PortfoliosLab logo
ESML vs. VBK
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ESML and VBK is 0.83, 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.


-0.50.00.51.0
Correlation: 0.8

Performance

ESML vs. VBK - 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 Vanguard Small-Cap Growth ETF (VBK). The values are adjusted to include any dividend payments, if applicable.

40.00%50.00%60.00%70.00%80.00%90.00%NovemberDecember2025FebruaryMarchApril
59.15%
55.92%
ESML
VBK

Key characteristics

Sharpe Ratio

ESML:

-0.02

VBK:

0.07

Sortino Ratio

ESML:

0.14

VBK:

0.27

Omega Ratio

ESML:

1.02

VBK:

1.03

Calmar Ratio

ESML:

-0.02

VBK:

0.06

Martin Ratio

ESML:

-0.05

VBK:

0.20

Ulcer Index

ESML:

8.22%

VBK:

8.41%

Daily Std Dev

ESML:

23.18%

VBK:

24.52%

Max Drawdown

ESML:

-41.97%

VBK:

-58.69%

Current Drawdown

ESML:

-17.96%

VBK:

-18.24%

Returns By Period

In the year-to-date period, ESML achieves a -10.73% return, which is significantly higher than VBK's -11.33% return.


ESML

YTD

-10.73%

1M

-2.53%

6M

-10.35%

1Y

1.07%

5Y*

12.65%

10Y*

N/A

VBK

YTD

-11.33%

1M

-1.51%

6M

-8.20%

1Y

3.17%

5Y*

8.57%

10Y*

7.30%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ESML vs. VBK - Expense Ratio Comparison

ESML has a 0.17% expense ratio, which is higher than VBK's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Expense ratio chart for ESML: current value is 0.17%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
ESML: 0.17%
Expense ratio chart for VBK: current value is 0.07%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VBK: 0.07%

Risk-Adjusted Performance

ESML vs. VBK — Risk-Adjusted Performance Rank

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

ESML
The Risk-Adjusted Performance Rank of ESML is 1919
Overall Rank
The Sharpe Ratio Rank of ESML is 1919
Sharpe Ratio Rank
The Sortino Ratio Rank of ESML is 1919
Sortino Ratio Rank
The Omega Ratio Rank of ESML is 1919
Omega Ratio Rank
The Calmar Ratio Rank of ESML is 1818
Calmar Ratio Rank
The Martin Ratio Rank of ESML is 1919
Martin Ratio Rank

VBK
The Risk-Adjusted Performance Rank of VBK is 2424
Overall Rank
The Sharpe Ratio Rank of VBK is 2323
Sharpe Ratio Rank
The Sortino Ratio Rank of VBK is 2626
Sortino Ratio Rank
The Omega Ratio Rank of VBK is 2525
Omega Ratio Rank
The Calmar Ratio Rank of VBK is 2424
Calmar Ratio Rank
The Martin Ratio Rank of VBK is 2323
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

ESML vs. VBK - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and Vanguard Small-Cap Growth ETF (VBK). 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.


The chart of Sharpe ratio for ESML, currently valued at -0.02, compared to the broader market-1.000.001.002.003.004.00
ESML: -0.02
VBK: 0.07
The chart of Sortino ratio for ESML, currently valued at 0.14, compared to the broader market-2.000.002.004.006.008.00
ESML: 0.14
VBK: 0.27
The chart of Omega ratio for ESML, currently valued at 1.02, compared to the broader market0.501.001.502.002.50
ESML: 1.02
VBK: 1.03
The chart of Calmar ratio for ESML, currently valued at -0.02, compared to the broader market0.002.004.006.008.0010.00
ESML: -0.02
VBK: 0.06
The chart of Martin ratio for ESML, currently valued at -0.05, compared to the broader market0.0020.0040.0060.00
ESML: -0.05
VBK: 0.20

The current ESML Sharpe Ratio is -0.02, which is lower than the VBK Sharpe Ratio of 0.07. The chart below compares the historical Sharpe Ratios of ESML and VBK, 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.02
0.07
ESML
VBK

Dividends

ESML vs. VBK - Dividend Comparison

ESML's dividend yield for the trailing twelve months is around 1.36%, more than VBK's 0.60% yield.


TTM20242023202220212020201920182017201620152014
ESML
iShares ESG Aware MSCI USA Small-Cap ETF
1.36%1.22%1.31%1.46%0.94%0.99%1.10%1.07%0.00%0.00%0.00%0.00%
VBK
Vanguard Small-Cap Growth ETF
0.60%0.54%0.68%0.55%0.36%0.44%0.57%0.79%0.82%1.08%0.98%1.01%

Drawdowns

ESML vs. VBK - Drawdown Comparison

The maximum ESML drawdown since its inception was -41.97%, smaller than the maximum VBK drawdown of -58.69%. Use the drawdown chart below to compare losses from any high point for ESML and VBK. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-17.96%
-18.24%
ESML
VBK

Volatility

ESML vs. VBK - Volatility Comparison

The current volatility for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) is 14.88%, while Vanguard Small-Cap Growth ETF (VBK) has a volatility of 15.86%. This indicates that ESML experiences smaller price fluctuations and is considered to be less risky than VBK based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%NovemberDecember2025FebruaryMarchApril
14.88%
15.86%
ESML
VBK