PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
ESG vs. VOO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESG vs. VOO

Last updated Jun 13, 2026

ESG (FlexShares STOXX US ESG Select Index Fund) and VOO (Vanguard S&P 500 ETF) are both exchange-traded funds - ESG is a Large Cap Growth Equities fund tracking the STOXX USA ESG Select KPIs Index, while VOO is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, ESG returned 12.21%/yr vs 13.43%/yr for VOO. Their correlation of 0.89 suggests significant overlap in exposure. ESG charges 0.32%/yr vs 0.03%/yr for VOO.

Performance

ESG vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX US ESG Select Index Fund (ESG) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ESG achieves a 10.25% return, which is significantly higher than VOO's 9.08% return.

ESG

1D
0.40%
1M
1.94%
YTD
10.25%
6M
10.80%
1Y
22.45%
3Y*
19.24%
5Y*
12.21%
10Y*
—

VOO

1D
0.55%
1M
-0.07%
YTD
9.08%
6M
9.44%
1Y
24.36%
3Y*
20.95%
5Y*
13.43%
10Y*
15.50%
*Multi-year figures are annualized to reflect compound growth (CAGR)

ESG vs. VOO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ESG
FlexShares STOXX US ESG Select Index Fund		10.25%16.04%20.22%27.86%-19.89%28.48%20.75%31.74%-5.17%22.78%
VOO
Vanguard S&P 500 ETF		9.08%17.82%24.98%26.32%-18.17%28.79%18.32%31.37%-4.50%21.77%

Correlation

The correlation between ESG and VOO is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.95

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

0.96

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

0.97

Correlation (All Time)
Calculated using the full available price history since Jul 14, 2016

0.89

The correlation between ESG and VOO has been stable across timeframes, ranging from 0.89 to 0.97 - a consistent structural relationship.

ESG vs. VOO - Sectors Allocation Comparison

Sectors
ESG
VOO

Technology

36.7%
35.7%

Financial Services

16.9%
11.6%

Healthcare

11.2%
8.5%

Consumer Cyclical

10.0%
10.2%

Consumer Defensive

9.2%
4.9%

Industrials

4.5%
8.3%

Energy

3.1%
3.5%

Basic Materials

3.0%
1.8%

Real Estate

2.7%
1.9%

Communication Services

1.0%
11.3%

Utilities

0.7%
2.4%

Technology

ESG
36.7%
VOO
35.7%

Financial Services

ESG
16.9%
VOO
11.6%

Healthcare

ESG
11.2%
VOO
8.5%

Consumer Cyclical

ESG
10.0%
VOO
10.2%

Consumer Defensive

ESG
9.2%
VOO
4.9%

Industrials

ESG
4.5%
VOO
8.3%

Energy

ESG
3.1%
VOO
3.5%

Basic Materials

ESG
3.0%
VOO
1.8%

Real Estate

ESG
2.7%
VOO
1.9%

Communication Services

ESG
1.0%
VOO
11.3%

Utilities

ESG
0.7%
VOO
2.4%

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

Vanguard S&P 500 ETF

Often compared with ESG:
ESG vs. SPYESG vs. QQQESG vs. SCHDESG vs. 4UBQ.DEESG vs. USSGESG vs. MSCIESG vs. XQQ.TO
Often compared with VOO:
VOO vs. VTIVOO vs. QQQVOO vs. SCHDVOO vs. VTVOO vs. SPYVOO vs. FXAIXVOO vs. IVV

Return for Risk

ESG vs. VOO — 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: 6969
Sharpe Ratio Rank
ESG Sortino Ratio Rank: 6868
Sortino Ratio Rank
ESG Omega Ratio Rank: 6767
Omega Ratio Rank
ESG Calmar Ratio Rank: 6060
Calmar Ratio Rank
ESG Martin Ratio Rank: 6868
Martin Ratio Rank
VOO
VOO Risk / Return Rank: 7070
Overall Rank
VOO Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
VOO Sortino Ratio Rank: 6969
Sortino Ratio Rank
VOO Omega Ratio Rank: 7171
Omega Ratio Rank
VOO Calmar Ratio Rank: 6363
Calmar Ratio Rank
VOO Martin Ratio Rank: 7676
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. VOO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) and Vanguard S&P 500 ETF (VOO). 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.

ESGVOODifference
Sharpe ratioReturn per unit of total volatility
1.96
1.99

-0.04

Sortino ratioReturn per unit of downside risk
2.70
2.70

0.00

Omega ratioGain probability vs. loss probability

1.35

1.36

-0.01

Calmar ratioReturn relative to maximum drawdown

2.60

2.75

-0.15

Martin ratioReturn relative to average drawdown

11.00

12.42

-1.42

ESG vs. VOO - Sharpe Ratio Comparison

The current ESG Sharpe Ratio is 1.96, which is comparable to the VOO Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of ESG and VOO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

ESG vs. VOO - Drawdown Comparison

The maximum ESG drawdown since its inception was -32.53%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ESG and VOO.

Loading charts...

Drawdown Indicators

ESGVOODifference

Max Drawdown

Largest peak-to-trough decline

-32.53%

-33.99%

+1.46%

Max Drawdown (1Y)

Largest decline over 1 year

-8.68%

-8.90%

+0.22%

Max Drawdown (3Y)

Largest decline over 3 years

-18.32%

-18.69%

+0.37%

Max Drawdown (5Y)

Largest decline over 5 years

-26.04%

-24.52%

-1.52%

Max Drawdown (10Y)

Largest decline over 10 years

—

-33.99%

—

Current Drawdown

Current decline from peak

-2.18%

-2.34%

+0.16%

Average Drawdown

Average peak-to-trough decline

-5.06%

-3.68%

-1.38%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.05%

1.97%

+0.08%

Volatility

ESG vs. VOO - Volatility Comparison

FlexShares STOXX US ESG Select Index Fund (ESG) and Vanguard S&P 500 ETF (VOO) have volatilities of 4.20% and 4.34%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ESGVOODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.20%

4.34%

-0.14%

Volatility (6M)

Calculated over the trailing 6-month period

9.04%

9.58%

-0.54%

Volatility (1Y)

Calculated over the trailing 1-year period

11.53%

12.27%

-0.74%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.78%

16.88%

-0.10%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.36%

18.03%

+0.33%

ESG vs. VOO - Expense Ratio Comparison

ESG has a 0.32% expense ratio, which is higher than VOO's 0.03% expense ratio.

Dividends

ESG vs. VOO - Dividend Comparison

ESG's dividend yield for the trailing twelve months is around 0.88%, less than VOO's 1.05% yield.

PositionTTM20252024202320222021202020192018201720162015
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%
VOO
Vanguard S&P 500 ETF		1.05%1.13%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%

Frequently Asked Questions

With a correlation of 0.95, ESG and VOO move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

VOO has higher volatility (4.34%) compared to ESG (4.20%). In terms of maximum drawdown, ESG dropped -32.53% vs VOO's -33.99%.

On 5-year performance, VOO leads with 13.43% vs 12.21% for ESG. On fees, VOO is cheaper at 0.03% per year. On volatility, ESG has been the lower-risk option at 4.20%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, VOO has performed better with a 13.43% return vs 12.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VOO is cheaper with a 0.03% expense ratio, compared with 0.32% for ESG.

VOO has the higher dividend yield at 1.05%, compared with 0.88% for ESG.

ESG is categorized as Large Cap Growth Equities, while VOO is S&P 500. ESG tracks STOXX USA ESG Select KPIs Index, while VOO tracks S&P 500 Index. They also come from different issuers: Northern Trust and Vanguard. Their fees differ too: 0.32% for ESG and 0.03% for VOO.

VOO currently has the higher Sharpe Ratio (1.99 vs 1.96), 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.

Portfolio Optimizer

Find the right allocation for ESG and VOO

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer