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

Performance

ESGU vs. ESGV - Performance Comparison

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

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.19%
13.27%
ESGU
ESGV

Returns By Period

The year-to-date returns for both stocks are quite close, with ESGU having a 25.92% return and ESGV slightly lower at 25.21%.


ESGU

YTD

25.92%

1M

2.38%

6M

13.91%

1Y

32.49%

5Y (annualized)

15.41%

10Y (annualized)

N/A

ESGV

YTD

25.21%

1M

2.30%

6M

14.03%

1Y

32.83%

5Y (annualized)

15.60%

10Y (annualized)

N/A

Key characteristics


ESGUESGV
Sharpe Ratio2.662.48
Sortino Ratio3.543.29
Omega Ratio1.491.45
Calmar Ratio3.863.59
Martin Ratio17.2715.05
Ulcer Index1.91%2.22%
Daily Std Dev12.44%13.47%
Max Drawdown-33.87%-33.66%
Current Drawdown-0.77%-1.07%

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ESGU vs. ESGV - Expense Ratio Comparison

ESGU has a 0.15% expense ratio, which is higher than ESGV's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


ESGU
iShares ESG MSCI USA ETF
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%
Expense ratio chart for ESGV: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.01.0

The correlation between ESGU and ESGV is 0.99, 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. ESGV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG MSCI USA ETF (ESGU) and Vanguard ESG U.S. Stock ETF (ESGV). 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 2.66, compared to the broader market0.002.004.002.662.48
The chart of Sortino ratio for ESGU, currently valued at 3.54, compared to the broader market-2.000.002.004.006.008.0010.003.543.29
The chart of Omega ratio for ESGU, currently valued at 1.49, compared to the broader market0.501.001.502.002.503.001.491.45
The chart of Calmar ratio for ESGU, currently valued at 3.86, compared to the broader market0.005.0010.0015.003.863.59
The chart of Martin ratio for ESGU, currently valued at 17.27, compared to the broader market0.0020.0040.0060.0080.00100.0017.2715.05
ESGU
ESGV

The current ESGU Sharpe Ratio is 2.66, which is comparable to the ESGV Sharpe Ratio of 2.48. The chart below compares the historical Sharpe Ratios of ESGU and ESGV, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.66
2.48
ESGU
ESGV

Dividends

ESGU vs. ESGV - Dividend Comparison

ESGU's dividend yield for the trailing twelve months is around 1.11%, more than ESGV's 1.07% yield.


TTM2023202220212020201920182017
ESGU
iShares ESG MSCI USA ETF
1.11%1.43%1.58%1.06%1.27%1.32%1.81%1.82%
ESGV
Vanguard ESG U.S. Stock ETF
1.07%1.16%1.42%0.95%1.11%1.27%0.28%0.00%

Drawdowns

ESGU vs. ESGV - Drawdown Comparison

The maximum ESGU drawdown since its inception was -33.87%, roughly equal to the maximum ESGV drawdown of -33.66%. Use the drawdown chart below to compare losses from any high point for ESGU and ESGV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.77%
-1.07%
ESGU
ESGV

Volatility

ESGU vs. ESGV - Volatility Comparison

The current volatility for iShares ESG MSCI USA ETF (ESGU) is 4.12%, while Vanguard ESG U.S. Stock ETF (ESGV) has a volatility of 4.42%. This indicates that ESGU experiences smaller price fluctuations and is considered to be less risky than ESGV 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
4.12%
4.42%
ESGU
ESGV