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

Key characteristics


ESGVXLK
YTD Return20.07%16.94%
1Y Return34.09%31.33%
3Y Return (Ann)6.38%11.45%
5Y Return (Ann)14.99%22.60%
Sharpe Ratio2.851.62
Sortino Ratio3.742.14
Omega Ratio1.521.29
Calmar Ratio3.032.06
Martin Ratio17.457.15
Ulcer Index2.20%4.88%
Daily Std Dev13.49%21.63%
Max Drawdown-33.66%-82.05%
Current Drawdown-2.21%-5.62%

Correlation

-0.50.00.51.00.9

The correlation between ESGV and XLK is 0.92, 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. XLK - Performance Comparison

In the year-to-date period, ESGV achieves a 20.07% return, which is significantly higher than XLK's 16.94% return. 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
11.22%
9.65%
ESGV
XLK

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. XLK - Expense Ratio Comparison

ESGV has a 0.09% expense ratio, which is lower than XLK's 0.13% 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%.


XLK
Technology Select Sector SPDR Fund
Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
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. XLK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard ESG U.S. Stock ETF (ESGV) and Technology Select Sector SPDR Fund (XLK). 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 2.85, compared to the broader market-2.000.002.004.006.002.85
Sortino ratio
The chart of Sortino ratio for ESGV, currently valued at 3.74, compared to the broader market0.005.0010.003.74
Omega ratio
The chart of Omega ratio for ESGV, currently valued at 1.52, compared to the broader market1.001.502.002.503.003.501.52
Calmar ratio
The chart of Calmar ratio for ESGV, currently valued at 3.03, compared to the broader market0.005.0010.0015.0020.003.03
Martin ratio
The chart of Martin ratio for ESGV, currently valued at 17.45, compared to the broader market0.0020.0040.0060.0080.00100.00120.0017.45
XLK
Sharpe ratio
The chart of Sharpe ratio for XLK, currently valued at 1.62, compared to the broader market-2.000.002.004.006.001.62
Sortino ratio
The chart of Sortino ratio for XLK, currently valued at 2.14, compared to the broader market0.005.0010.002.14
Omega ratio
The chart of Omega ratio for XLK, currently valued at 1.29, compared to the broader market1.001.502.002.503.003.501.29
Calmar ratio
The chart of Calmar ratio for XLK, currently valued at 2.06, compared to the broader market0.005.0010.0015.0020.002.06
Martin ratio
The chart of Martin ratio for XLK, currently valued at 7.15, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.15

ESGV vs. XLK - Sharpe Ratio Comparison

The current ESGV Sharpe Ratio is 2.85, which is higher than the XLK Sharpe Ratio of 1.62. The chart below compares the historical Sharpe Ratios of ESGV and XLK, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.85
1.62
ESGV
XLK

Dividends

ESGV vs. XLK - Dividend Comparison

ESGV's dividend yield for the trailing twelve months is around 1.12%, more than XLK's 0.70% 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%
XLK
Technology Select Sector SPDR Fund
0.70%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

Drawdowns

ESGV vs. XLK - Drawdown Comparison

The maximum ESGV drawdown since its inception was -33.66%, smaller than the maximum XLK drawdown of -82.05%. Use the drawdown chart below to compare losses from any high point for ESGV and XLK. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.21%
-5.62%
ESGV
XLK

Volatility

ESGV vs. XLK - Volatility Comparison

The current volatility for Vanguard ESG U.S. Stock ETF (ESGV) is 3.63%, while Technology Select Sector SPDR Fund (XLK) has a volatility of 5.76%. This indicates that ESGV experiences smaller price fluctuations and is considered to be less risky than XLK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%JuneJulyAugustSeptemberOctoberNovember
3.63%
5.76%
ESGV
XLK