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

Key characteristics


ESGUIVV
YTD Return20.64%21.33%
1Y Return33.16%33.27%
3Y Return (Ann)6.96%8.63%
5Y Return (Ann)14.77%15.09%
Sharpe Ratio2.973.04
Sortino Ratio3.964.04
Omega Ratio1.551.57
Calmar Ratio3.544.41
Martin Ratio19.6220.05
Ulcer Index1.89%1.85%
Daily Std Dev12.47%12.17%
Max Drawdown-33.87%-55.25%
Current Drawdown-2.38%-2.34%

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.

Performance

ESGU vs. IVV - Performance Comparison

The year-to-date returns for both investments are quite close, with ESGU having a 20.64% return and IVV slightly higher at 21.33%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


160.00%170.00%180.00%190.00%200.00%JuneJulyAugustSeptemberOctoberNovember
192.47%
196.10%
ESGU
IVV

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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%

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.


ESGU
Sharpe ratio
The chart of Sharpe ratio for ESGU, currently valued at 2.97, compared to the broader market-2.000.002.004.006.002.97
Sortino ratio
The chart of Sortino ratio for ESGU, currently valued at 3.96, compared to the broader market0.005.0010.003.96
Omega ratio
The chart of Omega ratio for ESGU, currently valued at 1.55, compared to the broader market1.001.502.002.503.003.501.55
Calmar ratio
The chart of Calmar ratio for ESGU, currently valued at 3.54, compared to the broader market0.005.0010.0015.0020.003.54
Martin ratio
The chart of Martin ratio for ESGU, currently valued at 19.62, compared to the broader market0.0020.0040.0060.0080.00100.00120.0019.62
IVV
Sharpe ratio
The chart of Sharpe ratio for IVV, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for IVV, currently valued at 4.04, compared to the broader market0.005.0010.004.04
Omega ratio
The chart of Omega ratio for IVV, currently valued at 1.57, compared to the broader market1.001.502.002.503.003.501.57
Calmar ratio
The chart of Calmar ratio for IVV, currently valued at 4.41, compared to the broader market0.005.0010.0015.0020.004.41
Martin ratio
The chart of Martin ratio for IVV, currently valued at 20.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.05

ESGU vs. IVV - Sharpe Ratio Comparison

The current ESGU Sharpe Ratio is 2.97, which is comparable to the IVV Sharpe Ratio of 3.04. 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
2.97
3.04
ESGU
IVV

Dividends

ESGU vs. IVV - Dividend Comparison

ESGU's dividend yield for the trailing twelve months is around 1.16%, less than IVV's 1.30% yield.


TTM20232022202120202019201820172016201520142013
ESGU
iShares ESG MSCI USA ETF
1.16%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
1.30%1.44%1.66%1.20%1.57%1.99%2.20%1.75%2.01%2.26%1.82%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
-2.38%
-2.34%
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 3.37% and 3.28%, 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
3.37%
3.28%
ESGU
IVV