PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ESGU vs. ESGE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ESGUESGE
YTD Return20.44%11.79%
1Y Return32.94%18.27%
3Y Return (Ann)6.83%-2.75%
5Y Return (Ann)14.71%2.83%
Sharpe Ratio2.781.33
Sortino Ratio3.701.95
Omega Ratio1.521.24
Calmar Ratio3.510.67
Martin Ratio18.057.16
Ulcer Index1.90%2.92%
Daily Std Dev12.33%15.62%
Max Drawdown-33.87%-41.07%
Current Drawdown-2.55%-17.93%

Correlation

-0.50.00.51.00.6

The correlation between ESGU and ESGE is 0.64, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

ESGU vs. ESGE - Performance Comparison

In the year-to-date period, ESGU achieves a 20.44% return, which is significantly higher than ESGE's 11.79% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.91%
7.27%
ESGU
ESGE

Compare stocks, funds, or ETFs

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


ESGU vs. ESGE - Expense Ratio Comparison

ESGU has a 0.15% expense ratio, which is lower than ESGE's 0.25% 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%.


ESGE
iShares ESG Aware MSCI EM ETF
Expense ratio chart for ESGE: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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%

Risk-Adjusted Performance

ESGU vs. ESGE - 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 EM ETF (ESGE). 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
Sharpe ratio
The chart of Sharpe ratio for ESGU, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for ESGU, currently valued at 3.70, compared to the broader market0.005.0010.003.70
Omega ratio
The chart of Omega ratio for ESGU, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for ESGU, currently valued at 3.50, compared to the broader market0.005.0010.0015.0020.003.51
Martin ratio
The chart of Martin ratio for ESGU, currently valued at 18.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.05
ESGE
Sharpe ratio
The chart of Sharpe ratio for ESGE, currently valued at 1.33, compared to the broader market0.002.004.006.001.33
Sortino ratio
The chart of Sortino ratio for ESGE, currently valued at 1.95, compared to the broader market0.005.0010.001.95
Omega ratio
The chart of Omega ratio for ESGE, currently valued at 1.24, compared to the broader market1.001.502.002.503.001.24
Calmar ratio
The chart of Calmar ratio for ESGE, currently valued at 0.67, compared to the broader market0.005.0010.0015.0020.000.67
Martin ratio
The chart of Martin ratio for ESGE, currently valued at 7.16, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.16

ESGU vs. ESGE - Sharpe Ratio Comparison

The current ESGU Sharpe Ratio is 2.78, which is higher than the ESGE Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of ESGU and ESGE, 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
2.78
1.33
ESGU
ESGE

Dividends

ESGU vs. ESGE - Dividend Comparison

ESGU's dividend yield for the trailing twelve months is around 1.16%, less than ESGE's 2.45% yield.


TTM20232022202120202019201820172016
ESGU
iShares ESG MSCI USA ETF
1.16%1.43%1.58%1.06%1.27%1.32%1.81%1.82%0.00%
ESGE
iShares ESG Aware MSCI EM ETF
2.45%2.64%2.68%2.66%1.31%2.59%2.19%1.86%0.27%

Drawdowns

ESGU vs. ESGE - Drawdown Comparison

The maximum ESGU drawdown since its inception was -33.87%, smaller than the maximum ESGE drawdown of -41.07%. Use the drawdown chart below to compare losses from any high point for ESGU and ESGE. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.55%
-17.93%
ESGU
ESGE

Volatility

ESGU vs. ESGE - Volatility Comparison

The current volatility for iShares ESG MSCI USA ETF (ESGU) is 3.24%, while iShares ESG Aware MSCI EM ETF (ESGE) has a volatility of 4.18%. This indicates that ESGU experiences smaller price fluctuations and is considered to be less risky than ESGE 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
3.24%
4.18%
ESGU
ESGE