ESGD vs. EVUS
ESGD (iShares ESG Aware MSCI EAFE ETF) and EVUS (Ishares ESG Aware MSCI USA Value ETF) are both exchange-traded funds - ESGD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Extended ESG Focus Index, while EVUS is a Large Cap Value Equities fund tracking the MSCI USA Value Extended ESG Focus Index - Benchmark TR Gross. Both are passively managed. Over the past 3 years, ESGD returned 16.04%/yr vs 15.67%/yr for EVUS. A 0.71 correlation means they provide meaningful diversification when combined. ESGD charges 0.20%/yr vs 0.18%/yr for EVUS.
Performance
ESGD vs. EVUS - Performance Comparison
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Returns By Period
In the year-to-date period, ESGD achieves a 8.13% return, which is significantly lower than EVUS's 9.74% return.
ESGD
- 1D
- -0.12%
- 1M
- 0.05%
- YTD
- 8.13%
- 6M
- 7.64%
- 1Y
- 19.32%
- 3Y*
- 16.04%
- 5Y*
- 8.05%
- 10Y*
- —
EVUS
- 1D
- -0.08%
- 1M
- 0.19%
- YTD
- 9.74%
- 6M
- 8.66%
- 1Y
- 19.17%
- 3Y*
- 15.67%
- 5Y*
- —
- 10Y*
- —
ESGD vs. EVUS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 8.13% | 29.63% | 3.95% | 7.65% |
EVUS Ishares ESG Aware MSCI USA Value ETF | 9.74% | 13.31% | 14.23% | 3.68% |
Correlation
The correlation between ESGD and EVUS is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.70 |
Correlation (All Time) Calculated using the full available price history since Feb 2, 2023 | 0.71 |
The correlation between ESGD and EVUS has been stable across timeframes, ranging from 0.70 to 0.75 - a consistent structural relationship.
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Return for Risk
ESGD vs. EVUS — Risk / Return Rank
ESGD
EVUS
ESGD vs. EVUS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and Ishares ESG Aware MSCI USA Value ETF (EVUS). 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.
| ESGD | EVUS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.58 | ||
| Sortino ratioReturn per unit of downside risk | -0.77 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.32 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.66 | 2.49 | -0.83 |
| Martin ratioReturn relative to average drawdown | 6.19 | 10.42 | -4.22 |
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Drawdowns
ESGD vs. EVUS - Drawdown Comparison
The maximum ESGD drawdown since its inception was -33.70%, which is greater than EVUS's maximum drawdown of -15.65%. Use the drawdown chart below to compare losses from any high point for ESGD and EVUS.
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Drawdown Indicators
| ESGD | EVUS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.70% | -15.65% | -18.05% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -7.72% | -3.96% |
Max Drawdown (3Y)Largest decline over 3 years | -13.86% | -15.65% | +1.79% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | — | — |
Current DrawdownCurrent decline from peak | -2.26% | -1.23% | -1.03% |
Average DrawdownAverage peak-to-trough decline | -6.16% | -2.75% | -3.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 1.85% | +1.28% |
Volatility
ESGD vs. EVUS - Volatility Comparison
iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 5.48% compared to Ishares ESG Aware MSCI USA Value ETF (EVUS) at 3.19%. This indicates that ESGD's price experiences larger fluctuations and is considered to be riskier than EVUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGD | EVUS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.48% | 3.19% | +2.29% |
Volatility (6M)Calculated over the trailing 6-month period | 13.44% | 8.21% | +5.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.85% | 10.67% | +5.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.71% | 12.71% | +4.00% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.00% | 12.71% | +4.29% |
ESGD vs. EVUS - Expense Ratio Comparison
ESGD has a 0.20% expense ratio, which is higher than EVUS's 0.18% 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%.
Dividends
ESGD vs. EVUS - Dividend Comparison
ESGD's dividend yield for the trailing twelve months is around 3.38%, more than EVUS's 1.53% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 3.38% | 3.60% | 3.23% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% |
EVUS Ishares ESG Aware MSCI USA Value ETF | 1.53% | 1.62% | 1.99% | 2.31% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ESGD and EVUS have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ESGD has higher volatility (5.48%) compared to EVUS (3.19%). In terms of maximum drawdown, ESGD dropped -33.70% vs EVUS's -15.65%.
On 3-year performance, ESGD leads with 16.04% vs 15.67% for EVUS. On fees, EVUS is cheaper at 0.18% per year. On volatility, EVUS has been the lower-risk option at 3.19%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, ESGD has performed better with a 16.04% return vs 15.67%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
EVUS is cheaper with a 0.18% expense ratio, compared with 0.20% for ESGD.
ESGD has the higher dividend yield at 3.38%, compared with 1.53% for EVUS.
ESGD is categorized as Foreign Large Cap Equities, while EVUS is Large Cap Value Equities. ESGD tracks MSCI EAFE Extended ESG Focus Index, while EVUS tracks MSCI USA Value Extended ESG Focus Index - Benchmark TR Gross. Their fees differ too: 0.20% for ESGD and 0.18% for EVUS.
EVUS currently has the higher Sharpe Ratio (1.81 vs 1.23), 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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