ESGD vs. VEU

Last updated Jun 24, 2026

ESGD (iShares ESG Aware MSCI EAFE ETF) and VEU (Vanguard FTSE All-World ex-US ETF) are both Foreign Large Cap Equities funds - ESGD tracks the MSCI EAFE Extended ESG Focus Index while VEU tracks the FTSE All-World ex US Index. Both are passively managed. Over the past 5 years, ESGD returned 8.11%/yr vs 8.60%/yr for VEU. Their correlation of 0.94 suggests significant overlap in exposure. ESGD charges 0.20%/yr vs 0.04%/yr for VEU.

Performance

ESGD vs. VEU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EAFE ETF (ESGD) and Vanguard FTSE All-World ex-US ETF (VEU). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGD achieves a 8.26% return, which is significantly lower than VEU's 13.01% return.

ESGD

• 1D: -2.14%
• 1M: 0.17%
• YTD: 8.26%
• 6M: 7.92%
• 1Y: 20.95%
• 3Y*: 16.09%
• 5Y*: 8.11%
• 10Y*: —

VEU

• 1D: -3.06%
• 1M: 0.69%
• YTD: 13.01%
• 6M: 12.81%
• 1Y: 30.08%
• 3Y*: 19.26%
• 5Y*: 8.60%
• 10Y*: 10.40%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGD vs. VEU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGD iShares ESG Aware MSCI EAFE ETF	8.26%	29.63%	3.95%	18.53%	-15.17%	11.79%	8.20%	23.12%	-13.33%	25.10%
VEU Vanguard FTSE All-World ex-US ETF	13.01%	32.35%	5.56%	15.84%	-15.58%	8.27%	11.10%	21.83%	-14.18%	27.40%

Correlation

The correlation between ESGD and VEU is 0.96 - 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	0.96
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 Jun 30, 2016	0.94

The correlation between ESGD and VEU has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.

ESGD vs. VEU - Sectors Allocation Comparison

Sectors	ESGD	VEU
Financial Services	26.6%	22.6%
Industrials	18.4%	15.0%
Technology	13.2%	21.6%
Healthcare	9.5%	6.7%
Consumer Defensive	6.8%	4.9%
Consumer Cyclical	6.6%	8.0%
Basic Materials	5.6%	7.1%
Communication Services	4.2%	4.5%
Utilities	3.6%	3.0%
Energy	3.4%	4.7%
Real Estate	1.6%	1.9%

Return for Risk

ESGD vs. VEU — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESGD

ESGD Risk / Return Rank: 39
ESGD Sharpe Ratio Rank: 39
ESGD Sortino Ratio Rank: 39
ESGD Omega Ratio Rank: 39
ESGD Calmar Ratio Rank: 38
ESGD Martin Ratio Rank: 43

VEU

VEU Risk / Return Rank: 56
VEU Sharpe Ratio Rank: 56
VEU Sortino Ratio Rank: 54
VEU Omega Ratio Rank: 57
VEU Calmar Ratio Rank: 55
VEU Martin Ratio Rank: 59

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.

ESGD vs. VEU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and Vanguard FTSE All-World ex-US ETF (VEU). 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	VEU	Difference
Sharpe ratio: Return per unit of total volatility	1.33	1.84	-0.51
Sortino ratio: Return per unit of downside risk	1.93	2.52	-0.59
Omega ratio: Gain probability vs. loss probability	1.24	1.34	-0.10
Calmar ratio: Return relative to maximum drawdown	1.80	2.64	-0.84
Martin ratio: Return relative to average drawdown	6.72	10.12	-3.40

ESGD vs. VEU - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.33, which is comparable to the VEU Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of ESGD and VEU, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ESGD vs. VEU - Drawdown Comparison

The maximum ESGD drawdown since its inception was -33.70%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for ESGD and VEU.

Drawdown Indicators

	ESGD	VEU	Difference
Max Drawdown Largest peak-to-trough decline	-33.70%	-61.52%	+27.82%
Max Drawdown (1Y) Largest decline over 1 year	-11.68%	-11.43%	-0.25%
Max Drawdown (3Y) Largest decline over 3 years	-13.86%	-13.69%	-0.17%
Max Drawdown (5Y) Largest decline over 5 years	-30.03%	-29.14%	-0.89%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.98%	—
Current Drawdown Current decline from peak	-2.14%	-3.06%	+0.92%
Average Drawdown Average peak-to-trough decline	-6.16%	-13.10%	+6.94%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.12%	2.98%	+0.14%

Volatility

ESGD vs. VEU - Volatility Comparison

The current volatility for iShares ESG Aware MSCI EAFE ETF (ESGD) is 5.48%, while Vanguard FTSE All-World ex-US ETF (VEU) has a volatility of 7.10%. This indicates that ESGD experiences smaller price fluctuations and is considered to be less risky than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGD	VEU	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.48%	7.10%	-1.62%
Volatility (6M) Calculated over the trailing 6-month period	13.45%	14.47%	-1.02%
Volatility (1Y) Calculated over the trailing 1-year period	15.86%	16.44%	-0.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.72%	16.30%	+0.42%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.00%	17.08%	-0.08%

ESGD vs. VEU - Expense Ratio Comparison

ESGD has a 0.20% expense ratio, which is higher than VEU's 0.04% 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. VEU - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.38%, more than VEU's 2.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%	0.00%
VEU Vanguard FTSE All-World ex-US ETF	2.56%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%

Frequently Asked Questions

Can I hold both ESGD and VEU in my portfolio?

With a correlation of 0.96, ESGD and VEU 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.

Which is riskier, ESGD or VEU?

VEU has higher volatility (7.10%) compared to ESGD (5.48%). In terms of maximum drawdown, ESGD dropped -33.70% vs VEU's -61.52%.

Which ETF is better, ESGD or VEU?

On 5-year performance, VEU leads with 8.60% vs 8.11% for ESGD. On fees, VEU is cheaper at 0.04% per year. On volatility, ESGD has been the lower-risk option at 5.48%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGD or VEU?

Over the 5-year period, VEU has performed better with a 8.60% return vs 8.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGD or VEU?

VEU is cheaper with a 0.04% expense ratio, compared with 0.20% for ESGD.

Which ETF pays a higher dividend yield, ESGD or VEU?

ESGD has the higher dividend yield at 3.38%, compared with 2.56% for VEU.

What is the main difference between ESGD and VEU?

ESGD tracks MSCI EAFE Extended ESG Focus Index, while VEU tracks FTSE All-World ex US Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.20% for ESGD and 0.04% for VEU.

Which has better risk-adjusted returns?

VEU currently has the higher Sharpe Ratio (1.84 vs 1.33), 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.