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ESGG vs. VUG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ESGG and VUG is 0.81, 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.


-0.50.00.51.00.8

Performance

ESGG vs. VUG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX Global ESG Select Index Fund (ESGG) and Vanguard Growth ETF (VUG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2025February
8.40%
14.77%
ESGG
VUG

Key characteristics

Sharpe Ratio

ESGG:

1.47

VUG:

1.59

Sortino Ratio

ESGG:

2.03

VUG:

2.14

Omega Ratio

ESGG:

1.26

VUG:

1.29

Calmar Ratio

ESGG:

1.99

VUG:

2.16

Martin Ratio

ESGG:

7.73

VUG:

8.21

Ulcer Index

ESGG:

2.16%

VUG:

3.42%

Daily Std Dev

ESGG:

11.38%

VUG:

17.66%

Max Drawdown

ESGG:

-32.31%

VUG:

-50.68%

Current Drawdown

ESGG:

-0.22%

VUG:

0.00%

Returns By Period

In the year-to-date period, ESGG achieves a 7.25% return, which is significantly higher than VUG's 4.18% return.


ESGG

YTD

7.25%

1M

5.20%

6M

7.63%

1Y

17.41%

5Y*

12.25%

10Y*

N/A

VUG

YTD

4.18%

1M

2.81%

6M

13.08%

1Y

30.31%

5Y*

17.58%

10Y*

15.73%

*Annualized

Compare stocks, funds, or ETFs

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


ESGG vs. VUG - Expense Ratio Comparison

ESGG has a 0.42% expense ratio, which is higher than VUG's 0.04% expense ratio.


ESGG
FlexShares STOXX Global ESG Select Index Fund
Expense ratio chart for ESGG: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for VUG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

ESGG vs. VUG — Risk-Adjusted Performance Rank

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

ESGG
The Risk-Adjusted Performance Rank of ESGG is 6161
Overall Rank
The Sharpe Ratio Rank of ESGG is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of ESGG is 5757
Sortino Ratio Rank
The Omega Ratio Rank of ESGG is 5959
Omega Ratio Rank
The Calmar Ratio Rank of ESGG is 6363
Calmar Ratio Rank
The Martin Ratio Rank of ESGG is 6565
Martin Ratio Rank

VUG
The Risk-Adjusted Performance Rank of VUG is 6666
Overall Rank
The Sharpe Ratio Rank of VUG is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of VUG is 6262
Sortino Ratio Rank
The Omega Ratio Rank of VUG is 6666
Omega Ratio Rank
The Calmar Ratio Rank of VUG is 6767
Calmar Ratio Rank
The Martin Ratio Rank of VUG is 6868
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ESGG vs. VUG - 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 Growth ETF (VUG). 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 ESGG, currently valued at 1.47, compared to the broader market0.002.004.001.471.59
The chart of Sortino ratio for ESGG, currently valued at 2.03, compared to the broader market-2.000.002.004.006.008.0010.0012.002.032.14
The chart of Omega ratio for ESGG, currently valued at 1.26, compared to the broader market0.501.001.502.002.503.001.261.29
The chart of Calmar ratio for ESGG, currently valued at 1.99, compared to the broader market0.005.0010.0015.001.992.16
The chart of Martin ratio for ESGG, currently valued at 7.73, compared to the broader market0.0020.0040.0060.0080.00100.007.738.21
ESGG
VUG

The current ESGG Sharpe Ratio is 1.47, which is comparable to the VUG Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of ESGG and VUG, 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 Ratio1.502.002.503.00SeptemberOctoberNovemberDecember2025February
1.47
1.59
ESGG
VUG

Dividends

ESGG vs. VUG - Dividend Comparison

ESGG's dividend yield for the trailing twelve months is around 1.72%, more than VUG's 0.45% yield.


TTM20242023202220212020201920182017201620152014
ESGG
FlexShares STOXX Global ESG Select Index Fund
1.72%1.84%1.73%1.83%1.34%1.36%1.94%2.12%1.71%0.87%0.00%0.00%
VUG
Vanguard Growth ETF
0.45%0.47%0.58%0.70%0.48%0.66%0.95%1.32%1.14%1.39%1.30%1.21%

Drawdowns

ESGG vs. VUG - Drawdown Comparison

The maximum ESGG drawdown since its inception was -32.31%, smaller than the maximum VUG drawdown of -50.68%. Use the drawdown chart below to compare losses from any high point for ESGG and VUG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-0.22%
0
ESGG
VUG

Volatility

ESGG vs. VUG - Volatility Comparison

The current volatility for FlexShares STOXX Global ESG Select Index Fund (ESGG) is 2.40%, while Vanguard Growth ETF (VUG) has a volatility of 4.77%. This indicates that ESGG experiences smaller price fluctuations and is considered to be less risky than VUG 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%8.00%SeptemberOctoberNovemberDecember2025February
2.40%
4.77%
ESGG
VUG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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