ESGE vs. QUAL

Last updated Jun 16, 2026

ESGE (iShares ESG Aware MSCI EM ETF) and QUAL (iShares MSCI USA Quality Factor ETF) are both exchange-traded funds - ESGE is a Emerging Markets Equities fund tracking the MSCI EM Extended ESG Focus Index, while QUAL is a Large Cap Blend Equities fund tracking the MSCI USA Sector Neutral Quality Index. Both are passively managed. Over the past 5 years, ESGE returned 7.48%/yr vs 12.44%/yr for QUAL. A 0.64 correlation means they provide meaningful diversification when combined. ESGE charges 0.25%/yr vs 0.15%/yr for QUAL.

Performance

ESGE vs. QUAL - Performance Comparison

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

Returns By Period

In the year-to-date period, ESGE achieves a 27.56% return, which is significantly higher than QUAL's 10.79% return.

ESGE

• 1D: 2.95%
• 1M: 8.60%
• YTD: 27.56%
• 6M: 30.80%
• 1Y: 51.80%
• 3Y*: 22.81%
• 5Y*: 7.48%
• 10Y*: —

QUAL

• 1D: 1.24%
• 1M: 4.34%
• YTD: 10.79%
• 6M: 10.54%
• 1Y: 24.39%
• 3Y*: 19.23%
• 5Y*: 12.44%
• 10Y*: 14.62%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGE vs. QUAL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGE iShares ESG Aware MSCI EM ETF	27.56%	35.86%	6.63%	9.51%	-22.41%	-2.87%	18.60%	20.37%	-15.24%	38.86%
QUAL iShares MSCI USA Quality Factor ETF	10.79%	12.65%	22.29%	30.88%	-20.50%	26.94%	17.04%	33.89%	-5.70%	22.26%

Correlation

The correlation between ESGE and QUAL is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.62
Correlation (All Time) Calculated using the full available price history since Jul 20, 2016	0.64

The correlation between ESGE and QUAL has been stable across timeframes, ranging from 0.62 to 0.69 - a consistent structural relationship.

ESGE vs. QUAL - Sectors Allocation Comparison

Sectors	ESGE	QUAL
Technology	43.9%	38.8%
Financial Services	22.0%	10.8%
Consumer Cyclical	7.5%	9.3%
Communication Services	7.4%	11.8%
Industrials	5.7%	7.2%
Basic Materials	5.0%	1.9%
Healthcare	2.2%	8.7%
Consumer Defensive	2.1%	4.4%
Energy	1.9%	3.2%
Utilities	1.3%	2.1%
Real Estate	1.0%	1.8%

Return for Risk

ESGE vs. QUAL — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESGE

ESGE Risk / Return Rank: 80
ESGE Sharpe Ratio Rank: 82
ESGE Sortino Ratio Rank: 75
ESGE Omega Ratio Rank: 83
ESGE Calmar Ratio Rank: 79
ESGE Martin Ratio Rank: 79

QUAL

QUAL Risk / Return Rank: 68
QUAL Sharpe Ratio Rank: 70
QUAL Sortino Ratio Rank: 71
QUAL Omega Ratio Rank: 67
QUAL Calmar Ratio Rank: 60
QUAL Martin Ratio Rank: 73

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ESGE vs. QUAL - 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 USA Quality Factor ETF (QUAL). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ESGE	QUAL	Difference
Sharpe ratio: Return per unit of total volatility	2.38	2.04	+0.35
Sortino ratio: Return per unit of downside risk	3.05	2.87	+0.17
Omega ratio: Gain probability vs. loss probability	1.45	1.36	+0.09
Calmar ratio: Return relative to maximum drawdown	3.75	2.71	+1.03
Martin ratio: Return relative to average drawdown	14.02	12.37	+1.65

ESGE vs. QUAL - Sharpe Ratio Comparison

The current ESGE Sharpe Ratio is 2.38, which is comparable to the QUAL Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of ESGE and QUAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ESGE vs. QUAL - Drawdown Comparison

The maximum ESGE drawdown since its inception was -41.07%, which is greater than QUAL's maximum drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for ESGE and QUAL.

Drawdown Indicators

	ESGE	QUAL	Difference
Max Drawdown Largest peak-to-trough decline	-41.07%	-34.06%	-7.01%
Max Drawdown (1Y) Largest decline over 1 year	-13.90%	-9.03%	-4.87%
Max Drawdown (3Y) Largest decline over 3 years	-16.71%	-18.00%	+1.29%
Max Drawdown (5Y) Largest decline over 5 years	-39.18%	-28.23%	-10.95%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.06%	—
Current Drawdown Current decline from peak	-0.68%	0.00%	-0.68%
Average Drawdown Average peak-to-trough decline	-14.43%	-4.10%	-10.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.70%	1.98%	+1.72%

Volatility

ESGE vs. QUAL - Volatility Comparison

iShares ESG Aware MSCI EM ETF (ESGE) has a higher volatility of 11.18% compared to iShares MSCI USA Quality Factor ETF (QUAL) at 3.76%. This indicates that ESGE's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGE	QUAL	Difference
Volatility (1M) Calculated over the trailing 1-month period	11.18%	3.76%	+7.42%
Volatility (6M) Calculated over the trailing 6-month period	19.61%	9.47%	+10.14%
Volatility (1Y) Calculated over the trailing 1-year period	21.89%	12.06%	+9.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.50%	17.38%	+2.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.10%	18.12%	+1.98%

ESGE vs. QUAL - Expense Ratio Comparison

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

Dividends

ESGE vs. QUAL - Dividend Comparison

ESGE's dividend yield for the trailing twelve months is around 2.69%, more than QUAL's 1.04% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGE iShares ESG Aware MSCI EM ETF	2.69%	2.50%	2.41%	2.64%	2.68%	2.66%	1.31%	2.59%	2.19%	1.86%	0.27%	0.00%
QUAL iShares MSCI USA Quality Factor ETF	1.04%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%

Frequently Asked Questions

Can I hold both ESGE and QUAL in my portfolio?

ESGE and QUAL have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGE or QUAL?

ESGE has higher volatility (11.18%) compared to QUAL (3.76%). In terms of maximum drawdown, ESGE dropped -41.07% vs QUAL's -34.06%.

Which ETF is better, ESGE or QUAL?

On 5-year performance, QUAL leads with 12.44% vs 7.48% for ESGE. On fees, QUAL is cheaper at 0.15% per year. On volatility, QUAL has been the lower-risk option at 3.76%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGE or QUAL?

Over the 5-year period, QUAL has performed better with a 12.44% return vs 7.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGE or QUAL?

QUAL is cheaper with a 0.15% expense ratio, compared with 0.25% for ESGE.

Which ETF pays a higher dividend yield, ESGE or QUAL?

ESGE has the higher dividend yield at 2.69%, compared with 1.04% for QUAL.

What is the main difference between ESGE and QUAL?

ESGE is categorized as Emerging Markets Equities, while QUAL is Large Cap Blend Equities. ESGE tracks MSCI EM Extended ESG Focus Index, while QUAL tracks MSCI USA Sector Neutral Quality Index. Their fees differ too: 0.25% for ESGE and 0.15% for QUAL.

Which has better risk-adjusted returns?

ESGE currently has the higher Sharpe Ratio (2.38 vs 2.04), 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.