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ESG vs. QUS
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESG vs. QUS

Last updated Jun 4, 2026

ESG (FlexShares STOXX US ESG Select Index Fund) and QUS (SPDR MSCI USA StrategicFactors ETF) are both Large Cap Growth Equities funds - ESG tracks the STOXX USA ESG Select KPIs Index while QUS tracks the MSCI USA Factor Mix A-Series Capped (USD). Both are passively managed. Over the past 5 years, ESG returned 12.73%/yr vs 11.08%/yr for QUS. Their correlation of 0.86 suggests significant overlap in exposure. ESG charges 0.32%/yr vs 0.15%/yr for QUS.

Performance

ESG vs. QUS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX US ESG Select Index Fund (ESG) and SPDR MSCI USA StrategicFactors ETF (QUS). 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 12.20% return, which is significantly higher than QUS's 6.67% return.

ESG

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

QUS

1D
-0.43%
1M
2.68%
YTD
6.67%
6M
6.93%
1Y
17.65%
3Y*
17.53%
5Y*
11.08%
10Y*
13.67%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESG vs. QUS - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
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%22.78%
QUS
SPDR MSCI USA StrategicFactors ETF		6.67%14.13%18.99%21.78%-14.15%26.72%12.40%32.45%-3.66%21.67%

Correlation

The correlation between ESG and QUS is 0.89, 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

0.89

Correlation (3Y)
Calculated over the trailing 3-year period

0.93

Correlation (5Y)
Calculated over the trailing 5-year period

0.94

Correlation (All Time)
Calculated using the full available price history since Jul 15, 2016

0.86

The correlation between ESG and QUS has been stable across timeframes, ranging from 0.86 to 0.94 - a consistent structural relationship.

ESG vs. QUS - Sectors Allocation Comparison

Sectors
ESG
QUS

Technology

36.7%
26.3%

Financial Services

16.9%
14.6%

Healthcare

11.2%
13.4%

Consumer Cyclical

10.0%
5.8%

Consumer Defensive

9.2%
9.2%

Industrials

4.5%
8.6%

Energy

3.1%
4.6%

Basic Materials

3.0%
2.3%

Real Estate

2.7%
1.4%

Communication Services

1.0%
10.2%

Utilities

0.7%
3.6%

Technology

ESG
36.7%
QUS
26.3%

Financial Services

ESG
16.9%
QUS
14.6%

Healthcare

ESG
11.2%
QUS
13.4%

Consumer Cyclical

ESG
10.0%
QUS
5.8%

Consumer Defensive

ESG
9.2%
QUS
9.2%

Industrials

ESG
4.5%
QUS
8.6%

Energy

ESG
3.1%
QUS
4.6%

Basic Materials

ESG
3.0%
QUS
2.3%

Real Estate

ESG
2.7%
QUS
1.4%

Communication Services

ESG
1.0%
QUS
10.2%

Utilities

ESG
0.7%
QUS
3.6%

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

SPDR MSCI USA StrategicFactors ETF

Often compared with ESG:
ESG vs. SPYESG vs. QQQESG vs. VOOESG vs. SCHDESG vs. 4UBQ.DEESG vs. USSGESG vs. MSCI
Often compared with QUS:
QUS vs. IVVQUS vs. QUALQUS vs. SPYQUS vs. JQUAQUS vs. VOOQUS vs. DGTQUS vs. BERZ

Return for Risk

ESG vs. QUS — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ESG
ESG Risk / Return Rank: 6767
Overall Rank
ESG Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
ESG Sortino Ratio Rank: 7070
Sortino Ratio Rank
ESG Omega Ratio Rank: 6767
Omega Ratio Rank
ESG Calmar Ratio Rank: 6060
Calmar Ratio Rank
ESG Martin Ratio Rank: 7070
Martin Ratio Rank
QUS
QUS Risk / Return Rank: 5757
Overall Rank
QUS Sharpe Ratio Rank: 5656
Sharpe Ratio Rank
QUS Sortino Ratio Rank: 5858
Sortino Ratio Rank
QUS Omega Ratio Rank: 5555
Omega Ratio Rank
QUS Calmar Ratio Rank: 5252
Calmar Ratio Rank
QUS Martin Ratio Rank: 6363
Martin Ratio Rank
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. QUS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) and SPDR MSCI USA StrategicFactors ETF (QUS). 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.

ESGQUSDifference
Sharpe ratioReturn per unit of total volatility
2.33
1.95

+0.38

Sortino ratioReturn per unit of downside risk
3.23
2.81

+0.43

Omega ratioGain probability vs. loss probability

1.41

1.35

+0.07

Calmar ratioReturn relative to maximum drawdown

3.00

2.59

+0.41

Martin ratioReturn relative to average drawdown

13.02

11.54

+1.48

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. QUS - Sharpe Ratio Comparison

The current ESG Sharpe Ratio is 2.33, which is comparable to the QUS Sharpe Ratio of 1.95. The chart below compares the historical Sharpe Ratios of ESG and QUS, 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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Sharpe Ratios by Period

ESGQUSDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.33

1.95

+0.38

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.76

0.78

-0.01

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.83

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.83

0.77

+0.06

Drawdowns

ESG vs. QUS - Drawdown Comparison

The maximum ESG drawdown since its inception was -32.53%, roughly equal to the maximum QUS drawdown of -33.78%. Use the drawdown chart below to compare losses from any high point for ESG and QUS.

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Drawdown Indicators

ESGQUSDifference

Max Drawdown

Largest peak-to-trough decline

-32.53%

-33.78%

+1.25%

Max Drawdown (1Y)

Largest decline over 1 year

-8.68%

-6.85%

-1.83%

Max Drawdown (3Y)

Largest decline over 3 years

-18.32%

-13.94%

-4.38%

Max Drawdown (5Y)

Largest decline over 5 years

-26.04%

-22.30%

-3.74%

Max Drawdown (10Y)

Largest decline over 10 years

—

-33.78%

—

Current Drawdown

Current decline from peak

-0.45%

-0.50%

+0.05%

Average Drawdown

Average peak-to-trough decline

-5.07%

-3.70%

-1.37%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.99%

1.53%

+0.46%

Volatility

ESG vs. QUS - Volatility Comparison

FlexShares STOXX US ESG Select Index Fund (ESG) has a higher volatility of 2.94% compared to SPDR MSCI USA StrategicFactors ETF (QUS) at 1.78%. This indicates that ESG's price experiences larger fluctuations and is considered to be riskier than QUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESGQUSDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.94%

1.78%

+1.16%

Volatility (6M)

Calculated over the trailing 6-month period

8.46%

6.66%

+1.80%

Volatility (1Y)

Calculated over the trailing 1-year period

11.16%

9.09%

+2.07%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.73%

14.33%

+2.40%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.36%

16.42%

+1.94%

ESG vs. QUS - Expense Ratio Comparison

ESG has a 0.32% expense ratio, which is higher than QUS's 0.15% expense ratio.

Dividends

ESG vs. QUS - Dividend Comparison

ESG's dividend yield for the trailing twelve months is around 0.87%, less than QUS's 1.31% yield.

PositionTTM20252024202320222021202020192018201720162015
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%0.00%
QUS
SPDR MSCI USA StrategicFactors ETF		1.31%1.38%1.49%1.57%1.68%1.27%1.73%1.81%2.12%1.86%2.07%1.48%

Frequently Asked Questions

ESG and QUS have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESG has higher volatility (2.94%) compared to QUS (1.78%). In terms of maximum drawdown, ESG dropped -32.53% vs QUS's -33.78%.

On 5-year performance, ESG leads with 12.73% vs 11.08% for QUS. On fees, QUS is cheaper at 0.15% per year. On volatility, QUS has been the lower-risk option at 1.78%. 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 12.73% return vs 11.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

QUS is cheaper with a 0.15% expense ratio, compared with 0.32% for ESG.

QUS has the higher dividend yield at 1.31%, compared with 0.87% for ESG.

ESG tracks STOXX USA ESG Select KPIs Index, while QUS tracks MSCI USA Factor Mix A-Series Capped (USD). They also come from different issuers: Northern Trust and State Street. Their fees differ too: 0.32% for ESG and 0.15% for QUS.

ESG currently has the higher Sharpe Ratio (2.33 vs 1.95), 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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