ESGU vs. VMBS
ESGU (iShares ESG Aware MSCI USA ETF) and VMBS (Vanguard Mortgage-Backed Securities ETF) are both exchange-traded funds - ESGU is a Large Cap Blend Equities fund tracking the MSCI USA Extended ESG Focus Index, while VMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. MBS Index. Both are passively managed. Over the past 5 years, ESGU returned 12.74%/yr vs 0.48%/yr for VMBS. At a 0.09 correlation, their price movements are largely independent. ESGU charges 0.15%/yr vs 0.04%/yr for VMBS.
Performance
ESGU vs. VMBS - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, ESGU achieves a 11.06% return, which is significantly higher than VMBS's 0.66% return.
ESGU
- 1D
- -0.79%
- 1M
- 5.51%
- YTD
- 11.06%
- 6M
- 10.93%
- 1Y
- 27.83%
- 3Y*
- 22.00%
- 5Y*
- 12.74%
- 10Y*
- —
VMBS
- 1D
- -0.15%
- 1M
- 0.33%
- YTD
- 0.66%
- 6M
- 0.85%
- 1Y
- 6.93%
- 3Y*
- 4.60%
- 5Y*
- 0.48%
- 10Y*
- 1.35%
ESGU vs. VMBS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESGU iShares ESG Aware MSCI USA ETF | 11.06% | 16.90% | 24.31% | 25.79% | -20.27% | 26.89% | 22.54% | 31.72% | -4.32% | 21.07% |
VMBS Vanguard Mortgage-Backed Securities ETF | 0.66% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
Correlation
The correlation between ESGU and VMBS is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.30 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.24 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Dec 7, 2016 | 0.09 |
Over the past year, ESGU and VMBS have become more correlated (0.30) than their long-term average of 0.09, meaning their price movements have been converging.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
ESGU vs. VMBS — Risk / Return Rank
ESGU
VMBS
ESGU vs. VMBS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA ETF (ESGU) and Vanguard Mortgage-Backed Securities ETF (VMBS). 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 | VMBS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.71 | ||
| Sortino ratioReturn per unit of downside risk | +0.74 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.29 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 3.02 | 2.59 | +0.43 |
| Martin ratioReturn relative to average drawdown | 13.75 | 8.68 | +5.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| ESGU | VMBS | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.30 | 1.59 | +0.71 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.74 | 0.07 | +0.67 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.25 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 0.46 | +0.38 |
Drawdowns
ESGU vs. VMBS - Drawdown Comparison
The maximum ESGU drawdown since its inception was -33.87%, which is greater than VMBS's maximum drawdown of -17.47%. Use the drawdown chart below to compare losses from any high point for ESGU and VMBS.
Loading charts...
Drawdown Indicators
| ESGU | VMBS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.87% | -17.47% | -16.40% |
Max Drawdown (1Y)Largest decline over 1 year | -9.26% | -2.68% | -6.58% |
Max Drawdown (3Y)Largest decline over 3 years | -19.32% | -7.65% | -11.67% |
Max Drawdown (5Y)Largest decline over 5 years | -26.15% | -17.12% | -9.03% |
Max Drawdown (10Y)Largest decline over 10 years | — | -17.47% | — |
Current DrawdownCurrent decline from peak | -0.79% | -1.33% | +0.54% |
Average DrawdownAverage peak-to-trough decline | -4.89% | -2.49% | -2.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.03% | 0.80% | +1.23% |
Volatility
ESGU vs. VMBS - Volatility Comparison
iShares ESG Aware MSCI USA ETF (ESGU) has a higher volatility of 2.92% compared to Vanguard Mortgage-Backed Securities ETF (VMBS) at 1.62%. This indicates that ESGU's price experiences larger fluctuations and is considered to be riskier than VMBS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| ESGU | VMBS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.92% | 1.62% | +1.30% |
Volatility (6M)Calculated over the trailing 6-month period | 9.20% | 3.16% | +6.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.16% | 4.37% | +7.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.32% | 6.77% | +10.55% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.60% | 5.40% | +13.20% |
ESGU vs. VMBS - Expense Ratio Comparison
ESGU has a 0.15% expense ratio, which is higher than VMBS's 0.04% 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%.
Dividends
ESGU vs. VMBS - Dividend Comparison
ESGU's dividend yield for the trailing twelve months is around 0.92%, less than VMBS's 4.19% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGU iShares ESG Aware MSCI USA ETF | 0.92% | 0.99% | 1.18% | 1.43% | 1.58% | 1.06% | 1.27% | 1.32% | 1.73% | 1.82% | 0.00% | 0.00% |
VMBS Vanguard Mortgage-Backed Securities ETF | 4.19% | 4.20% | 3.94% | 3.31% | 2.35% | 1.02% | 2.01% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% |
Frequently Asked Questions
ESGU and VMBS have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ESGU has higher volatility (2.92%) compared to VMBS (1.62%). In terms of maximum drawdown, ESGU dropped -33.87% vs VMBS's -17.47%.
On 5-year performance, ESGU leads with 12.74% vs 0.48% for VMBS. On fees, VMBS is cheaper at 0.04% per year. On volatility, VMBS has been the lower-risk option at 1.62%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, ESGU has performed better with a 12.74% return vs 0.48%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VMBS is cheaper with a 0.04% expense ratio, compared with 0.15% for ESGU.
VMBS has the higher dividend yield at 4.19%, compared with 0.92% for ESGU.
ESGU is categorized as Large Cap Blend Equities, while VMBS is Mortgage Backed Securities. ESGU tracks MSCI USA Extended ESG Focus Index, while VMBS tracks Barclays Capital U.S. MBS Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.15% for ESGU and 0.04% for VMBS.
ESGU currently has the higher Sharpe Ratio (2.30 vs 1.59), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
Find the right allocation for ESGU and VMBS
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer