ESGN vs. VEU

Last updated Jun 24, 2026

ESGN (Columbia Sustainable International Equity Income ETF) and VEU (Vanguard FTSE All-World ex-US ETF) are both Foreign Large Cap Equities funds - ESGN tracks the MSCI Beta ADV Sust Intl Equity Income 100 while VEU tracks the FTSE All-World ex US Index. Both are passively managed. Over the past 10 years, ESGN returned 9.59%/yr vs 10.40%/yr for VEU. A 0.79 correlation means they provide meaningful diversification when combined. ESGN charges 0.45%/yr vs 0.04%/yr for VEU.

Performance

ESGN vs. VEU - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Columbia Sustainable International Equity Income ETF (ESGN) and Vanguard FTSE All-World ex-US ETF (VEU). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGN achieves a 5.17% return, which is significantly lower than VEU's 13.01% return. Over the past 10 years, ESGN has underperformed VEU with an annualized return of 9.59%, while VEU has yielded a comparatively higher 10.40% annualized return.

ESGN

• 1D: -0.95%
• 1M: -2.95%
• YTD: 5.17%
• 6M: 5.43%
• 1Y: 23.37%
• 3Y*: 19.18%
• 5Y*: 11.66%
• 10Y*: 9.59%

VEU

• 1D: -3.06%
• 1M: 0.69%
• YTD: 13.01%
• 6M: 12.81%
• 1Y: 30.08%
• 3Y*: 19.26%
• 5Y*: 8.60%
• 10Y*: 10.40%

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

ESGN vs. VEU - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGN Columbia Sustainable International Equity Income ETF	5.17%	39.85%	6.02%	20.88%	-5.95%	10.18%	-0.52%	15.83%	-18.30%	24.88%
VEU Vanguard FTSE All-World ex-US ETF	13.01%	32.35%	5.56%	15.84%	-15.58%	8.27%	11.10%	21.83%	-14.18%	27.40%

Correlation

The correlation between ESGN and VEU is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.89
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jun 13, 2016	0.79

The correlation between ESGN and VEU has been stable across timeframes, ranging from 0.79 to 0.89 - a consistent structural relationship.

ESGN vs. VEU - Sectors Allocation Comparison

Sectors	ESGN	VEU
Industrials	15.8%	15.0%
Financial Services	15.4%	22.6%
Energy	13.0%	4.7%
Utilities	9.3%	3.0%
Technology	7.0%	21.6%
Consumer Cyclical	6.6%	8.0%
Healthcare	3.9%	6.7%
Consumer Defensive	3.5%	4.9%
Basic Materials	1.9%	7.1%
Communication Services	1.2%	4.5%
Real Estate	0.2%	1.9%

Return for Risk

ESGN vs. VEU — Risk / Return Rank

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

ESGN

ESGN Risk / Return Rank: 54
ESGN Sharpe Ratio Rank: 54
ESGN Sortino Ratio Rank: 54
ESGN Omega Ratio Rank: 53
ESGN Calmar Ratio Rank: 54
ESGN Martin Ratio Rank: 53

VEU

VEU Risk / Return Rank: 56
VEU Sharpe Ratio Rank: 56
VEU Sortino Ratio Rank: 54
VEU Omega Ratio Rank: 57
VEU Calmar Ratio Rank: 55
VEU Martin Ratio Rank: 59

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.

ESGN vs. VEU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Columbia Sustainable International Equity Income ETF (ESGN) and Vanguard FTSE All-World ex-US ETF (VEU). 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.

	ESGN	VEU	Difference
Sharpe ratio: Return per unit of total volatility	1.70	1.84	-0.14
Sortino ratio: Return per unit of downside risk	2.40	2.52	-0.12
Omega ratio: Gain probability vs. loss probability	1.31	1.34	-0.03
Calmar ratio: Return relative to maximum drawdown	2.46	2.64	-0.19
Martin ratio: Return relative to average drawdown	8.42	10.12	-1.70

ESGN vs. VEU - Sharpe Ratio Comparison

The current ESGN Sharpe Ratio is 1.70, which is comparable to the VEU Sharpe Ratio of 1.84. The chart below compares the historical Sharpe Ratios of ESGN and VEU, 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

ESGN vs. VEU - Drawdown Comparison

The maximum ESGN drawdown since its inception was -41.71%, smaller than the maximum VEU drawdown of -61.52%. Use the drawdown chart below to compare losses from any high point for ESGN and VEU.

Drawdown Indicators

	ESGN	VEU	Difference
Max Drawdown Largest peak-to-trough decline	-41.71%	-61.52%	+19.81%
Max Drawdown (1Y) Largest decline over 1 year	-9.56%	-11.43%	+1.87%
Max Drawdown (3Y) Largest decline over 3 years	-14.38%	-13.69%	-0.69%
Max Drawdown (5Y) Largest decline over 5 years	-24.51%	-29.14%	+4.63%
Max Drawdown (10Y) Largest decline over 10 years	-41.71%	-34.98%	-6.73%
Current Drawdown Current decline from peak	-5.44%	-3.06%	-2.38%
Average Drawdown Average peak-to-trough decline	-7.04%	-13.10%	+6.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.78%	2.98%	-0.20%

Volatility

ESGN vs. VEU - Volatility Comparison

The current volatility for Columbia Sustainable International Equity Income ETF (ESGN) is 3.96%, while Vanguard FTSE All-World ex-US ETF (VEU) has a volatility of 7.10%. This indicates that ESGN experiences smaller price fluctuations and is considered to be less risky than VEU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGN	VEU	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.96%	7.10%	-3.14%
Volatility (6M) Calculated over the trailing 6-month period	11.06%	14.47%	-3.41%
Volatility (1Y) Calculated over the trailing 1-year period	13.77%	16.44%	-2.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.33%	16.30%	-0.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.34%	17.08%	-0.74%

ESGN vs. VEU - Expense Ratio Comparison

ESGN has a 0.45% expense ratio, which is higher than VEU's 0.04% expense ratio.

Dividends

ESGN vs. VEU - Dividend Comparison

ESGN's dividend yield for the trailing twelve months is around 9.38%, more than VEU's 2.56% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGN Columbia Sustainable International Equity Income ETF	9.38%	9.76%	3.11%	3.27%	3.57%	3.43%	2.64%	3.34%	7.25%	4.63%	2.52%	0.00%
VEU Vanguard FTSE All-World ex-US ETF	2.56%	3.09%	3.24%	3.32%	3.12%	3.08%	2.00%	3.10%	3.27%	2.66%	2.96%	2.95%

Frequently Asked Questions

Can I hold both ESGN and VEU in my portfolio?

ESGN and VEU have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGN or VEU?

VEU has higher volatility (7.10%) compared to ESGN (3.96%). In terms of maximum drawdown, ESGN dropped -41.71% vs VEU's -61.52%.

Which ETF is better, ESGN or VEU?

On 10-year performance, VEU leads with 10.40% vs 9.59% for ESGN. On fees, VEU is cheaper at 0.04% per year. On volatility, ESGN has been the lower-risk option at 3.96%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGN or VEU?

Over the 10-year period, VEU has performed better with a 10.40% return vs 9.59%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGN or VEU?

VEU is cheaper with a 0.04% expense ratio, compared with 0.45% for ESGN.

Which ETF pays a higher dividend yield, ESGN or VEU?

ESGN has the higher dividend yield at 9.38%, compared with 2.56% for VEU.

What is the main difference between ESGN and VEU?

ESGN tracks MSCI Beta ADV Sust Intl Equity Income 100, while VEU tracks FTSE All-World ex US Index. They also come from different issuers: Ameriprise Financial and Vanguard. Their fees differ too: 0.45% for ESGN and 0.04% for VEU.

Which has better risk-adjusted returns?

VEU currently has the higher Sharpe Ratio (1.84 vs 1.70), 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.