ESG vs. TDTF
Compare and contrast key facts about FlexShares STOXX US ESG Select Index Fund (ESG) and FlexShares iBoxx 5-Year Target Duration TIPS Index Fund (TDTF).
ESG and TDTF are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. TDTF is a passively managed fund by Northern Trust that tracks the performance of the iBoxx 5-Year Target Duration TIPS. It was launched on Sep 19, 2011. Both ESG and TDTF are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
ESG vs. TDTF - Performance Comparison
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ESG vs. TDTF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESG FlexShares STOXX US ESG Select Index Fund | -3.94% | 16.04% | 20.22% | 27.86% | -19.89% | 28.48% | 20.75% | 31.74% | -5.17% | 22.78% |
TDTF FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 0.61% | 7.83% | 2.40% | 4.10% | -9.73% | 5.54% | 9.98% | 7.99% | -0.82% | 1.93% |
Returns By Period
In the year-to-date period, ESG achieves a -3.94% return, which is significantly lower than TDTF's 0.61% return.
ESG
- 1D
- 2.39%
- 1M
- -4.95%
- YTD
- -3.94%
- 6M
- -1.14%
- 1Y
- 14.10%
- 3Y*
- 16.48%
- 5Y*
- 10.34%
- 10Y*
- —
TDTF
- 1D
- 0.08%
- 1M
- -0.92%
- YTD
- 0.61%
- 6M
- 0.78%
- 1Y
- 3.85%
- 3Y*
- 3.71%
- 5Y*
- 2.01%
- 10Y*
- 2.88%
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ESG vs. TDTF - Expense Ratio Comparison
ESG has a 0.32% expense ratio, which is higher than TDTF's 0.18% expense ratio.
Return for Risk
ESG vs. TDTF — Risk / Return Rank
ESG
TDTF
ESG vs. TDTF - 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 iBoxx 5-Year Target Duration TIPS Index Fund (TDTF). 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 | TDTF | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.81 | 1.02 | -0.21 |
Sortino ratioReturn per unit of downside risk | 1.27 | 1.45 | -0.18 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.19 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 1.19 | 1.65 | -0.46 |
Martin ratioReturn relative to average drawdown | 5.61 | 6.16 | -0.55 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ESG | TDTF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.81 | 1.02 | -0.21 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.62 | 0.35 | +0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.57 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.74 | 0.46 | +0.28 |
Correlation
The correlation between ESG and TDTF is 0.06, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
ESG vs. TDTF - Dividend Comparison
ESG's dividend yield for the trailing twelve months is around 1.01%, less than TDTF's 4.37% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESG FlexShares STOXX US ESG Select Index Fund | 1.01% | 0.96% | 1.18% | 1.10% | 1.38% | 1.03% | 1.33% | 1.51% | 1.72% | 1.52% | 0.92% | 0.00% |
TDTF FlexShares iBoxx 5-Year Target Duration TIPS Index Fund | 4.37% | 4.58% | 3.98% | 3.97% | 7.60% | 4.55% | 1.13% | 1.80% | 2.60% | 2.20% | 1.51% | 0.21% |
Drawdowns
ESG vs. TDTF - Drawdown Comparison
The maximum ESG drawdown since its inception was -32.53%, which is greater than TDTF's maximum drawdown of -12.02%. Use the drawdown chart below to compare losses from any high point for ESG and TDTF.
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Drawdown Indicators
| ESG | TDTF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.53% | -12.02% | -20.51% |
Max Drawdown (1Y)Largest decline over 1 year | -12.29% | -2.56% | -9.73% |
Max Drawdown (5Y)Largest decline over 5 years | -26.04% | -12.02% | -14.02% |
Max Drawdown (10Y)Largest decline over 10 years | — | -12.02% | — |
Current DrawdownCurrent decline from peak | -6.49% | -0.92% | -5.57% |
Average DrawdownAverage peak-to-trough decline | -5.14% | -2.94% | -2.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.61% | 0.69% | +1.92% |
Volatility
ESG vs. TDTF - Volatility Comparison
FlexShares STOXX US ESG Select Index Fund (ESG) has a higher volatility of 4.75% compared to FlexShares iBoxx 5-Year Target Duration TIPS Index Fund (TDTF) at 1.15%. This indicates that ESG's price experiences larger fluctuations and is considered to be riskier than TDTF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESG | TDTF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.75% | 1.15% | +3.60% |
Volatility (6M)Calculated over the trailing 6-month period | 8.67% | 2.11% | +6.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.43% | 3.82% | +13.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.75% | 5.70% | +11.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.46% | 5.08% | +13.38% |