PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ESGV vs. VFTAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ESGV and VFTAX is 1.00, 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. VFTAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard ESG U.S. Stock ETF (ESGV) and Vanguard FTSE Social Index Fund Admiral Shares (VFTAX). The values are adjusted to include any dividend payments, if applicable.

110.00%120.00%130.00%140.00%150.00%JulyAugustSeptemberOctoberNovemberDecember
143.19%
145.43%
ESGV
VFTAX

Key characteristics

Sharpe Ratio

ESGV:

2.01

VFTAX:

2.11

Sortino Ratio

ESGV:

2.67

VFTAX:

2.79

Omega Ratio

ESGV:

1.37

VFTAX:

1.39

Calmar Ratio

ESGV:

2.98

VFTAX:

3.10

Martin Ratio

ESGV:

12.33

VFTAX:

13.24

Ulcer Index

ESGV:

2.25%

VFTAX:

2.19%

Daily Std Dev

ESGV:

13.79%

VFTAX:

13.74%

Max Drawdown

ESGV:

-33.66%

VFTAX:

-34.20%

Current Drawdown

ESGV:

-2.85%

VFTAX:

-2.75%

Returns By Period

In the year-to-date period, ESGV achieves a 25.65% return, which is significantly lower than VFTAX's 26.98% return.


ESGV

YTD

25.65%

1M

0.89%

6M

10.11%

1Y

26.33%

5Y*

14.77%

10Y*

N/A

VFTAX

YTD

26.98%

1M

0.71%

6M

9.97%

1Y

27.43%

5Y*

14.80%

10Y*

N/A

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. VFTAX - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than VFTAX's 0.14% 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%.


VFTAX
Vanguard FTSE Social Index Fund Admiral Shares
Expense ratio chart for VFTAX: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
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. VFTAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) and Vanguard FTSE Social Index Fund Admiral Shares (VFTAX). 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 market0.002.004.002.012.11
The chart of Sortino ratio for ESGV, currently valued at 2.67, compared to the broader market-2.000.002.004.006.008.0010.002.672.79
The chart of Omega ratio for ESGV, currently valued at 1.37, compared to the broader market0.501.001.502.002.503.001.371.39
The chart of Calmar ratio for ESGV, currently valued at 2.98, compared to the broader market0.005.0010.0015.002.983.10
The chart of Martin ratio for ESGV, currently valued at 12.33, compared to the broader market0.0020.0040.0060.0080.00100.0012.3313.24
ESGV
VFTAX

The current ESGV Sharpe Ratio is 2.01, which is comparable to the VFTAX Sharpe Ratio of 2.11. The chart below compares the historical Sharpe Ratios of ESGV and VFTAX, 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
2.11
ESGV
VFTAX

Dividends

ESGV vs. VFTAX - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 0.76%, more than VFTAX's 0.73% yield.


TTM202320222021202020192018
ESGV
Vanguard ESG U.S. Stock ETF
0.76%1.16%1.42%0.95%1.11%1.27%0.28%
VFTAX
Vanguard FTSE Social Index Fund Admiral Shares
0.73%1.10%1.34%0.94%1.21%1.44%0.00%

Drawdowns

ESGV vs. VFTAX - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, roughly equal to the maximum VFTAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for ESGV and VFTAX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.85%
-2.75%
ESGV
VFTAX

Volatility

ESGV vs. VFTAX - Volatility Comparison

Vanguard ESG U.S. Stock ETF (ESGV) and Vanguard FTSE Social Index Fund Admiral Shares (VFTAX) have volatilities of 4.20% and 4.09%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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%
4.09%
ESGV
VFTAX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab