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ESGL.L vs. VGK
Performance
Return for Risk
Dividends
Drawdowns
Volatility

ESGL.L vs. VGK

Last updated Apr 2, 2026

Compare and contrast key facts about Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc (ESGL.L) and Vanguard FTSE Europe ETF (VGK).

ESGL.L and VGK are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESGL.L is a passively managed fund by Amundi that tracks the performance of the MSCI Europe NR EUR. It was launched on Feb 12, 2019. VGK is a passively managed fund by Vanguard that tracks the performance of the FTSE Developed Europe Index. It was launched on Mar 4, 2005. Both ESGL.L and VGK are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

ESGL.L vs. VGK - Performance Comparison

The chart below illustrates the hypothetical performance of a £10,000 investment in Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc (ESGL.L) and Vanguard FTSE Europe ETF (VGK). The values are adjusted to include any dividend payments, if applicable.

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ESGL.L vs. VGK - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
ESGL.L
Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc		0.35%19.00%2.42%13.82%-6.20%16.59%6.21%1.39%
VGK
Vanguard FTSE Europe ETF		2.14%26.16%3.65%14.18%-5.99%18.00%2.33%13.81%
Different Trading Currencies

ESGL.L is traded in GBP, while VGK is traded in USD. To make them comparable, the VGK values have been converted to GBP using the latest available exchange rates.

Returns By Period

In the year-to-date period, ESGL.L achieves a 0.35% return, which is significantly lower than VGK's 2.14% return.

ESGL.L

1D
2.62%
1M
-5.20%
YTD
0.35%
6M
4.25%
1Y
14.48%
3Y*
8.97%
5Y*
8.20%
10Y*
—

VGK

1D
1.21%
1M
-3.75%
YTD
2.14%
6M
6.83%
1Y
19.50%
3Y*
12.11%
5Y*
9.92%
10Y*
9.90%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Compare stocks, funds, or ETFs

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

Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc

Vanguard FTSE Europe ETF

Often compared with ESGL.L:
ESGL.L vs. HTGCESGL.L vs. SPDM.LESGL.L vs. XGEN.DEESGL.L vs. BNKS.LESGL.L vs. IWVL.LESGL.L vs. GLDESGL.L vs. ESIF.DE
Often compared with VGK:
VGK vs. VEAVGK vs. IEURVGK vs. VOOVGK vs. VXUSVGK vs. VEUVGK vs. FEZVGK vs. SPEU

ESGL.L vs. VGK - Expense Ratio Comparison

ESGL.L has a 0.20% expense ratio, which is higher than VGK's 0.08% 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%.

ESGL.L
Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc
VGK
Vanguard FTSE Europe ETF

Return for Risk

ESGL.L vs. VGK — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
ESGL.L
ESGL.L Risk / Return Rank: 4848
Overall Rank
ESGL.L Sharpe Ratio Rank: 5454
Sharpe Ratio Rank
ESGL.L Sortino Ratio Rank: 4848
Sortino Ratio Rank
ESGL.L Omega Ratio Rank: 5050
Omega Ratio Rank
ESGL.L Calmar Ratio Rank: 4444
Calmar Ratio Rank
ESGL.L Martin Ratio Rank: 4646
Martin Ratio Rank
VGK
VGK Risk / Return Rank: 7070
Overall Rank
VGK Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
VGK Sortino Ratio Rank: 7171
Sortino Ratio Rank
VGK Omega Ratio Rank: 6868
Omega Ratio Rank
VGK Calmar Ratio Rank: 7171
Calmar Ratio Rank
VGK Martin Ratio Rank: 6969
Martin Ratio Rank
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.

ESGL.L vs. VGK - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc (ESGL.L) and Vanguard FTSE Europe ETF (VGK). 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.

ESGL.LVGKDifference

Sharpe ratio

Return per unit of total volatility

1.01

1.27

-0.26

Sortino ratio

Return per unit of downside risk

1.38

1.87

-0.49

Omega ratio

Gain probability vs. loss probability

1.20

1.26

-0.06

Calmar ratio

Return relative to maximum drawdown

1.29

1.78

-0.49

Martin ratio

Return relative to average drawdown

4.98

7.05

-2.07

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGL.L vs. VGK - Sharpe Ratio Comparison

The current ESGL.L Sharpe Ratio is 1.01, which is comparable to the VGK Sharpe Ratio of 1.27. The chart below compares the historical Sharpe Ratios of ESGL.L and VGK, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

ESGL.LVGKDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.01

1.27

-0.26

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.47

0.70

-0.24

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.60

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.38

0.32

+0.06

Correlation

The correlation between ESGL.L and VGK is 0.72, 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.

Dividends

ESGL.L vs. VGK - Dividend Comparison

ESGL.L has not paid dividends to shareholders, while VGK's dividend yield for the trailing twelve months is around 2.96%.

TTM20252024202320222021202020192018201720162015
ESGL.L
Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VGK
Vanguard FTSE Europe ETF		2.96%2.86%3.61%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%

Drawdowns

ESGL.L vs. VGK - Drawdown Comparison

The maximum ESGL.L drawdown since its inception was -34.24%, smaller than the maximum VGK drawdown of -45.00%. Use the drawdown chart below to compare losses from any high point for ESGL.L and VGK.

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Drawdown Indicators

ESGL.LVGKDifference

Max Drawdown

Largest peak-to-trough decline

-34.24%

-63.61%

+29.37%

Max Drawdown (1Y)

Largest decline over 1 year

-11.50%

-12.09%

+0.59%

Max Drawdown (5Y)

Largest decline over 5 years

-20.06%

-32.74%

+12.68%

Max Drawdown (10Y)

Largest decline over 10 years

—

-37.24%

—

Current Drawdown

Current decline from peak

-7.35%

-7.16%

-0.19%

Average Drawdown

Average peak-to-trough decline

-5.92%

-13.43%

+7.51%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.97%

3.17%

-0.20%

Volatility

ESGL.L vs. VGK - Volatility Comparison

Lyxor MSCI Europe ESG Leaders (DR) UCITS ETF - Acc (ESGL.L) and Vanguard FTSE Europe ETF (VGK) have volatilities of 6.06% and 6.29%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESGL.LVGKDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.06%

6.29%

-0.23%

Volatility (6M)

Calculated over the trailing 6-month period

9.75%

9.59%

+0.16%

Volatility (1Y)

Calculated over the trailing 1-year period

14.24%

15.40%

-1.16%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.50%

14.18%

+3.32%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.58%

16.48%

+2.10%