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ESGU vs. ESGD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ESGU vs. ESGD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG MSCI USA ETF (ESGU) and iShares ESG Aware MSCI EAFE ETF (ESGD). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.34%
-2.45%
ESGU
ESGD

Returns By Period

In the year-to-date period, ESGU achieves a 25.05% return, which is significantly higher than ESGD's 4.68% return.


ESGU

YTD

25.05%

1M

1.48%

6M

12.34%

1Y

32.12%

5Y (annualized)

15.26%

10Y (annualized)

N/A

ESGD

YTD

4.68%

1M

-4.50%

6M

-2.45%

1Y

11.33%

5Y (annualized)

5.72%

10Y (annualized)

N/A

Key characteristics


ESGUESGD
Sharpe Ratio2.560.84
Sortino Ratio3.441.23
Omega Ratio1.471.15
Calmar Ratio3.721.26
Martin Ratio16.673.84
Ulcer Index1.91%2.84%
Daily Std Dev12.43%12.92%
Max Drawdown-33.87%-33.70%
Current Drawdown-1.46%-8.52%

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ESGU vs. ESGD - Expense Ratio Comparison

ESGU has a 0.15% expense ratio, which is lower than ESGD's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


ESGD
iShares ESG Aware MSCI EAFE ETF
Expense ratio chart for ESGD: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for ESGU: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Correlation

-0.50.00.51.00.8

The correlation between ESGU and ESGD is 0.76, 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.

Risk-Adjusted Performance

ESGU vs. ESGD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG MSCI USA ETF (ESGU) and iShares ESG Aware MSCI EAFE ETF (ESGD). 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 ESGU, currently valued at 2.56, compared to the broader market0.002.004.006.002.560.84
The chart of Sortino ratio for ESGU, currently valued at 3.44, compared to the broader market-2.000.002.004.006.008.0010.0012.003.441.23
The chart of Omega ratio for ESGU, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.15
The chart of Calmar ratio for ESGU, currently valued at 3.72, compared to the broader market0.005.0010.0015.003.721.26
The chart of Martin ratio for ESGU, currently valued at 16.67, compared to the broader market0.0020.0040.0060.0080.00100.0016.673.84
ESGU
ESGD

The current ESGU Sharpe Ratio is 2.56, which is higher than the ESGD Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of ESGU and ESGD, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.56
0.84
ESGU
ESGD

Dividends

ESGU vs. ESGD - Dividend Comparison

ESGU's dividend yield for the trailing twelve months is around 1.12%, less than ESGD's 3.06% yield.


TTM20232022202120202019201820172016
ESGU
iShares ESG MSCI USA ETF
1.12%1.43%1.58%1.06%1.27%1.32%1.81%1.82%0.00%
ESGD
iShares ESG Aware MSCI EAFE ETF
3.06%3.02%2.59%2.75%1.63%2.57%2.69%2.65%0.09%

Drawdowns

ESGU vs. ESGD - Drawdown Comparison

The maximum ESGU drawdown since its inception was -33.87%, roughly equal to the maximum ESGD drawdown of -33.70%. Use the drawdown chart below to compare losses from any high point for ESGU and ESGD. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.46%
-8.52%
ESGU
ESGD

Volatility

ESGU vs. ESGD - Volatility Comparison

iShares ESG MSCI USA ETF (ESGU) has a higher volatility of 4.20% compared to iShares ESG Aware MSCI EAFE ETF (ESGD) at 3.94%. This indicates that ESGU's price experiences larger fluctuations and is considered to be riskier than ESGD 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%JuneJulyAugustSeptemberOctoberNovember
4.20%
3.94%
ESGU
ESGD