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

Key characteristics


ESGEESGU
YTD Return11.79%20.44%
1Y Return18.27%32.94%
3Y Return (Ann)-2.75%6.83%
5Y Return (Ann)2.83%14.71%
Sharpe Ratio1.332.78
Sortino Ratio1.953.70
Omega Ratio1.241.52
Calmar Ratio0.673.51
Martin Ratio7.1618.05
Ulcer Index2.92%1.90%
Daily Std Dev15.62%12.33%
Max Drawdown-41.07%-33.87%
Current Drawdown-17.93%-2.55%

Correlation

-0.50.00.51.00.6

The correlation between ESGE and ESGU is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

ESGE vs. ESGU - Performance Comparison

In the year-to-date period, ESGE achieves a 11.79% return, which is significantly lower than ESGU's 20.44% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
7.88%
10.75%
ESGE
ESGU

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ESGE vs. ESGU - Expense Ratio Comparison

ESGE has a 0.25% expense ratio, which is higher than ESGU'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%.


ESGE
iShares ESG Aware MSCI EM ETF
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%
Expense ratio chart for ESGU: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

ESGE vs. ESGU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EM ETF (ESGE) and iShares ESG MSCI USA ETF (ESGU). 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.


ESGE
Sharpe ratio
The chart of Sharpe ratio for ESGE, currently valued at 1.33, compared to the broader market0.002.004.001.33
Sortino ratio
The chart of Sortino ratio for ESGE, currently valued at 1.95, compared to the broader market0.005.0010.001.95
Omega ratio
The chart of Omega ratio for ESGE, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for ESGE, currently valued at 0.67, compared to the broader market0.005.0010.0015.0020.000.67
Martin ratio
The chart of Martin ratio for ESGE, currently valued at 7.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.16
ESGU
Sharpe ratio
The chart of Sharpe ratio for ESGU, currently valued at 2.78, compared to the broader market0.002.004.002.78
Sortino ratio
The chart of Sortino ratio for ESGU, currently valued at 3.70, compared to the broader market0.005.0010.003.70
Omega ratio
The chart of Omega ratio for ESGU, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for ESGU, currently valued at 3.50, compared to the broader market0.005.0010.0015.0020.003.51
Martin ratio
The chart of Martin ratio for ESGU, currently valued at 18.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.05

ESGE vs. ESGU - Sharpe Ratio Comparison

The current ESGE Sharpe Ratio is 1.33, which is lower than the ESGU Sharpe Ratio of 2.78. The chart below compares the historical Sharpe Ratios of ESGE and ESGU, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.33
2.78
ESGE
ESGU

Dividends

ESGE vs. ESGU - Dividend Comparison

ESGE's dividend yield for the trailing twelve months is around 2.45%, more than ESGU's 1.16% yield.


TTM20232022202120202019201820172016
ESGE
iShares ESG Aware MSCI EM ETF
2.45%2.64%2.68%2.66%1.31%2.59%2.19%1.86%0.27%
ESGU
iShares ESG MSCI USA ETF
1.16%1.43%1.58%1.06%1.27%1.32%1.81%1.82%0.00%

Drawdowns

ESGE vs. ESGU - Drawdown Comparison

The maximum ESGE drawdown since its inception was -41.07%, which is greater than ESGU's maximum drawdown of -33.87%. Use the drawdown chart below to compare losses from any high point for ESGE and ESGU. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-17.93%
-2.55%
ESGE
ESGU

Volatility

ESGE vs. ESGU - Volatility Comparison

iShares ESG Aware MSCI EM ETF (ESGE) has a higher volatility of 4.18% compared to iShares ESG MSCI USA ETF (ESGU) at 3.24%. This indicates that ESGE's price experiences larger fluctuations and is considered to be riskier than ESGU 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%JuneJulyAugustSeptemberOctoberNovember
4.18%
3.24%
ESGE
ESGU