ESGD vs. TLT
ESGD (iShares ESG Aware MSCI EAFE ETF) and TLT (iShares 20+ Year Treasury Bond ETF) are both exchange-traded funds - ESGD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Extended ESG Focus Index, while TLT is a Government Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index. Both are passively managed. Over the past 5 years, ESGD returned 8.06%/yr vs -6.27%/yr for TLT. At a correlation of -0.03, they often move in opposite directions. ESGD charges 0.20%/yr vs 0.15%/yr for TLT.
Performance
ESGD vs. TLT - Performance Comparison
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Returns By Period
In the year-to-date period, ESGD achieves a 9.10% return, which is significantly higher than TLT's -0.05% return.
ESGD
- 1D
- 0.73%
- 1M
- 2.89%
- YTD
- 9.10%
- 6M
- 10.97%
- 1Y
- 20.58%
- 3Y*
- 16.40%
- 5Y*
- 8.06%
- 10Y*
- —
TLT
- 1D
- 0.22%
- 1M
- 0.48%
- YTD
- -0.05%
- 6M
- -1.27%
- 1Y
- 3.48%
- 3Y*
- -1.67%
- 5Y*
- -6.27%
- 10Y*
- -1.56%
ESGD vs. TLT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 9.10% | 29.63% | 3.95% | 18.53% | -15.17% | 11.79% | 8.20% | 23.12% | -13.33% | 25.10% |
TLT iShares 20+ Year Treasury Bond ETF | -0.05% | 4.25% | -8.05% | 2.77% | -31.23% | -4.60% | 18.15% | 14.12% | -1.61% | 9.18% |
Correlation
The correlation between ESGD and TLT is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.35 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.29 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (All Time) Calculated using the full available price history since Jul 1, 2016 | -0.03 |
The correlation between ESGD and TLT shifts across timeframes, from -0.03 (all time) to 0.35 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ESGD vs. TLT — Risk / Return Rank
ESGD
TLT
ESGD vs. TLT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and iShares 20+ Year Treasury Bond ETF (TLT). 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.
| ESGD | TLT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.00 | ||
| Sortino ratioReturn per unit of downside risk | +1.39 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.07 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 1.77 | 0.46 | +1.31 |
| Martin ratioReturn relative to average drawdown | 6.63 | 1.14 | +5.49 |
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
| ESGD | TLT | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.36 | 0.36 | +1.00 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.49 | -0.40 | +0.88 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | -0.11 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 0.26 | +0.32 |
Drawdowns
ESGD vs. TLT - Drawdown Comparison
The maximum ESGD drawdown since its inception was -33.70%, smaller than the maximum TLT drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for ESGD and TLT.
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Drawdown Indicators
| ESGD | TLT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.70% | -48.35% | +14.65% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -7.58% | -4.10% |
Max Drawdown (3Y)Largest decline over 3 years | -13.86% | -19.18% | +5.32% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | -43.70% | +13.67% |
Max Drawdown (10Y)Largest decline over 10 years | — | -48.35% | — |
Current DrawdownCurrent decline from peak | -0.64% | -40.31% | +39.67% |
Average DrawdownAverage peak-to-trough decline | -6.19% | -13.82% | +7.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.11% | 3.05% | +0.06% |
Volatility
ESGD vs. TLT - Volatility Comparison
iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 4.77% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 2.71%. This indicates that ESGD's price experiences larger fluctuations and is considered to be riskier than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGD | TLT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.77% | 2.71% | +2.06% |
Volatility (6M)Calculated over the trailing 6-month period | 12.60% | 6.50% | +6.10% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.21% | 9.77% | +5.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.61% | 15.86% | +0.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.97% | 14.90% | +2.07% |
ESGD vs. TLT - Expense Ratio Comparison
ESGD has a 0.20% expense ratio, which is higher than TLT'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%.
Dividends
ESGD vs. TLT - Dividend Comparison
ESGD's dividend yield for the trailing twelve months is around 3.30%, less than TLT's 4.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 3.30% | 3.60% | 3.23% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% | 0.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.58% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
Frequently Asked Questions
ESGD and TLT have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ESGD has higher volatility (4.77%) compared to TLT (2.71%). In terms of maximum drawdown, ESGD dropped -33.70% vs TLT's -48.35%.
On 5-year performance, ESGD leads with 8.06% vs -6.27% for TLT. On fees, TLT is cheaper at 0.15% per year. On volatility, TLT has been the lower-risk option at 2.71%. 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 8.06% return vs -6.27%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TLT is cheaper with a 0.15% expense ratio, compared with 0.20% for ESGD.
TLT has the higher dividend yield at 4.58%, compared with 3.30% for ESGD.
ESGD is categorized as Foreign Large Cap Equities, while TLT is Government Bonds. ESGD tracks MSCI EAFE Extended ESG Focus Index, while TLT tracks ICE U.S. Treasury 20+ Year Bond Index. Their fees differ too: 0.20% for ESGD and 0.15% for TLT.
ESGD currently has the higher Sharpe Ratio (1.36 vs 0.36), 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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