ESGD vs. VNQ
ESGD (iShares ESG Aware MSCI EAFE ETF) and VNQ (Vanguard Real Estate ETF) are both exchange-traded funds - ESGD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Extended ESG Focus Index, while VNQ is a REIT fund tracking the MSCI US Investable Market Real Estate 25/50 Index. Both are passively managed. Over the past 5 years, ESGD returned 8.05%/yr vs 2.52%/yr for VNQ. A 0.51 correlation means they provide meaningful diversification when combined. ESGD charges 0.20%/yr vs 0.13%/yr for VNQ.
Performance
ESGD vs. VNQ - 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 VNQ's 10.80% return.
ESGD
- 1D
- -0.12%
- 1M
- 0.05%
- YTD
- 8.13%
- 6M
- 7.64%
- 1Y
- 19.32%
- 3Y*
- 16.04%
- 5Y*
- 8.05%
- 10Y*
- —
VNQ
- 1D
- -0.87%
- 1M
- 0.25%
- YTD
- 10.80%
- 6M
- 10.46%
- 1Y
- 10.33%
- 3Y*
- 10.98%
- 5Y*
- 2.52%
- 10Y*
- 5.35%
ESGD vs. VNQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 8.13% | 29.63% | 3.95% | 18.53% | -15.17% | 11.79% | 8.20% | 23.12% | -13.33% | 25.10% |
VNQ Vanguard Real Estate ETF | 10.80% | 3.24% | 4.81% | 11.85% | -26.25% | 40.54% | -4.61% | 28.91% | -6.03% | 4.90% |
Correlation
The correlation between ESGD and VNQ is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.46 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since Jun 30, 2016 | 0.51 |
The correlation between ESGD and VNQ shifts across timeframes, from 0.46 (1 year) to 0.58 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
ESGD vs. VNQ — Risk / Return Rank
ESGD
VNQ
ESGD vs. VNQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) and Vanguard Real Estate ETF (VNQ). 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 | VNQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.48 | ||
| Sortino ratioReturn per unit of downside risk | +0.69 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.14 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 1.66 | 1.24 | +0.42 |
| Martin ratioReturn relative to average drawdown | 6.19 | 3.92 | +2.27 |
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Drawdowns
ESGD vs. VNQ - Drawdown Comparison
The maximum ESGD drawdown since its inception was -33.70%, smaller than the maximum VNQ drawdown of -73.07%. Use the drawdown chart below to compare losses from any high point for ESGD and VNQ.
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Drawdown Indicators
| ESGD | VNQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.70% | -73.07% | +39.37% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -8.34% | -3.34% |
Max Drawdown (3Y)Largest decline over 3 years | -13.86% | -17.46% | +3.60% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | -34.48% | +4.45% |
Max Drawdown (10Y)Largest decline over 10 years | — | -42.40% | — |
Current DrawdownCurrent decline from peak | -2.26% | -1.52% | -0.74% |
Average DrawdownAverage peak-to-trough decline | -6.16% | -13.60% | +7.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 2.66% | +0.47% |
Volatility
ESGD vs. VNQ - Volatility Comparison
iShares ESG Aware MSCI EAFE ETF (ESGD) and Vanguard Real Estate ETF (VNQ) have volatilities of 5.48% and 5.27%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGD | VNQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.48% | 5.27% | +0.21% |
Volatility (6M)Calculated over the trailing 6-month period | 13.44% | 10.24% | +3.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.85% | 13.79% | +2.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.71% | 18.87% | -2.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.00% | 20.75% | -3.75% |
ESGD vs. VNQ - Expense Ratio Comparison
ESGD has a 0.20% expense ratio, which is higher than VNQ's 0.13% 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. VNQ - Dividend Comparison
ESGD's dividend yield for the trailing twelve months is around 3.38%, less than VNQ's 3.59% 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% |
VNQ Vanguard Real Estate ETF | 3.59% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
Frequently Asked Questions
ESGD and VNQ have a correlation of 0.46, 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 VNQ (5.27%). In terms of maximum drawdown, ESGD dropped -33.70% vs VNQ's -73.07%.
On 5-year performance, ESGD leads with 8.05% vs 2.52% for VNQ. On fees, VNQ is cheaper at 0.13% per year. On volatility, VNQ has been the lower-risk option at 5.27%. 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 8.05% return vs 2.52%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VNQ is cheaper with a 0.13% expense ratio, compared with 0.20% for ESGD.
VNQ has the higher dividend yield at 3.59%, compared with 3.38% for ESGD.
ESGD is categorized as Foreign Large Cap Equities, while VNQ is REIT. ESGD tracks MSCI EAFE Extended ESG Focus Index, while VNQ tracks MSCI US Investable Market Real Estate 25/50 Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.20% for ESGD and 0.13% for VNQ.
ESGD currently has the higher Sharpe Ratio (1.23 vs 0.75), 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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