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

Key characteristics


ESGVSUSA
YTD Return19.79%19.10%
1Y Return33.78%32.84%
3Y Return (Ann)6.20%5.60%
5Y Return (Ann)14.92%14.74%
Sharpe Ratio2.652.80
Sortino Ratio3.503.81
Omega Ratio1.481.51
Calmar Ratio3.052.58
Martin Ratio16.0618.05
Ulcer Index2.21%1.91%
Daily Std Dev13.35%12.28%
Max Drawdown-33.66%-53.93%
Current Drawdown-2.43%-2.83%

Correlation

-0.50.00.51.01.0

The correlation between ESGV and SUSA 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.

Performance

ESGV vs. SUSA - Performance Comparison

The year-to-date returns for both stocks are quite close, with ESGV having a 19.79% return and SUSA slightly lower at 19.10%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
10.97%
11.36%
ESGV
SUSA

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ESGV vs. SUSA - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than SUSA's 0.25% 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%.


SUSA
iShares MSCI USA ESG Select ETF
Expense ratio chart for SUSA: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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%

Risk-Adjusted Performance

ESGV vs. SUSA - Risk-Adjusted Performance Comparison

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


ESGV
Sharpe ratio
The chart of Sharpe ratio for ESGV, currently valued at 2.65, compared to the broader market0.002.004.006.002.65
Sortino ratio
The chart of Sortino ratio for ESGV, currently valued at 3.50, compared to the broader market0.005.0010.003.50
Omega ratio
The chart of Omega ratio for ESGV, currently valued at 1.48, compared to the broader market1.001.502.002.503.001.48
Calmar ratio
The chart of Calmar ratio for ESGV, currently valued at 3.05, compared to the broader market0.005.0010.0015.0020.003.05
Martin ratio
The chart of Martin ratio for ESGV, currently valued at 16.06, compared to the broader market0.0020.0040.0060.0080.00100.00120.0016.06
SUSA
Sharpe ratio
The chart of Sharpe ratio for SUSA, currently valued at 2.80, compared to the broader market0.002.004.006.002.80
Sortino ratio
The chart of Sortino ratio for SUSA, currently valued at 3.81, compared to the broader market0.005.0010.003.81
Omega ratio
The chart of Omega ratio for SUSA, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for SUSA, currently valued at 2.58, compared to the broader market0.005.0010.0015.0020.002.58
Martin ratio
The chart of Martin ratio for SUSA, currently valued at 18.05, compared to the broader market0.0020.0040.0060.0080.00100.00120.0018.05

ESGV vs. SUSA - Sharpe Ratio Comparison

The current ESGV Sharpe Ratio is 2.65, which is comparable to the SUSA Sharpe Ratio of 2.80. The chart below compares the historical Sharpe Ratios of ESGV and SUSA, 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.65
2.80
ESGV
SUSA

Dividends

ESGV vs. SUSA - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 1.12%, less than SUSA's 1.17% yield.


TTM20232022202120202019201820172016201520142013
ESGV
Vanguard ESG U.S. Stock ETF
1.12%1.16%1.42%0.95%1.11%1.27%0.28%0.00%0.00%0.00%0.00%0.00%
SUSA
iShares MSCI USA ESG Select ETF
1.17%1.32%1.52%0.98%1.17%1.52%1.73%1.40%1.56%1.42%1.21%1.30%

Drawdowns

ESGV vs. SUSA - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, smaller than the maximum SUSA drawdown of -53.93%. Use the drawdown chart below to compare losses from any high point for ESGV and SUSA. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.43%
-2.83%
ESGV
SUSA

Volatility

ESGV vs. SUSA - Volatility Comparison

Vanguard ESG U.S. Stock ETF (ESGV) has a higher volatility of 3.51% compared to iShares MSCI USA ESG Select ETF (SUSA) at 3.04%. This indicates that ESGV's price experiences larger fluctuations and is considered to be riskier than SUSA 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%JuneJulyAugustSeptemberOctoberNovember
3.51%
3.04%
ESGV
SUSA