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ESGD vs. ESGU
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ESGD and ESGU is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.8

Performance

ESGD vs. ESGU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares ESG MSCI USA ETF (ESGU). The values are adjusted to include any dividend payments, if applicable.

100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
72.83%
204.00%
ESGD
ESGU

Key characteristics

Sharpe Ratio

ESGD:

0.45

ESGU:

2.15

Sortino Ratio

ESGD:

0.70

ESGU:

2.86

Omega Ratio

ESGD:

1.09

ESGU:

1.40

Calmar Ratio

ESGD:

0.60

ESGU:

3.20

Martin Ratio

ESGD:

1.67

ESGU:

14.04

Ulcer Index

ESGD:

3.53%

ESGU:

1.95%

Daily Std Dev

ESGD:

13.07%

ESGU:

12.76%

Max Drawdown

ESGD:

-33.70%

ESGU:

-33.87%

Current Drawdown

ESGD:

-9.81%

ESGU:

-2.77%

Returns By Period

In the year-to-date period, ESGD achieves a 3.20% return, which is significantly lower than ESGU's 25.39% return.


ESGD

YTD

3.20%

1M

-1.41%

6M

-2.14%

1Y

4.27%

5Y*

4.75%

10Y*

N/A

ESGU

YTD

25.39%

1M

0.28%

6M

9.62%

1Y

26.15%

5Y*

14.42%

10Y*

N/A

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ESGD vs. ESGU - Expense Ratio Comparison

ESGD has a 0.20% expense ratio, which is higher than ESGU's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


ESGD
iShares ESG Aware MSCI EAFE ETF
Expense ratio chart for ESGD: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for ESGU: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

ESGD vs. ESGU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares ESG MSCI USA ETF (ESGU). 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.


Sharpe ratio
The chart of Sharpe ratio for ESGD, currently valued at 0.45, compared to the broader market0.002.004.000.452.15
The chart of Sortino ratio for ESGD, currently valued at 0.70, compared to the broader market-2.000.002.004.006.008.0010.000.702.86
The chart of Omega ratio for ESGD, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.40
The chart of Calmar ratio for ESGD, currently valued at 0.60, compared to the broader market0.005.0010.0015.000.603.20
The chart of Martin ratio for ESGD, currently valued at 1.67, compared to the broader market0.0020.0040.0060.0080.00100.001.6714.04
ESGD
ESGU

The current ESGD Sharpe Ratio is 0.45, which is lower than the ESGU Sharpe Ratio of 2.15. The chart below compares the historical Sharpe Ratios of ESGD and ESGU, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.45
2.15
ESGD
ESGU

Dividends

ESGD vs. ESGU - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.26%, more than ESGU's 1.17% yield.


TTM20232022202120202019201820172016
ESGD
iShares ESG Aware MSCI EAFE ETF
3.26%3.02%2.59%2.75%1.63%2.57%2.69%2.65%0.09%
ESGU
iShares ESG MSCI USA ETF
1.17%1.43%1.58%1.06%1.27%1.32%1.81%1.82%0.00%

Drawdowns

ESGD vs. ESGU - Drawdown Comparison

The maximum ESGD drawdown since its inception was -33.70%, roughly equal to the maximum ESGU drawdown of -33.87%. Use the drawdown chart below to compare losses from any high point for ESGD and ESGU. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.81%
-2.77%
ESGD
ESGU

Volatility

ESGD vs. ESGU - Volatility Comparison

The current volatility for iShares ESG Aware MSCI EAFE ETF (ESGD) is 3.68%, while iShares ESG MSCI USA ETF (ESGU) has a volatility of 4.01%. This indicates that ESGD experiences smaller price fluctuations and is considered to be less risky than ESGU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.68%
4.01%
ESGD
ESGU
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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