ESML vs. LSAT

Last updated Jun 24, 2026

ESML (iShares ESG Aware MSCI USA Small-Cap ETF) and LSAT (Leadershares Alphafactor Tactical Focused ETF) are both exchange-traded funds - ESML is a Small Cap Growth Equities fund tracking the MSCI USA Small Cap Extended ESG Focus Index, while LSAT is a Money Market fund actively managed by Redwood. ESML is passively managed, while LSAT is actively managed. Over the past 5 years, ESML returned 7.24%/yr vs 6.38%/yr for LSAT. A 0.79 correlation means they provide meaningful diversification when combined. ESML charges 0.17%/yr vs 0.99%/yr for LSAT.

Performance

ESML vs. LSAT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and Leadershares Alphafactor Tactical Focused ETF (LSAT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESML achieves a 18.00% return, which is significantly higher than LSAT's 10.47% return.

ESML

• 1D: -1.21%
• 1M: 3.69%
• YTD: 18.00%
• 6M: 15.71%
• 1Y: 34.55%
• 3Y*: 17.87%
• 5Y*: 7.24%
• 10Y*: —

LSAT

• 1D: 0.62%
• 1M: 0.13%
• YTD: 10.47%
• 6M: 8.90%
• 1Y: 11.27%
• 3Y*: 12.09%
• 5Y*: 6.38%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESML vs. LSAT - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
ESML iShares ESG Aware MSCI USA Small-Cap ETF	18.00%	10.62%	12.01%	17.27%	-17.28%	19.28%	21.14%
LSAT Leadershares Alphafactor Tactical Focused ETF	10.47%	-1.54%	18.16%	13.64%	-12.99%	25.10%	18.71%

Correlation

The correlation between ESML and LSAT is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.76
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since Oct 27, 2020	0.79

The correlation between ESML and LSAT has been stable across timeframes, ranging from 0.70 to 0.79 - a consistent structural relationship.

ESML vs. LSAT - Sectors Allocation Comparison

Sectors	ESML	LSAT
Technology	20.8%	15.0%
Industrials	17.8%	12.9%
Financial Services	13.8%	21.4%
Healthcare	12.8%	7.0%
Consumer Cyclical	10.7%	23.1%
Real Estate	6.5%	3.0%
Energy	4.8%	3.0%
Basic Materials	4.0%	2.5%
Consumer Defensive	3.4%	2.9%
Utilities	2.8%	-
Communication Services	2.5%	9.3%

Return for Risk

ESML vs. LSAT — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESML

ESML Risk / Return Rank: 70
ESML Sharpe Ratio Rank: 66
ESML Sortino Ratio Rank: 67
ESML Omega Ratio Rank: 60
ESML Calmar Ratio Rank: 79
ESML Martin Ratio Rank: 78

LSAT

LSAT Risk / Return Rank: 27
LSAT Sharpe Ratio Rank: 26
LSAT Sortino Ratio Rank: 26
LSAT Omega Ratio Rank: 24
LSAT Calmar Ratio Rank: 31
LSAT Martin Ratio Rank: 26

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ESML vs. LSAT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and Leadershares Alphafactor Tactical Focused ETF (LSAT). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	ESML	LSAT	Difference
Sharpe ratio: Return per unit of total volatility	2.03	0.88	+1.15
Sortino ratio: Return per unit of downside risk	2.88	1.36	+1.52
Omega ratio: Gain probability vs. loss probability	1.34	1.15	+0.19
Calmar ratio: Return relative to maximum drawdown	3.84	1.43	+2.42
Martin ratio: Return relative to average drawdown	14.09	3.34	+10.75

ESML vs. LSAT - Sharpe Ratio Comparison

The current ESML Sharpe Ratio is 2.03, which is higher than the LSAT Sharpe Ratio of 0.88. The chart below compares the historical Sharpe Ratios of ESML and LSAT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ESML vs. LSAT - Drawdown Comparison

The maximum ESML drawdown since its inception was -41.97%, which is greater than LSAT's maximum drawdown of -20.48%. Use the drawdown chart below to compare losses from any high point for ESML and LSAT.

Drawdown Indicators

	ESML	LSAT	Difference
Max Drawdown Largest peak-to-trough decline	-41.97%	-20.48%	-21.49%
Max Drawdown (1Y) Largest decline over 1 year	-9.04%	-7.94%	-1.10%
Max Drawdown (3Y) Largest decline over 3 years	-26.68%	-18.25%	-8.43%
Max Drawdown (5Y) Largest decline over 5 years	-28.61%	-20.48%	-8.13%
Current Drawdown Current decline from peak	-1.21%	-1.36%	+0.15%
Average Drawdown Average peak-to-trough decline	-8.91%	-5.51%	-3.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.46%	3.38%	-0.92%

Volatility

ESML vs. LSAT - Volatility Comparison

iShares ESG Aware MSCI USA Small-Cap ETF (ESML) has a higher volatility of 5.52% compared to Leadershares Alphafactor Tactical Focused ETF (LSAT) at 3.38%. This indicates that ESML's price experiences larger fluctuations and is considered to be riskier than LSAT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESML	LSAT	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.52%	3.38%	+2.14%
Volatility (6M) Calculated over the trailing 6-month period	12.38%	9.36%	+3.02%
Volatility (1Y) Calculated over the trailing 1-year period	17.15%	12.89%	+4.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.29%	16.25%	+5.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.39%	16.74%	+6.65%

ESML vs. LSAT - Expense Ratio Comparison

ESML has a 0.17% expense ratio, which is lower than LSAT's 0.99% expense ratio.

Dividends

ESML vs. LSAT - Dividend Comparison

ESML's dividend yield for the trailing twelve months is around 0.92%, less than LSAT's 1.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
ESML iShares ESG Aware MSCI USA Small-Cap ETF	0.92%	1.08%	1.22%	1.31%	1.46%	0.94%	0.99%	1.10%	1.07%
LSAT Leadershares Alphafactor Tactical Focused ETF	1.72%	1.90%	1.31%	1.85%	0.36%	3.44%	0.30%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ESML and LSAT in my portfolio?

ESML and LSAT have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESML or LSAT?

ESML has higher volatility (5.52%) compared to LSAT (3.38%). In terms of maximum drawdown, ESML dropped -41.97% vs LSAT's -20.48%.

Which ETF is better, ESML or LSAT?

On 5-year performance, ESML leads with 7.24% vs 6.38% for LSAT. On fees, ESML is cheaper at 0.17% per year. On volatility, LSAT has been the lower-risk option at 3.38%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESML or LSAT?

Over the 5-year period, ESML has performed better with a 7.24% return vs 6.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESML or LSAT?

ESML is cheaper with a 0.17% expense ratio, compared with 0.99% for LSAT.

Which ETF pays a higher dividend yield, ESML or LSAT?

LSAT has the higher dividend yield at 1.72%, compared with 0.92% for ESML.

What is the main difference between ESML and LSAT?

ESML is categorized as Small Cap Growth Equities, while LSAT is Money Market. They also come from different issuers: iShares and Redwood. Their fees differ too: 0.17% for ESML and 0.99% for LSAT.

Which has better risk-adjusted returns?

ESML currently has the higher Sharpe Ratio (2.03 vs 0.88), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.