Fund (ESG) has a higher volatility of 3.30% compared to FlexShares US Quality Low Volatility Index Fund (QLV) at 2.64%. This indicates that ESG's price experiences larger fluctuations and is considered to be riskier than QLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESGQLVDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.30%

2.64%

+0.66%

Volatility (6M)

Calculated over the trailing 6-month period

9.35%

5.96%

+3.39%

Volatility (1Y)

Calculated over the trailing 1-year period

11.82%

7.88%

+3.94%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.79%

12.63%

+4.16%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.33%

16.43%

+1.90%

ESG vs. QLV - Expense Ratio Comparison

ESG has a 0.32% expense ratio, which is higher than QLV's 0.22% expense ratio.

Dividends

ESG vs. QLV - Dividend Comparison

ESG's dividend yield for the trailing twelve months is around 0.87%, less than QLV's 1.52% 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%
QLV
FlexShares US Quality Low Volatility Index Fund		1.52%1.60%1.66%1.60%1.74%0.96%1.24%0.58%0.00%0.00%0.00%

Frequently Asked Questions

ESG and QLV have a correlation of 0.67, 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 QLV (2.64%). In terms of maximum drawdown, ESG dropped -32.53% vs QLV's -33.71%.

On 5-year performance, ESG leads with 11.70% vs 9.98% for QLV. On fees, QLV is cheaper at 0.22% per year. On volatility, QLV has been the lower-risk option at 2.64%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, ESG has performed better with a 11.70% return vs 9.98%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QLV is cheaper with a 0.22% expense ratio, compared with 0.32% for ESG.

QLV has the higher dividend yield at 1.52%, compared with 0.87% for ESG.

ESG is categorized as Large Cap Blend Equities, while QLV is Quality Factor. ESG tracks STOXX USA ESG Select KPIs Index, while QLV tracks Northern Trust Quality Low Volatility Index. Their fees differ too: 0.32% for ESG and 0.22% for QLV.

QLV currently has the higher Sharpe Ratio (1.99 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.

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