ESGV vs. QUS

Last updated Aug 6, 2026

ESGV (Vanguard ESG U.S. Stock ETF) and QUS (State Street SPDR MSCI USA StrategicFactors ETF) are both Large Cap Blend Equities funds - ESGV tracks the FTSE US All Cap Choice Index while QUS tracks the MSCI USA Factor Mix A-Series Capped Index. Both are passively managed. Over the past 5 years, ESGV returned 11.80%/yr vs 11.08%/yr for QUS. Their correlation of 0.93 means they have usually moved in the same direction. ESGV charges 0.09%/yr vs 0.15%/yr for QUS.

Performance

ESGV vs. QUS - Performance Comparison

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

Returns By Period

In the year-to-date period, ESGV achieves a 13.17% return, which is significantly higher than QUS's 11.79% return.

ESGV

• 1D: -0.12%
• 1M: 2.37%
• 6M: 14.11%
• YTD: 13.17%
• 1Y: 23.68%
• 3Y*: 21.23%
• 5Y*: 11.80%
• 10Y*: —
• ALL TIME*: 14.79%

QUS

• 1D: 0.02%
• 1M: 2.61%
• 6M: 9.40%
• YTD: 11.79%
• 1Y: 20.72%
• 3Y*: 17.66%
• 5Y*: 11.08%
• 10Y*: 13.70%
• ALL TIME*: 12.88%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ESGV Vanguard ESG U.S. Stock ETF	$25.81M	$22.30M	$25.78M
QUS State Street SPDR MSCI USA StrategicFactors ETF	$3.07M	$4.72M	$3.42M

ESGV vs. QUS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESGV Vanguard ESG U.S. Stock ETF	13.17%	16.48%	24.69%	30.79%	-24.04%	26.55%	25.69%	33.36%	-14.45%
QUS State Street SPDR MSCI USA StrategicFactors ETF	11.79%	14.13%	18.99%	21.78%	-14.15%	26.72%	12.40%	32.45%	-11.57%

Correlation

The correlation between ESGV and QUS is 0.78, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.78
Correlation (3Y) Balances recent behavior with more history.	0.86
Correlation (5Y) Shows whether the relationship held over a longer period.	0.92
Correlation (All Time) Calculated using the full available price history since Sep 20, 2018	0.93

The correlation between ESGV and QUS shifts across timeframes, from 0.78 (1 year) to 0.93 (all time), reflecting how their relationship changes across market environments.

ESGV vs. QUS - Sectors Allocation Comparison

Sectors	ESGV	QUS
Technology	43.1%	28.4%
Financial Services	11.9%	15.7%
Communication Services	11.2%	8.2%
Consumer Cyclical	11.2%	5.7%
Healthcare	10.1%	14.4%
Industrials	4.2%	8.1%
Consumer Defensive	3.7%	8.3%
Real Estate	2.6%	1.6%
Basic Materials	2.0%	2.2%
Utilities	0.1%	3.9%
Energy	0.0%	3.3%

Return for Risk

ESGV vs. QUS — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ESGV

ESGV Risk / Return Rank: 57
ESGV Sharpe Ratio Rank: 60
ESGV Sortino Ratio Rank: 58
ESGV Omega Ratio Rank: 58
ESGV Calmar Ratio Rank: 50
ESGV Martin Ratio Rank: 61

QUS

QUS Risk / Return Rank: 84
QUS Sharpe Ratio Rank: 87
QUS Sortino Ratio Rank: 87
QUS Omega Ratio Rank: 86
QUS Calmar Ratio Rank: 76
QUS Martin Ratio Rank: 85

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ESGV vs. QUS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) and State Street SPDR MSCI USA StrategicFactors ETF (QUS). 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	QUS	Difference
Sharpe ratio: Return per unit of total volatility	1.64	2.27	-0.63
Sortino ratio: Return per unit of downside risk	2.27	3.20	-0.92
Omega ratio: Gain probability vs. loss probability	1.29	1.41	-0.12
Calmar ratio: Return relative to maximum drawdown	2.05	3.04	-0.99
Martin ratio: Return relative to average drawdown	8.27	13.56	-5.30

ESGV vs. QUS - Sharpe Ratio Comparison

The current ESGV Sharpe Ratio is 1.64, which is comparable to the QUS Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of ESGV and QUS, 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. QUS - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, roughly equal to the maximum QUS drawdown of -33.78%. Use the drawdown chart below to compare losses from any high point for ESGV and QUS.

Drawdown Indicators

	ESGV	QUS	Difference
Max Drawdown Largest peak-to-trough decline	-33.66%	-33.78%	+0.12%
Max Drawdown (1Y) Largest decline over 1 year	-11.60%	-6.85%	-4.75%
Max Drawdown (3Y) Largest decline over 3 years	-20.41%	-13.94%	-6.47%
Max Drawdown (5Y) Largest decline over 5 years	-28.81%	-22.30%	-6.51%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.78%	—
Current Drawdown Current decline from peak	-0.12%	0.00%	-0.12%
Average Drawdown Average peak-to-trough decline	-6.33%	-3.66%	-2.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.87%	1.53%	+1.34%

Volatility

ESGV vs. QUS - Volatility Comparison

Vanguard ESG U.S. Stock ETF (ESGV) has a higher volatility of 4.61% compared to State Street SPDR MSCI USA StrategicFactors ETF (QUS) at 2.76%. This indicates that ESGV's price experiences larger fluctuations and is considered to be riskier than QUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGV	QUS	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.61%	2.76%	+1.85%
Volatility (6M) Calculated over the trailing 6-month period	11.74%	7.06%	+4.68%
Volatility (1Y) Calculated over the trailing 1-year period	14.53%	9.21%	+5.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.55%	14.33%	+4.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.52%	16.40%	+4.12%

ESGV vs. QUS - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than QUS'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. QUS - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 0.85%, less than QUS's 1.25% 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%
QUS State Street SPDR MSCI USA StrategicFactors ETF	1.25%	1.38%	1.49%	1.57%	1.68%	1.27%	1.73%	1.81%	2.12%	1.86%	2.07%	1.48%

Frequently Asked Questions

Can I hold both ESGV and QUS in my portfolio?

ESGV and QUS have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGV or QUS?

ESGV has higher volatility (4.61%) compared to QUS (2.76%). In terms of maximum drawdown, ESGV dropped -33.66% vs QUS's -33.78%.

Which ETF is better, ESGV or QUS?

On 5-year performance, ESGV leads with 11.80% vs 11.08% for QUS. On fees, ESGV is cheaper at 0.09% per year. On volatility, QUS has been the lower-risk option at 2.76%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGV or QUS?

Over the 5-year period, ESGV has performed better with a 11.80% return vs 11.08%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGV or QUS?

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

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

QUS has the higher dividend yield at 1.25%, compared with 0.85% for ESGV.

What is the main difference between ESGV and QUS?

ESGV tracks FTSE US All Cap Choice Index, while QUS tracks MSCI USA Factor Mix A-Series Capped Index. They also come from different issuers: Vanguard and State Street. Their fees differ too: 0.09% for ESGV and 0.15% for QUS.

Which has better risk-adjusted returns?

QUS currently has the higher Sharpe Ratio (2.27 vs 1.64), 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.