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

Key characteristics


ESGUXVV
YTD Return20.44%21.61%
1Y Return32.94%34.28%
3Y Return (Ann)6.83%8.11%
Sharpe Ratio2.782.68
Sortino Ratio3.703.54
Omega Ratio1.521.49
Calmar Ratio3.513.88
Martin Ratio18.0517.07
Ulcer Index1.90%2.08%
Daily Std Dev12.33%13.26%
Max Drawdown-33.87%-27.20%
Current Drawdown-2.55%-2.63%

Correlation

-0.50.00.51.01.0

The correlation between ESGU and XVV is 0.98, 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. XVV - Performance Comparison

In the year-to-date period, ESGU achieves a 20.44% return, which is significantly lower than XVV's 21.61% 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%15.00%JuneJulyAugustSeptemberOctoberNovember
10.90%
11.32%
ESGU
XVV

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ESGU vs. XVV - Expense Ratio Comparison

ESGU has a 0.15% expense ratio, which is higher than XVV's 0.08% 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 XVV: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

Risk-Adjusted Performance

ESGU vs. XVV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG MSCI USA ETF (ESGU) and iShares ESG Screened S&P 500 ETF (XVV). 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
XVV
Sharpe ratio
The chart of Sharpe ratio for XVV, currently valued at 2.68, compared to the broader market0.002.004.006.002.68
Sortino ratio
The chart of Sortino ratio for XVV, currently valued at 3.54, compared to the broader market0.005.0010.003.54
Omega ratio
The chart of Omega ratio for XVV, currently valued at 1.49, compared to the broader market1.001.502.002.503.001.49
Calmar ratio
The chart of Calmar ratio for XVV, currently valued at 3.88, compared to the broader market0.005.0010.0015.0020.003.88
Martin ratio
The chart of Martin ratio for XVV, currently valued at 17.07, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.07

ESGU vs. XVV - Sharpe Ratio Comparison

The current ESGU Sharpe Ratio is 2.78, which is comparable to the XVV Sharpe Ratio of 2.68. The chart below compares the historical Sharpe Ratios of ESGU and XVV, 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
2.78
2.68
ESGU
XVV

Dividends

ESGU vs. XVV - Dividend Comparison

ESGU's dividend yield for the trailing twelve months is around 1.16%, more than XVV's 1.04% yield.


TTM2023202220212020201920182017
ESGU
iShares ESG MSCI USA ETF
1.16%1.43%1.58%1.06%1.27%1.32%1.81%1.82%
XVV
iShares ESG Screened S&P 500 ETF
1.04%1.25%1.57%0.81%0.31%0.00%0.00%0.00%

Drawdowns

ESGU vs. XVV - Drawdown Comparison

The maximum ESGU drawdown since its inception was -33.87%, which is greater than XVV's maximum drawdown of -27.20%. Use the drawdown chart below to compare losses from any high point for ESGU and XVV. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.55%
-2.63%
ESGU
XVV

Volatility

ESGU vs. XVV - Volatility Comparison

The current volatility for iShares ESG MSCI USA ETF (ESGU) is 3.24%, while iShares ESG Screened S&P 500 ETF (XVV) has a volatility of 3.44%. This indicates that ESGU experiences smaller price fluctuations and is considered to be less risky than XVV 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%
3.44%
ESGU
XVV