ESGV vs. QUAL

Last updated Jun 16, 2026

ESGV (Vanguard ESG U.S. Stock ETF) and QUAL (iShares MSCI USA Quality Factor ETF) are both Large Cap Blend Equities funds - ESGV tracks the FTSE US All Cap Choice Index while QUAL tracks the MSCI USA Sector Neutral Quality Index. Both are passively managed. Over the past 5 years, ESGV returned 12.57%/yr vs 12.44%/yr for QUAL. With a 0.96 correlation, they move nearly in lockstep. ESGV charges 0.09%/yr vs 0.15%/yr for QUAL.

Performance

ESGV vs. QUAL - Performance Comparison

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

Returns By Period

The year-to-date returns for both investments are quite close, with ESGV having a 10.76% return and QUAL slightly higher at 10.79%.

ESGV

• 1D: 2.01%
• 1M: 2.85%
• YTD: 10.76%
• 6M: 11.56%
• 1Y: 28.06%
• 3Y*: 21.07%
• 5Y*: 12.57%
• 10Y*: —

QUAL

• 1D: 1.24%
• 1M: 4.34%
• YTD: 10.79%
• 6M: 10.54%
• 1Y: 24.39%
• 3Y*: 19.23%
• 5Y*: 12.44%
• 10Y*: 14.62%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGV vs. QUAL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESGV Vanguard ESG U.S. Stock ETF	10.76%	16.48%	24.69%	30.79%	-24.04%	26.55%	25.69%	33.36%	-14.45%
QUAL iShares MSCI USA Quality Factor ETF	10.79%	12.65%	22.29%	30.88%	-20.50%	26.94%	17.04%	33.89%	-14.27%

Correlation

The correlation between ESGV and QUAL is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Sep 20, 2018	0.96

The correlation between ESGV and QUAL has been stable across timeframes, ranging from 0.93 to 0.96 - a consistent structural relationship.

ESGV vs. QUAL - Sectors Allocation Comparison

Sectors	ESGV	QUAL
Technology	39.5%	38.8%
Communication Services	13.0%	11.8%
Financial Services	12.3%	10.8%
Consumer Cyclical	12.2%	9.3%
Healthcare	9.8%	8.7%
Industrials	4.5%	7.2%
Consumer Defensive	3.9%	4.4%
Real Estate	2.8%	1.8%
Basic Materials	1.9%	1.9%
Utilities	0.2%	2.1%
Energy	0.1%	3.2%

Return for Risk

ESGV vs. QUAL — Risk / Return Rank

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

ESGV

ESGV Risk / Return Rank: 64
ESGV Sharpe Ratio Rank: 69
ESGV Sortino Ratio Rank: 66
ESGV Omega Ratio Rank: 68
ESGV Calmar Ratio Rank: 54
ESGV Martin Ratio Rank: 63

QUAL

QUAL Risk / Return Rank: 68
QUAL Sharpe Ratio Rank: 70
QUAL Sortino Ratio Rank: 71
QUAL Omega Ratio Rank: 67
QUAL Calmar Ratio Rank: 60
QUAL Martin Ratio Rank: 73

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ESGV vs. QUAL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) and iShares MSCI USA Quality Factor ETF (QUAL). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ESGV	QUAL	Difference
Sharpe ratio: Return per unit of total volatility	2.02	2.04	-0.02
Sortino ratio: Return per unit of downside risk	2.73	2.87	-0.15
Omega ratio: Gain probability vs. loss probability	1.36	1.36	+0.01
Calmar ratio: Return relative to maximum drawdown	2.43	2.71	-0.28
Martin ratio: Return relative to average drawdown	10.21	12.37	-2.16

ESGV vs. QUAL - Sharpe Ratio Comparison

The current ESGV Sharpe Ratio is 2.02, which is comparable to the QUAL Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of ESGV and QUAL, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ESGV vs. QUAL - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, roughly equal to the maximum QUAL drawdown of -34.06%. Use the drawdown chart below to compare losses from any high point for ESGV and QUAL.

Drawdown Indicators

	ESGV	QUAL	Difference
Max Drawdown Largest peak-to-trough decline	-33.66%	-34.06%	+0.40%
Max Drawdown (1Y) Largest decline over 1 year	-11.60%	-9.03%	-2.57%
Max Drawdown (3Y) Largest decline over 3 years	-20.41%	-18.00%	-2.41%
Max Drawdown (5Y) Largest decline over 5 years	-28.81%	-28.23%	-0.58%
Max Drawdown (10Y) Largest decline over 10 years	—	-34.06%	—
Current Drawdown Current decline from peak	-0.87%	0.00%	-0.87%
Average Drawdown Average peak-to-trough decline	-6.41%	-4.10%	-2.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.75%	1.98%	+0.77%

Volatility

ESGV vs. QUAL - Volatility Comparison

Vanguard ESG U.S. Stock ETF (ESGV) has a higher volatility of 5.34% compared to iShares MSCI USA Quality Factor ETF (QUAL) at 3.76%. This indicates that ESGV's price experiences larger fluctuations and is considered to be riskier than QUAL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGV	QUAL	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.34%	3.76%	+1.58%
Volatility (6M) Calculated over the trailing 6-month period	11.13%	9.47%	+1.66%
Volatility (1Y) Calculated over the trailing 1-year period	13.99%	12.06%	+1.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.45%	17.38%	+1.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.60%	18.12%	+2.48%

ESGV vs. QUAL - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than QUAL'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%.

Dividends

ESGV vs. QUAL - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 0.85%, less than QUAL's 1.04% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGV Vanguard ESG U.S. Stock ETF	0.85%	0.91%	1.04%	1.16%	1.42%	0.95%	1.11%	1.27%	0.28%	0.00%	0.00%	0.00%
QUAL iShares MSCI USA Quality Factor ETF	1.04%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%

Frequently Asked Questions

Can I hold both ESGV and QUAL in my portfolio?

With a correlation of 0.93, ESGV and QUAL move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ESGV or QUAL?

ESGV has higher volatility (5.34%) compared to QUAL (3.76%). In terms of maximum drawdown, ESGV dropped -33.66% vs QUAL's -34.06%.

Which ETF is better, ESGV or QUAL?

On 5-year performance, ESGV leads with 12.57% vs 12.44% for QUAL. On fees, ESGV is cheaper at 0.09% per year. On volatility, QUAL has been the lower-risk option at 3.76%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGV or QUAL?

Over the 5-year period, ESGV has performed better with a 12.57% return vs 12.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGV or QUAL?

ESGV is cheaper with a 0.09% expense ratio, compared with 0.15% for QUAL.

Which ETF pays a higher dividend yield, ESGV or QUAL?

QUAL has the higher dividend yield at 1.04%, compared with 0.85% for ESGV.

What is the main difference between ESGV and QUAL?

ESGV tracks FTSE US All Cap Choice Index, while QUAL tracks MSCI USA Sector Neutral Quality Index. They also come from different issuers: Vanguard and iShares. Their fees differ too: 0.09% for ESGV and 0.15% for QUAL.

Which has better risk-adjusted returns?

QUAL currently has the higher Sharpe Ratio (2.04 vs 2.02), 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.