ESGE vs. EVLU
ESGE (iShares ESG Aware MSCI EM ETF) and EVLU (iShares MSCI Emerging Markets Value Factor ETF) are both Emerging Markets Equities funds from iShares - ESGE tracks the MSCI EM Extended ESG Focus Index while EVLU tracks the MSCI Emerging Markets Value Factor Select Index (Net). Both are passively managed. Over the past year, ESGE returned 55.02% vs 72.04% for EVLU. Their correlation of 0.92 suggests significant overlap in exposure. ESGE charges 0.25%/yr vs 0.35%/yr for EVLU.
Performance
ESGE vs. EVLU - Performance Comparison
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Returns By Period
In the year-to-date period, ESGE achieves a 26.85% return, which is significantly lower than EVLU's 34.01% return.
ESGE
- 1D
- -1.23%
- 1M
- 9.37%
- YTD
- 26.85%
- 6M
- 29.21%
- 1Y
- 55.02%
- 3Y*
- 24.13%
- 5Y*
- 6.83%
- 10Y*
- —
EVLU
- 1D
- -2.27%
- 1M
- 15.31%
- YTD
- 34.01%
- 6M
- 37.37%
- 1Y
- 72.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ESGE vs. EVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ESGE iShares ESG Aware MSCI EM ETF | 26.85% | 35.86% | 2.10% |
EVLU iShares MSCI Emerging Markets Value Factor ETF | 34.01% | 38.54% | 1.61% |
Correlation
The correlation between ESGE and EVLU is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.92 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2024 | 0.92 |
The correlation between ESGE and EVLU has been stable across timeframes, ranging from 0.92 to 0.92 - a consistent structural relationship.
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Return for Risk
ESGE vs. EVLU — Risk / Return Rank
ESGE
EVLU
ESGE vs. EVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EM ETF (ESGE) and iShares MSCI Emerging Markets Value Factor ETF (EVLU). 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 | EVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.05 | ||
| Sortino ratioReturn per unit of downside risk | -1.15 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 1.67 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | 3.98 | 5.61 | -1.63 |
| Martin ratioReturn relative to average drawdown | 15.51 | 20.79 | -5.28 |
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
| ESGE | EVLU | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.75 | 3.80 | -1.05 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.36 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.50 | 2.23 | -1.74 |
Drawdowns
ESGE vs. EVLU - Drawdown Comparison
The maximum ESGE drawdown since its inception was -41.07%, which is greater than EVLU's maximum drawdown of -17.17%. Use the drawdown chart below to compare losses from any high point for ESGE and EVLU.
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Drawdown Indicators
| ESGE | EVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.07% | -17.17% | -23.90% |
Max Drawdown (1Y)Largest decline over 1 year | -13.90% | -12.90% | -1.00% |
Max Drawdown (3Y)Largest decline over 3 years | -16.71% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -39.23% | — | — |
Current DrawdownCurrent decline from peak | -1.23% | -2.27% | +1.04% |
Average DrawdownAverage peak-to-trough decline | -14.47% | -3.48% | -10.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.56% | 3.48% | +0.08% |
Volatility
ESGE vs. EVLU - Volatility Comparison
The current volatility for iShares ESG Aware MSCI EM ETF (ESGE) is 8.56%, while iShares MSCI Emerging Markets Value Factor ETF (EVLU) has a volatility of 9.17%. This indicates that ESGE experiences smaller price fluctuations and is considered to be less risky than EVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGE | EVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.56% | 9.17% | -0.61% |
Volatility (6M)Calculated over the trailing 6-month period | 17.46% | 16.23% | +1.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.10% | 19.04% | +1.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.11% | 19.93% | -0.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.94% | 19.93% | +0.01% |
ESGE vs. EVLU - Expense Ratio Comparison
ESGE has a 0.25% expense ratio, which is lower than EVLU's 0.35% expense ratio.
Dividends
ESGE vs. EVLU - Dividend Comparison
ESGE's dividend yield for the trailing twelve months is around 1.97%, less than EVLU's 3.88% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
ESGE iShares ESG Aware MSCI EM ETF | 1.97% | 2.50% | 2.41% | 2.64% | 2.68% | 2.66% | 1.31% | 2.59% | 2.19% | 1.86% | 0.27% |
EVLU iShares MSCI Emerging Markets Value Factor ETF | 3.88% | 5.20% | 1.03% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
With a correlation of 0.92, ESGE and EVLU 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.
EVLU has higher volatility (9.17%) compared to ESGE (8.56%). In terms of maximum drawdown, ESGE dropped -41.07% vs EVLU's -17.17%.
On 1-year performance, EVLU leads with 72.04% vs 55.02% for ESGE. On fees, ESGE is cheaper at 0.25% per year. On volatility, ESGE has been the lower-risk option at 8.56%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, EVLU has performed better with a 72.04% return vs 55.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ESGE is cheaper with a 0.25% expense ratio, compared with 0.35% for EVLU.
EVLU has the higher dividend yield at 3.88%, compared with 1.97% for ESGE.
ESGE tracks MSCI EM Extended ESG Focus Index, while EVLU tracks MSCI Emerging Markets Value Factor Select Index (Net). Their fees differ too: 0.25% for ESGE and 0.35% for EVLU.
EVLU currently has the higher Sharpe Ratio (3.80 vs 2.75), 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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