ESGD vs. SDG
ESGD (iShares ESG Aware MSCI EAFE ETF) and SDG (iShares MSCI Global Sustainable Development Goals ETF) are both exchange-traded funds - ESGD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Extended ESG Focus Index, while SDG is a Global Equities fund tracking the MSCI ACWI Sustainable Development Index. Both are passively managed. Over the past 5 years, ESGD returned 8.77%/yr vs 0.09%/yr for SDG. A 0.79 correlation means they provide meaningful diversification when combined. ESGD charges 0.20%/yr vs 0.50%/yr for SDG.
Performance
ESGD vs. SDG - Performance Comparison
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Returns By Period
In the year-to-date period, ESGD achieves a 10.63% return, which is significantly higher than SDG's 7.33% return.
ESGD
- 1D
- 0.40%
- 1M
- 2.37%
- YTD
- 10.63%
- 6M
- 10.98%
- 1Y
- 24.49%
- 3Y*
- 16.93%
- 5Y*
- 8.77%
- 10Y*
- —
SDG
- 1D
- 0.08%
- 1M
- -0.84%
- YTD
- 7.33%
- 6M
- 7.12%
- 1Y
- 23.73%
- 3Y*
- 7.07%
- 5Y*
- 0.09%
- 10Y*
- 8.80%
ESGD vs. SDG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 10.63% | 29.63% | 3.95% | 18.53% | -15.17% | 11.79% | 8.20% | 23.12% | -13.33% | 25.10% |
SDG iShares MSCI Global Sustainable Development Goals ETF | 7.33% | 20.19% | -10.09% | 4.59% | -11.51% | -1.20% | 44.36% | 25.38% | -8.32% | 27.28% |
Correlation
The correlation between ESGD and SDG is 0.77, 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 | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.77 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Jun 30, 2016 | 0.79 |
The correlation between ESGD and SDG has been stable across timeframes, ranging from 0.77 to 0.82 - a consistent structural relationship.
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Return for Risk
ESGD vs. SDG — Risk / Return Rank
ESGD
SDG
ESGD vs. SDG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares MSCI Global Sustainable Development Goals ETF (SDG). 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 | SDG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.03 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.28 | 1.29 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.11 | 2.75 | -0.64 |
| Martin ratioReturn relative to average drawdown | 7.87 | 9.88 | -2.01 |
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Drawdowns
ESGD vs. SDG - Drawdown Comparison
The maximum ESGD drawdown since its inception was -33.70%, which is greater than SDG's maximum drawdown of -30.35%. Use the drawdown chart below to compare losses from any high point for ESGD and SDG.
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Drawdown Indicators
| ESGD | SDG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.70% | -30.35% | -3.35% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -8.68% | -3.00% |
Max Drawdown (3Y)Largest decline over 3 years | -13.86% | -22.92% | +9.06% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | -30.35% | +0.32% |
Max Drawdown (10Y)Largest decline over 10 years | — | -30.35% | — |
Current DrawdownCurrent decline from peak | 0.00% | -2.95% | +2.95% |
Average DrawdownAverage peak-to-trough decline | -6.16% | -9.63% | +3.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.12% | 2.41% | +0.71% |
Volatility
ESGD vs. SDG - Volatility Comparison
The current volatility for iShares ESG Aware MSCI EAFE ETF (ESGD) is 4.99%, while iShares MSCI Global Sustainable Development Goals ETF (SDG) has a volatility of 5.68%. This indicates that ESGD experiences smaller price fluctuations and is considered to be less risky than SDG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGD | SDG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.99% | 5.68% | -0.69% |
Volatility (6M)Calculated over the trailing 6-month period | 13.27% | 11.87% | +1.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.73% | 14.92% | +0.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.69% | 15.76% | +0.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.99% | 16.71% | +0.28% |
ESGD vs. SDG - Expense Ratio Comparison
ESGD has a 0.20% expense ratio, which is lower than SDG's 0.50% expense ratio.
Dividends
ESGD vs. SDG - Dividend Comparison
ESGD's dividend yield for the trailing twelve months is around 3.31%, more than SDG's 1.69% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 3.31% | 3.60% | 3.23% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% |
SDG iShares MSCI Global Sustainable Development Goals ETF | 1.69% | 2.00% | 1.95% | 1.77% | 1.82% | 1.66% | 0.97% | 1.39% | 2.47% | 2.54% | 1.34% |
Frequently Asked Questions
ESGD and SDG have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SDG has higher volatility (5.68%) compared to ESGD (4.99%). In terms of maximum drawdown, ESGD dropped -33.70% vs SDG's -30.35%.
On 5-year performance, ESGD leads with 8.77% vs 0.09% for SDG. On fees, ESGD is cheaper at 0.20% per year. On volatility, ESGD has been the lower-risk option at 4.99%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, ESGD has performed better with a 8.77% return vs 0.09%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ESGD is cheaper with a 0.20% expense ratio, compared with 0.50% for SDG.
ESGD has the higher dividend yield at 3.31%, compared with 1.69% for SDG.
ESGD is categorized as Foreign Large Cap Equities, while SDG is Global Equities. ESGD tracks MSCI EAFE Extended ESG Focus Index, while SDG tracks MSCI ACWI Sustainable Development Index. Their fees differ too: 0.20% for ESGD and 0.50% for SDG.
SDG currently has the higher Sharpe Ratio (1.60 vs 1.57), 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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