ESGV vs. SPY
Compare and contrast key facts about Vanguard ESG U.S. Stock ETF (ESGV) and SPDR S&P 500 ETF (SPY).
ESGV and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESGV is a passively managed fund by Vanguard that tracks the performance of the FTSE US All Cap Choice Index. It was launched on Sep 18, 2018. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both ESGV and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ESGV or SPY.
Performance
ESGV vs. SPY - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with ESGV having a 24.54% return and SPY slightly higher at 25.41%.
ESGV
24.54%
1.64%
12.59%
32.73%
15.49%
N/A
SPY
25.41%
1.18%
12.15%
32.04%
15.51%
13.07%
Key characteristics
| ESGV | SPY | |
|---|---|---|
| Sharpe Ratio | 2.39 | 2.62 |
| Sortino Ratio | 3.19 | 3.50 |
| Omega Ratio | 1.44 | 1.49 |
| Calmar Ratio | 3.46 | 3.78 |
| Martin Ratio | 14.51 | 17.00 |
| Ulcer Index | 2.22% | 1.87% |
| Daily Std Dev | 13.47% | 12.14% |
| Max Drawdown | -33.66% | -55.19% |
| Current Drawdown | -1.60% | -1.38% |
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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%.
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.
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.
Dividends
ESGV vs. SPY - Dividend Comparison
ESGV's dividend yield for the trailing twelve months is around 1.08%, less than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGV Vanguard ESG U.S. Stock ETF | 1.08% | 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 | 1.19% | 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.
Volatility
ESGV vs. SPY - Volatility Comparison
Vanguard ESG U.S. Stock ETF (ESGV) has a higher volatility of 4.58% compared to SPDR S&P 500 ETF (SPY) at 4.09%. 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.