ESGU vs. DJUN
ESGU (iShares ESG Aware MSCI USA ETF) and DJUN (FT Cboe Vest U.S. Equity Deep Buffer ETF - June) are both Large Cap Blend Equities funds - ESGU tracks the MSCI USA Extended ESG Focus Index while DJUN tracks the Cboe S&P 500 30% (-5% to -35%) Buffer Protect June Series Index. Both are passively managed. Over the past 5 years, ESGU returned 12.74%/yr vs 8.19%/yr for DJUN. Their correlation of 0.91 suggests significant overlap in exposure. ESGU charges 0.15%/yr vs 0.85%/yr for DJUN.
Performance
ESGU vs. DJUN - Performance Comparison
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Returns By Period
In the year-to-date period, ESGU achieves a 11.06% return, which is significantly higher than DJUN's 3.78% return.
ESGU
- 1D
- -0.79%
- 1M
- 5.51%
- YTD
- 11.06%
- 6M
- 10.93%
- 1Y
- 27.83%
- 3Y*
- 22.00%
- 5Y*
- 12.74%
- 10Y*
- —
DJUN
- 1D
- 0.01%
- 1M
- 0.88%
- YTD
- 3.78%
- 6M
- 4.53%
- 1Y
- 10.92%
- 3Y*
- 11.40%
- 5Y*
- 8.19%
- 10Y*
- —
ESGU vs. DJUN - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ESGU iShares ESG Aware MSCI USA ETF | 11.06% | 16.90% | 24.31% | 25.79% | -20.27% | 26.89% | 23.33% |
DJUN FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 3.78% | 9.38% | 13.92% | 17.58% | -6.30% | 6.27% | 6.48% |
Correlation
The correlation between ESGU and DJUN is 0.89, 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 | 0.89 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.92 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Jun 23, 2020 | 0.91 |
The correlation between ESGU and DJUN has been stable across timeframes, ranging from 0.89 to 0.94 - a consistent structural relationship.
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Return for Risk
ESGU vs. DJUN — Risk / Return Rank
ESGU
DJUN
ESGU vs. DJUN - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA ETF (ESGU) and FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN). 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 | DJUN | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.08 | ||
| Sortino ratioReturn per unit of downside risk | -0.23 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.50 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.02 | 3.51 | -0.49 |
| Martin ratioReturn relative to average drawdown | 13.75 | 20.66 | -6.91 |
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 | DJUN | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.30 | 2.22 | +0.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.74 | 0.97 | -0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 1.04 | -0.21 |
Drawdowns
ESGU vs. DJUN - Drawdown Comparison
The maximum ESGU drawdown since its inception was -33.87%, which is greater than DJUN's maximum drawdown of -11.96%. Use the drawdown chart below to compare losses from any high point for ESGU and DJUN.
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Drawdown Indicators
| ESGU | DJUN | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.87% | -11.96% | -21.91% |
Max Drawdown (1Y)Largest decline over 1 year | -9.26% | -3.15% | -6.11% |
Max Drawdown (3Y)Largest decline over 3 years | -19.32% | -11.96% | -7.36% |
Max Drawdown (5Y)Largest decline over 5 years | -26.15% | -11.96% | -14.19% |
Current DrawdownCurrent decline from peak | -0.79% | 0.00% | -0.79% |
Average DrawdownAverage peak-to-trough decline | -4.89% | -1.59% | -3.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.03% | 0.53% | +1.50% |
Volatility
ESGU vs. DJUN - Volatility Comparison
iShares ESG Aware MSCI USA ETF (ESGU) has a higher volatility of 2.92% compared to FT Cboe Vest U.S. Equity Deep Buffer ETF - June (DJUN) at 0.25%. This indicates that ESGU's price experiences larger fluctuations and is considered to be riskier than DJUN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESGU | DJUN | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.92% | 0.25% | +2.67% |
Volatility (6M)Calculated over the trailing 6-month period | 9.20% | 3.55% | +5.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.16% | 5.04% | +7.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.32% | 8.52% | +8.80% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.60% | 8.06% | +10.54% |
ESGU vs. DJUN - Expense Ratio Comparison
ESGU has a 0.15% expense ratio, which is lower than DJUN's 0.85% expense ratio.
Dividends
ESGU vs. DJUN - Dividend Comparison
ESGU's dividend yield for the trailing twelve months is around 0.92%, while DJUN has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
DJUN FT Cboe Vest U.S. Equity Deep Buffer ETF - June | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ESGU iShares ESG Aware MSCI USA ETF | 0.92% | 0.99% | 1.18% | 1.43% | 1.58% | 1.06% | 1.27% | 1.32% | 1.73% | 1.82% |
Frequently Asked Questions
ESGU and DJUN have a correlation of 0.89, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ESGU has higher volatility (2.92%) compared to DJUN (0.25%). In terms of maximum drawdown, ESGU dropped -33.87% vs DJUN's -11.96%.
On 5-year performance, ESGU leads with 12.74% vs 8.19% for DJUN. On fees, ESGU is cheaper at 0.15% per year. On volatility, DJUN has been the lower-risk option at 0.25%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, ESGU has performed better with a 12.74% return vs 8.19%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ESGU is cheaper with a 0.15% expense ratio, compared with 0.85% for DJUN.
ESGU has the higher dividend yield at 0.92%, compared with 0.00% for DJUN.
ESGU tracks MSCI USA Extended ESG Focus Index, while DJUN tracks Cboe S&P 500 30% (-5% to -35%) Buffer Protect June Series Index. They also come from different issuers: iShares and First Trust. Their fees differ too: 0.15% for ESGU and 0.85% for DJUN.
ESGU currently has the higher Sharpe Ratio (2.30 vs 2.22), 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.
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