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

Correlation

The correlation between ESGV and SPY 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. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard ESG U.S. Stock ETF (ESGV) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

90.00%100.00%110.00%120.00%130.00%JulyAugustSeptemberOctoberNovemberDecember
126.17%
122.85%
ESGV
SPY

Key characteristics

Sharpe Ratio

ESGV:

2.01

SPY:

2.21

Sortino Ratio

ESGV:

2.67

SPY:

2.93

Omega Ratio

ESGV:

1.37

SPY:

1.41

Calmar Ratio

ESGV:

2.98

SPY:

3.26

Martin Ratio

ESGV:

12.33

SPY:

14.43

Ulcer Index

ESGV:

2.25%

SPY:

1.90%

Daily Std Dev

ESGV:

13.79%

SPY:

12.41%

Max Drawdown

ESGV:

-33.66%

SPY:

-55.19%

Current Drawdown

ESGV:

-2.85%

SPY:

-2.74%

Returns By Period

The year-to-date returns for both stocks are quite close, with ESGV having a 25.65% return and SPY slightly lower at 25.54%.


ESGV

YTD

25.65%

1M

0.89%

6M

10.11%

1Y

26.33%

5Y*

14.77%

10Y*

N/A

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

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. SPY - Expense Ratio Comparison

Both ESGV and SPY have an expense ratio of 0.09%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


ESGV
Vanguard ESG U.S. Stock ETF
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%
Expense ratio chart for SPY: 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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) and SPDR S&P 500 ETF (SPY). 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 2.01, compared to the broader market0.002.004.002.012.21
The chart of Sortino ratio for ESGV, currently valued at 2.67, compared to the broader market-2.000.002.004.006.008.0010.002.672.93
The chart of Omega ratio for ESGV, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.41
The chart of Calmar ratio for ESGV, currently valued at 2.98, compared to the broader market0.005.0010.0015.002.983.26
The chart of Martin ratio for ESGV, currently valued at 12.33, compared to the broader market0.0020.0040.0060.0080.00100.0012.3314.43
ESGV
SPY

The current ESGV Sharpe Ratio is 2.01, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of ESGV and SPY, 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
2.01
2.21
ESGV
SPY

Dividends

ESGV vs. SPY - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 0.76%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
ESGV
Vanguard ESG U.S. Stock ETF
0.76%1.16%1.42%0.95%1.11%1.27%0.28%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

ESGV vs. SPY - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ESGV and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.85%
-2.74%
ESGV
SPY

Volatility

ESGV vs. SPY - Volatility Comparison

Vanguard ESG U.S. Stock ETF (ESGV) has a higher volatility of 4.20% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that ESGV's price experiences larger fluctuations and is considered to be riskier than SPY 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
4.20%
3.72%
ESGV
SPY
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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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