ESGG vs. VOO
Compare and contrast key facts about FlexShares STOXX Global ESG Select Index Fund (ESGG) and Vanguard S&P 500 ETF (VOO).
ESGG and VOO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESGG is a passively managed fund by Northern Trust that tracks the performance of the STOXX Global ESG Select KPIs Index. It was launched on Jul 13, 2016. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010. Both ESGG and VOO are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ESGG or VOO.
Key characteristics
| ESGG | VOO | |
|---|---|---|
| YTD Return | 15.76% | 25.62% |
| 1Y Return | 26.58% | 37.28% |
| 3Y Return (Ann) | 5.86% | 9.75% |
| 5Y Return (Ann) | 12.45% | 15.74% |
| Sharpe Ratio | 2.35 | 3.06 |
| Sortino Ratio | 3.20 | 4.08 |
| Omega Ratio | 1.42 | 1.57 |
| Calmar Ratio | 3.18 | 4.46 |
| Martin Ratio | 13.96 | 20.36 |
| Ulcer Index | 1.91% | 1.85% |
| Daily Std Dev | 11.38% | 12.32% |
| Max Drawdown | -32.31% | -33.99% |
| Current Drawdown | -1.79% | 0.00% |
Correlation
The correlation between ESGG and VOO is 0.87, 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.
Performance
ESGG vs. VOO - Performance Comparison
In the year-to-date period, ESGG achieves a 15.76% return, which is significantly lower than VOO's 25.62% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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ESGG vs. VOO - Expense Ratio Comparison
ESGG has a 0.42% expense ratio, which is higher than VOO's 0.03% expense ratio.
Risk-Adjusted Performance
ESGG vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX Global ESG Select Index Fund (ESGG) and Vanguard S&P 500 ETF (VOO). 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.
Dividends
ESGG vs. VOO - Dividend Comparison
ESGG's dividend yield for the trailing twelve months is around 1.64%, more than VOO's 1.25% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGG FlexShares STOXX Global ESG Select Index Fund | 1.64% | 1.73% | 1.83% | 1.34% | 1.36% | 1.94% | 2.12% | 1.71% | 0.87% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.25% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
ESGG vs. VOO - Drawdown Comparison
The maximum ESGG drawdown since its inception was -32.31%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ESGG and VOO. For additional features, visit the drawdowns tool.
Volatility
ESGG vs. VOO - Volatility Comparison
The current volatility for FlexShares STOXX Global ESG Select Index Fund (ESGG) is 3.37%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.94%. This indicates that ESGG experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.