ESGU vs. CVLC
Compare and contrast key facts about iShares ESG MSCI USA ETF (ESGU) and Calvert US Large-Cap Core Responsible Index ETF (CVLC).
ESGU and CVLC are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESGU is a passively managed fund by iShares that tracks the performance of the MSCI USA ESG Focus Index. It was launched on Dec 1, 2016. CVLC is a passively managed fund by Calvert that tracks the performance of the Calvert US Large-Cap Core Responsible Index - Benchmark TR Gross. It was launched on Jan 30, 2023. Both ESGU and CVLC 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
ESGU vs. CVLC - Performance Comparison
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ESGU vs. CVLC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
ESGU iShares ESG MSCI USA ETF | -4.83% | 16.90% | 24.31% | 16.88% |
CVLC Calvert US Large-Cap Core Responsible Index ETF | -4.76% | 16.13% | 24.20% | 17.14% |
Returns By Period
The year-to-date returns for both investments are quite close, with ESGU having a -4.83% return and CVLC slightly higher at -4.76%.
ESGU
- 1D
- 2.93%
- 1M
- -4.97%
- YTD
- -4.83%
- 6M
- -2.32%
- 1Y
- 17.24%
- 3Y*
- 17.48%
- 5Y*
- 10.42%
- 10Y*
- —
CVLC
- 1D
- 3.04%
- 1M
- -5.40%
- YTD
- -4.76%
- 6M
- -1.68%
- 1Y
- 17.36%
- 3Y*
- 17.40%
- 5Y*
- —
- 10Y*
- —
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ESGU vs. CVLC - Expense Ratio Comparison
Both ESGU and CVLC have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Return for Risk
ESGU vs. CVLC — Risk / Return Rank
ESGU
CVLC
ESGU vs. CVLC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG MSCI USA ETF (ESGU) and Calvert US Large-Cap Core Responsible Index ETF (CVLC). 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.
| ESGU | CVLC | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.92 | 0.93 | 0.00 |
Sortino ratioReturn per unit of downside risk | 1.42 | 1.44 | -0.02 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.21 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 1.45 | 1.44 | +0.01 |
Martin ratioReturn relative to average drawdown | 6.77 | 6.70 | +0.07 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ESGU | CVLC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.92 | 0.93 | 0.00 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.74 | 1.04 | -0.30 |
Correlation
The correlation between ESGU and CVLC is 0.98, 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
ESGU vs. CVLC - Dividend Comparison
ESGU's dividend yield for the trailing twelve months is around 1.07%, more than CVLC's 1.05% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESGU iShares ESG MSCI USA ETF | 1.07% | 0.99% | 1.18% | 1.43% | 1.58% | 1.06% | 1.27% | 1.32% | 1.73% | 1.82% |
CVLC Calvert US Large-Cap Core Responsible Index ETF | 1.05% | 1.02% | 1.03% | 0.91% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ESGU vs. CVLC - Drawdown Comparison
The maximum ESGU drawdown since its inception was -33.87%, which is greater than CVLC's maximum drawdown of -19.92%. Use the drawdown chart below to compare losses from any high point for ESGU and CVLC.
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Drawdown Indicators
| ESGU | CVLC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.87% | -19.92% | -13.95% |
Max Drawdown (1Y)Largest decline over 1 year | -12.35% | -12.46% | +0.11% |
Max Drawdown (5Y)Largest decline over 5 years | -26.15% | — | — |
Current DrawdownCurrent decline from peak | -6.59% | -6.86% | +0.27% |
Average DrawdownAverage peak-to-trough decline | -4.96% | -2.49% | -2.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.65% | 2.67% | -0.02% |
Volatility
ESGU vs. CVLC - Volatility Comparison
iShares ESG MSCI USA ETF (ESGU) and Calvert US Large-Cap Core Responsible Index ETF (CVLC) have volatilities of 5.42% and 5.63%, 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
| ESGU | CVLC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.42% | 5.63% | -0.21% |
Volatility (6M)Calculated over the trailing 6-month period | 9.77% | 9.84% | -0.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.75% | 18.84% | -0.09% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.33% | 15.68% | +1.65% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.70% | 15.68% | +3.02% |