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ESGE vs. AVES
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ESGE and AVES is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

ESGE vs. AVES - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EM ETF (ESGE) and Avantis Emerging Markets Value ETF (AVES). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
-10.32%
2.07%
ESGE
AVES

Key characteristics

Sharpe Ratio

ESGE:

0.75

AVES:

0.45

Sortino Ratio

ESGE:

1.15

AVES:

0.72

Omega Ratio

ESGE:

1.14

AVES:

1.09

Calmar Ratio

ESGE:

0.38

AVES:

0.56

Martin Ratio

ESGE:

3.01

AVES:

1.83

Ulcer Index

ESGE:

3.99%

AVES:

3.89%

Daily Std Dev

ESGE:

15.89%

AVES:

15.67%

Max Drawdown

ESGE:

-41.07%

AVES:

-27.40%

Current Drawdown

ESGE:

-20.85%

AVES:

-11.92%

Returns By Period

In the year-to-date period, ESGE achieves a 7.80% return, which is significantly higher than AVES's 2.71% return.


ESGE

YTD

7.80%

1M

-0.81%

6M

2.33%

1Y

9.89%

5Y*

1.22%

10Y*

N/A

AVES

YTD

2.71%

1M

-4.18%

6M

-4.05%

1Y

4.81%

5Y*

N/A

10Y*

N/A

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ESGE vs. AVES - Expense Ratio Comparison

ESGE has a 0.25% expense ratio, which is lower than AVES's 0.36% expense ratio.


AVES
Avantis Emerging Markets Value ETF
Expense ratio chart for AVES: current value at 0.36% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.36%
Expense ratio chart for ESGE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%

Risk-Adjusted Performance

ESGE vs. AVES - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EM ETF (ESGE) and Avantis Emerging Markets Value ETF (AVES). 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.


Sharpe ratio
The chart of Sharpe ratio for ESGE, currently valued at 0.75, compared to the broader market0.002.004.000.750.45
The chart of Sortino ratio for ESGE, currently valued at 1.15, compared to the broader market-2.000.002.004.006.008.0010.001.150.72
The chart of Omega ratio for ESGE, currently valued at 1.14, compared to the broader market0.501.001.502.002.503.001.141.09
The chart of Calmar ratio for ESGE, currently valued at 0.47, compared to the broader market0.005.0010.0015.000.470.56
The chart of Martin ratio for ESGE, currently valued at 3.01, compared to the broader market0.0020.0040.0060.0080.00100.003.011.83
ESGE
AVES

The current ESGE Sharpe Ratio is 0.75, which is higher than the AVES Sharpe Ratio of 0.45. The chart below compares the historical Sharpe Ratios of ESGE and AVES, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.75
0.45
ESGE
AVES

Dividends

ESGE vs. AVES - Dividend Comparison

ESGE's dividend yield for the trailing twelve months is around 2.31%, more than AVES's 1.02% yield.


TTM20232022202120202019201820172016
ESGE
iShares ESG Aware MSCI EM ETF
2.31%2.65%2.68%2.66%1.31%2.59%2.18%1.86%0.27%
AVES
Avantis Emerging Markets Value ETF
1.02%3.96%3.70%0.62%0.00%0.00%0.00%0.00%0.00%

Drawdowns

ESGE vs. AVES - Drawdown Comparison

The maximum ESGE drawdown since its inception was -41.07%, which is greater than AVES's maximum drawdown of -27.40%. Use the drawdown chart below to compare losses from any high point for ESGE and AVES. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.31%
-11.92%
ESGE
AVES

Volatility

ESGE vs. AVES - Volatility Comparison

The current volatility for iShares ESG Aware MSCI EM ETF (ESGE) is 3.86%, while Avantis Emerging Markets Value ETF (AVES) has a volatility of 4.69%. This indicates that ESGE experiences smaller price fluctuations and is considered to be less risky than AVES based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.86%
4.69%
ESGE
AVES
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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