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

Performance

ESGU vs. IVV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG MSCI USA ETF (ESGU) and iShares Core S&P 500 ETF (IVV). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.34%
12.21%
ESGU
IVV

Returns By Period

The year-to-date returns for both investments are quite close, with ESGU having a 25.05% return and IVV slightly higher at 25.50%.


ESGU

YTD

25.05%

1M

1.48%

6M

12.34%

1Y

32.12%

5Y (annualized)

15.26%

10Y (annualized)

N/A

IVV

YTD

25.50%

1M

1.17%

6M

12.21%

1Y

32.17%

5Y (annualized)

15.57%

10Y (annualized)

13.13%

Key characteristics


ESGUIVV
Sharpe Ratio2.562.62
Sortino Ratio3.443.51
Omega Ratio1.471.49
Calmar Ratio3.723.79
Martin Ratio16.6717.04
Ulcer Index1.91%1.87%
Daily Std Dev12.43%12.16%
Max Drawdown-33.87%-55.25%
Current Drawdown-1.46%-1.35%

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. IVV - Expense Ratio Comparison

ESGU has a 0.15% expense ratio, which is higher than IVV's 0.03% 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 IVV: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Correlation

-0.50.00.51.01.0

The correlation between ESGU and IVV is 0.95, 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. IVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG MSCI USA ETF (ESGU) and iShares Core S&P 500 ETF (IVV). 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 market0.002.004.002.562.62
The chart of Sortino ratio for ESGU, currently valued at 3.44, compared to the broader market-2.000.002.004.006.008.0010.0012.003.443.51
The chart of Omega ratio for ESGU, currently valued at 1.47, compared to the broader market0.501.001.502.002.503.001.471.49
The chart of Calmar ratio for ESGU, currently valued at 3.72, compared to the broader market0.005.0010.0015.003.723.79
The chart of Martin ratio for ESGU, currently valued at 16.67, compared to the broader market0.0020.0040.0060.0080.00100.0016.6717.04
ESGU
IVV

The current ESGU Sharpe Ratio is 2.56, which is comparable to the IVV Sharpe Ratio of 2.62. The chart below compares the historical Sharpe Ratios of ESGU and IVV, 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
2.56
2.62
ESGU
IVV

Dividends

ESGU vs. IVV - Dividend Comparison

ESGU's dividend yield for the trailing twelve months is around 1.12%, less than IVV's 1.25% yield.


TTM20232022202120202019201820172016201520142013
ESGU
iShares ESG MSCI USA ETF
1.12%1.43%1.58%1.06%1.27%1.32%1.81%1.82%0.00%0.00%0.00%0.00%
IVV
iShares Core S&P 500 ETF
1.25%1.44%1.66%1.20%1.57%1.99%2.21%1.75%2.01%2.27%1.83%1.80%

Drawdowns

ESGU vs. IVV - Drawdown Comparison

The maximum ESGU drawdown since its inception was -33.87%, smaller than the maximum IVV drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ESGU and IVV. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.46%
-1.35%
ESGU
IVV

Volatility

ESGU vs. IVV - Volatility Comparison

iShares ESG MSCI USA ETF (ESGU) and iShares Core S&P 500 ETF (IVV) have volatilities of 4.20% and 4.09%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.20%
4.09%
ESGU
IVV