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

Correlation

The correlation between ESGV and ESGU 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.


-0.50.00.51.01.0

Performance

ESGV vs. ESGU - Performance Comparison

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

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
9.01%
8.12%
ESGV
ESGU

Key characteristics

Sharpe Ratio

ESGV:

1.78

ESGU:

1.88

Sortino Ratio

ESGV:

2.39

ESGU:

2.52

Omega Ratio

ESGV:

1.33

ESGU:

1.35

Calmar Ratio

ESGV:

2.65

ESGU:

2.81

Martin Ratio

ESGV:

11.00

ESGU:

12.36

Ulcer Index

ESGV:

2.25%

ESGU:

1.94%

Daily Std Dev

ESGV:

13.86%

ESGU:

12.81%

Max Drawdown

ESGV:

-33.66%

ESGU:

-33.87%

Current Drawdown

ESGV:

-3.75%

ESGU:

-3.96%

Returns By Period

The year-to-date returns for both stocks are quite close, with ESGV having a 24.49% return and ESGU slightly lower at 23.86%.


ESGV

YTD

24.49%

1M

-0.04%

6M

9.01%

1Y

26.60%

5Y*

14.57%

10Y*

N/A

ESGU

YTD

23.86%

1M

-0.88%

6M

8.12%

1Y

25.86%

5Y*

14.15%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ESGV vs. ESGU - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than ESGU's 0.15% expense ratio. Despite the difference, 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%

Risk-Adjusted Performance

ESGV vs. ESGU - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) and iShares ESG MSCI USA ETF (ESGU). 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 ESGV, currently valued at 1.78, compared to the broader market0.002.004.001.781.88
The chart of Sortino ratio for ESGV, currently valued at 2.39, compared to the broader market-2.000.002.004.006.008.0010.002.392.52
The chart of Omega ratio for ESGV, currently valued at 1.33, compared to the broader market0.501.001.502.002.503.001.331.35
The chart of Calmar ratio for ESGV, currently valued at 2.65, compared to the broader market0.005.0010.0015.002.652.81
The chart of Martin ratio for ESGV, currently valued at 11.00, compared to the broader market0.0020.0040.0060.0080.00100.0011.0012.36
ESGV
ESGU

The current ESGV Sharpe Ratio is 1.78, which is comparable to the ESGU Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of ESGV and ESGU, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.78
1.88
ESGV
ESGU

Dividends

ESGV vs. ESGU - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 0.77%, less than ESGU's 1.19% yield.


TTM2023202220212020201920182017
ESGV
Vanguard ESG U.S. Stock ETF
0.77%1.16%1.42%0.95%1.11%1.27%0.28%0.00%
ESGU
iShares ESG MSCI USA ETF
1.19%1.43%1.58%1.06%1.27%1.32%1.81%1.82%

Drawdowns

ESGV vs. ESGU - Drawdown Comparison

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


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.75%
-3.96%
ESGV
ESGU

Volatility

ESGV vs. ESGU - Volatility Comparison

Vanguard ESG U.S. Stock ETF (ESGV) has a higher volatility of 4.09% compared to iShares ESG MSCI USA ETF (ESGU) at 3.80%. This indicates that ESGV's price experiences larger fluctuations and is considered to be riskier than ESGU 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%JulyAugustSeptemberOctoberNovemberDecember
4.09%
3.80%
ESGV
ESGU
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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