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

Correlation

The correlation between ESGV and OEF 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.


-0.50.00.51.0
Correlation: 1.0

Performance

ESGV vs. OEF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard ESG U.S. Stock ETF (ESGV) and iShares S&P 100 ETF (OEF). The values are adjusted to include any dividend payments, if applicable.

110.00%120.00%130.00%140.00%150.00%NovemberDecember2025FebruaryMarchApril
112.62%
130.92%
ESGV
OEF

Key characteristics

Sharpe Ratio

ESGV:

0.52

OEF:

0.76

Sortino Ratio

ESGV:

0.78

OEF:

1.09

Omega Ratio

ESGV:

1.10

OEF:

1.14

Calmar Ratio

ESGV:

0.69

OEF:

1.09

Martin Ratio

ESGV:

2.24

OEF:

3.36

Ulcer Index

ESGV:

3.54%

OEF:

3.44%

Daily Std Dev

ESGV:

15.33%

OEF:

15.15%

Max Drawdown

ESGV:

-33.66%

OEF:

-54.12%

Current Drawdown

ESGV:

-9.26%

OEF:

-8.93%

Returns By Period

The year-to-date returns for both stocks are quite close, with ESGV having a -5.27% return and OEF slightly lower at -5.31%.


ESGV

YTD

-5.27%

1M

-3.80%

6M

-0.84%

1Y

8.89%

5Y*

19.28%

10Y*

N/A

OEF

YTD

-5.31%

1M

-3.80%

6M

0.21%

1Y

12.20%

5Y*

20.48%

10Y*

13.62%

*Annualized

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. OEF - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than OEF's 0.20% 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%.


OEF
iShares S&P 100 ETF
Expense ratio chart for OEF: current value is 0.20%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
OEF: 0.20%
Expense ratio chart for ESGV: current value is 0.09%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
ESGV: 0.09%

Risk-Adjusted Performance

ESGV vs. OEF — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESGV
The Risk-Adjusted Performance Rank of ESGV is 5252
Overall Rank
The Sharpe Ratio Rank of ESGV is 4949
Sharpe Ratio Rank
The Sortino Ratio Rank of ESGV is 4848
Sortino Ratio Rank
The Omega Ratio Rank of ESGV is 4949
Omega Ratio Rank
The Calmar Ratio Rank of ESGV is 6060
Calmar Ratio Rank
The Martin Ratio Rank of ESGV is 5656
Martin Ratio Rank

OEF
The Risk-Adjusted Performance Rank of OEF is 6868
Overall Rank
The Sharpe Ratio Rank of OEF is 6666
Sharpe Ratio Rank
The Sortino Ratio Rank of OEF is 6464
Sortino Ratio Rank
The Omega Ratio Rank of OEF is 6666
Omega Ratio Rank
The Calmar Ratio Rank of OEF is 7676
Calmar Ratio Rank
The Martin Ratio Rank of OEF is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ESGV vs. OEF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) and iShares S&P 100 ETF (OEF). 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 0.52, compared to the broader market-1.000.001.002.003.004.005.00
ESGV: 0.52
OEF: 0.76
The chart of Sortino ratio for ESGV, currently valued at 0.78, compared to the broader market-2.000.002.004.006.008.0010.0012.00
ESGV: 0.78
OEF: 1.09
The chart of Omega ratio for ESGV, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.00
ESGV: 1.10
OEF: 1.14
The chart of Calmar ratio for ESGV, currently valued at 0.69, compared to the broader market0.005.0010.0015.00
ESGV: 0.69
OEF: 1.09
The chart of Martin ratio for ESGV, currently valued at 2.24, compared to the broader market0.0020.0040.0060.0080.00100.00
ESGV: 2.24
OEF: 3.36

The current ESGV Sharpe Ratio is 0.52, which is lower than the OEF Sharpe Ratio of 0.76. The chart below compares the historical Sharpe Ratios of ESGV and OEF, 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.52
0.76
ESGV
OEF

Dividends

ESGV vs. OEF - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 1.15%, more than OEF's 1.03% yield.


TTM20242023202220212020201920182017201620152014
ESGV
Vanguard ESG U.S. Stock ETF
1.15%1.05%1.16%1.42%0.95%1.11%1.27%0.28%0.00%0.00%0.00%0.00%
OEF
iShares S&P 100 ETF
1.03%1.03%1.19%1.55%1.06%1.43%1.87%2.09%1.81%2.07%2.11%1.85%

Drawdowns

ESGV vs. OEF - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, smaller than the maximum OEF drawdown of -54.12%. Use the drawdown chart below to compare losses from any high point for ESGV and OEF. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.26%
-8.93%
ESGV
OEF

Volatility

ESGV vs. OEF - Volatility Comparison

Vanguard ESG U.S. Stock ETF (ESGV) has a higher volatility of 6.46% compared to iShares S&P 100 ETF (OEF) at 6.14%. This indicates that ESGV's price experiences larger fluctuations and is considered to be riskier than OEF 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%NovemberDecember2025FebruaryMarchApril
6.46%
6.14%
ESGV
OEF
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2025 PortfoliosLab