PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ESGE vs. NUEM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ESGE vs. NUEM - Performance Comparison

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

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
2.63%
3.50%
ESGE
NUEM

Returns By Period

In the year-to-date period, ESGE achieves a 8.74% return, which is significantly lower than NUEM's 10.74% return.


ESGE

YTD

8.74%

1M

-5.31%

6M

2.62%

1Y

11.30%

5Y (annualized)

2.59%

10Y (annualized)

N/A

NUEM

YTD

10.74%

1M

-5.53%

6M

3.50%

1Y

13.79%

5Y (annualized)

4.85%

10Y (annualized)

N/A

Key characteristics


ESGENUEM
Sharpe Ratio0.800.69
Sortino Ratio1.231.08
Omega Ratio1.151.14
Calmar Ratio0.410.49
Martin Ratio3.884.45
Ulcer Index3.29%3.20%
Daily Std Dev15.90%20.69%
Max Drawdown-41.07%-39.48%
Current Drawdown-20.17%-16.22%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ESGE vs. NUEM - Expense Ratio Comparison

ESGE has a 0.25% expense ratio, which is lower than NUEM's 0.35% expense ratio.


NUEM
Nuveen ESG Emerging Markets Equity ETF
Expense ratio chart for NUEM: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
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

-0.50.00.51.00.9

The correlation between ESGE and NUEM is 0.91, 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.

Risk-Adjusted Performance

ESGE vs. NUEM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EM ETF (ESGE) and Nuveen ESG Emerging Markets Equity ETF (NUEM). 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 market0.002.004.006.000.800.69
The chart of Sortino ratio for ESGE, currently valued at 1.23, compared to the broader market-2.000.002.004.006.008.0010.0012.001.231.08
The chart of Omega ratio for ESGE, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.151.14
The chart of Calmar ratio for ESGE, currently valued at 0.41, compared to the broader market0.005.0010.0015.000.410.49
The chart of Martin ratio for ESGE, currently valued at 3.88, compared to the broader market0.0020.0040.0060.0080.00100.00120.003.884.45
ESGE
NUEM

The current ESGE Sharpe Ratio is 0.80, which is comparable to the NUEM Sharpe Ratio of 0.69. The chart below compares the historical Sharpe Ratios of ESGE and NUEM, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.80
0.69
ESGE
NUEM

Dividends

ESGE vs. NUEM - Dividend Comparison

ESGE's dividend yield for the trailing twelve months is around 2.52%, more than NUEM's 2.14% yield.


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%
NUEM
Nuveen ESG Emerging Markets Equity ETF
2.14%2.37%1.90%2.44%1.26%1.98%2.05%0.62%0.00%

Drawdowns

ESGE vs. NUEM - Drawdown Comparison

The maximum ESGE drawdown since its inception was -41.07%, roughly equal to the maximum NUEM drawdown of -39.48%. Use the drawdown chart below to compare losses from any high point for ESGE and NUEM. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%JuneJulyAugustSeptemberOctoberNovember
-20.17%
-16.22%
ESGE
NUEM

Volatility

ESGE vs. NUEM - Volatility Comparison

The current volatility for iShares ESG Aware MSCI EM ETF (ESGE) is 4.86%, while Nuveen ESG Emerging Markets Equity ETF (NUEM) has a volatility of 5.14%. This indicates that ESGE experiences smaller price fluctuations and is considered to be less risky than NUEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%JuneJulyAugustSeptemberOctoberNovember
4.86%
5.14%
ESGE
NUEM