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

Performance

ESGE vs. GLD - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
2.63%
8.48%
ESGE
GLD

Returns By Period

In the year-to-date period, ESGE achieves a 8.74% return, which is significantly lower than GLD's 27.24% return.


ESGE

YTD

8.74%

1M

-5.31%

6M

2.62%

1Y

11.30%

5Y (annualized)

2.59%

10Y (annualized)

N/A

GLD

YTD

27.24%

1M

-3.19%

6M

8.48%

1Y

32.66%

5Y (annualized)

12.04%

10Y (annualized)

7.76%

Key characteristics


ESGEGLD
Sharpe Ratio0.802.18
Sortino Ratio1.232.92
Omega Ratio1.151.38
Calmar Ratio0.413.99
Martin Ratio3.8813.04
Ulcer Index3.29%2.49%
Daily Std Dev15.90%14.87%
Max Drawdown-41.07%-45.56%
Current Drawdown-20.17%-5.53%

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ESGE vs. GLD - Expense Ratio Comparison

ESGE has a 0.25% expense ratio, which is lower than GLD's 0.40% expense ratio.


GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
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%

Correlation

-0.50.00.51.00.2

The correlation between ESGE and GLD is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

ESGE vs. GLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EM ETF (ESGE) and SPDR Gold Trust (GLD). 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 0.80, compared to the broader market0.002.004.006.000.802.18
The chart of Sortino ratio for ESGE, currently valued at 1.23, compared to the broader market-2.000.002.004.006.008.0010.0012.001.232.92
The chart of Omega ratio for ESGE, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.38
The chart of Calmar ratio for ESGE, currently valued at 0.41, compared to the broader market0.005.0010.0015.000.413.99
The chart of Martin ratio for ESGE, currently valued at 3.88, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.8813.04
ESGE
GLD

The current ESGE Sharpe Ratio is 0.80, which is lower than the GLD Sharpe Ratio of 2.18. The chart below compares the historical Sharpe Ratios of ESGE and GLD, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
0.80
2.18
ESGE
GLD

Dividends

ESGE vs. GLD - Dividend Comparison

ESGE's dividend yield for the trailing twelve months is around 2.52%, while GLD has not paid dividends to shareholders.


TTM20232022202120202019201820172016
ESGE
iShares ESG Aware MSCI EM ETF
2.52%2.65%2.68%2.66%1.31%2.59%2.18%1.86%0.27%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

ESGE vs. GLD - Drawdown Comparison

The maximum ESGE drawdown since its inception was -41.07%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for ESGE and GLD. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-20.17%
-5.53%
ESGE
GLD

Volatility

ESGE vs. GLD - Volatility Comparison

The current volatility for iShares ESG Aware MSCI EM ETF (ESGE) is 4.86%, while SPDR Gold Trust (GLD) has a volatility of 5.73%. This indicates that ESGE experiences smaller price fluctuations and is considered to be less risky than GLD 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
4.86%
5.73%
ESGE
GLD