PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
ESML vs. VOO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESML vs. VOO

Last updated Aug 4, 2026
Documentation

ESML (iShares ESG Aware MSCI USA Small-Cap ETF) and VOO (Vanguard S&P 500 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 VOO is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, ESML returned 8.21%/yr vs 13.12%/yr for VOO. Their correlation of 0.82 means they have usually moved in the same direction. ESML charges 0.17%/yr vs 0.03%/yr for VOO.

Performance

ESML vs. VOO - 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 S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ESML achieves a 19.19% return, which is significantly higher than VOO's 11.72% return.

ESML

1D
1.57%
1M
-0.56%
6M
12.05%
YTD
19.19%
1Y
33.37%
3Y*
15.64%
5Y*
8.21%
10Y*
—
ALL TIME*
10.86%

VOO

1D
1.42%
1M
1.69%
6M
9.53%
YTD
11.72%
1Y
23.30%
3Y*
20.85%
5Y*
13.12%
10Y*
15.17%
ALL TIME*
14.88%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

ESML

iShares ESG Aware MSCI USA Small-Cap ETF
$4.32M$5.41M$11.05M

VOO

Vanguard S&P 500 ETF
$3.97B$3.80B$5.49B

ESML vs. VOO - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
ESML
iShares ESG Aware MSCI USA Small-Cap ETF		19.19%10.62%12.01%17.27%-17.28%19.28%19.56%29.12%-10.72%
VOO
Vanguard S&P 500 ETF		11.72%17.82%24.98%26.32%-18.17%28.79%18.32%31.37%-3.74%

Correlation

The correlation between ESML and VOO is 0.79, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.79

Correlation (3Y)
Balances recent behavior with more history.

0.79

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.84

Correlation (All Time)
Calculated using the full available price history since Apr 12, 2018

0.82

The correlation between ESML and VOO has been stable across timeframes, ranging from 0.79 to 0.84 - a consistent structural relationship.

ESML vs. VOO - Sectors Allocation Comparison

Sectors
ESML
VOO

Technology

21.1%
38.6%

Industrials

17.7%
8.5%

Healthcare

13.8%
8.9%

Financial Services

13.6%
11.4%

Consumer Cyclical

10.8%
9.5%

Real Estate

6.5%
1.8%

Energy

4.4%
3.0%

Basic Materials

3.6%
1.7%

Consumer Defensive

3.4%
4.5%

Utilities

2.6%
2.2%

Communication Services

2.4%
9.9%

Technology

ESML
21.1%
VOO
38.6%

Industrials

ESML
17.7%
VOO
8.5%

Healthcare

ESML
13.8%
VOO
8.9%

Financial Services

ESML
13.6%
VOO
11.4%

Consumer Cyclical

ESML
10.8%
VOO
9.5%

Real Estate

ESML
6.5%
VOO
1.8%

Energy

ESML
4.4%
VOO
3.0%

Basic Materials

ESML
3.6%
VOO
1.7%

Consumer Defensive

ESML
3.4%
VOO
4.5%

Utilities

ESML
2.6%
VOO
2.2%

Communication Services

ESML
2.4%
VOO
9.9%

Compare stocks, funds, or ETFs

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

iShares ESG Aware MSCI USA Small-Cap ETF

Vanguard S&P 500 ETF

Often compared with ESML:
ESML vs. ISCGESML vs. XJRESML vs. FNDAESML vs. CWSESML vs. AVUVESML vs. VBKESML vs. SCHD
Often compared with VOO:
VOO vs. VTIVOO vs. QQQVOO vs. SCHDVOO vs. VTVOO vs. FXAIXVOO vs. SPYVOO vs. VGT

Return for Risk

ESML vs. VOO — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
ESML
ESML Risk / Return Rank: 8383
Overall Rank
ESML Sharpe Ratio Rank: 8181
Sharpe Ratio Rank
ESML Sortino Ratio Rank: 8383
Sortino Ratio Rank
ESML Omega Ratio Rank: 7878
Omega Ratio Rank
ESML Calmar Ratio Rank: 8888
Calmar Ratio Rank
ESML Martin Ratio Rank: 8686
Martin Ratio Rank
VOO
VOO Risk / Return Rank: 7878
Overall Rank
VOO Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
VOO Sortino Ratio Rank: 7777
Sortino Ratio Rank
VOO Omega Ratio Rank: 7878
Omega Ratio Rank
VOO Calmar Ratio Rank: 7474
Calmar Ratio Rank
VOO Martin Ratio Rank: 8383
Martin Ratio Rank
The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ESML vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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.

ESMLVOODifference
Sharpe ratioReturn per unit of total volatility
1.96
1.83

+0.13

Sortino ratioReturn per unit of downside risk
2.84
2.53

+0.31

Omega ratioGain probability vs. loss probability

1.34

1.33

+0.01

Calmar ratioReturn relative to maximum drawdown

3.71

2.63

+1.08

Martin ratioReturn relative to average drawdown

12.97

11.23

+1.73

ESML vs. VOO - Sharpe Ratio Comparison

The current ESML Sharpe Ratio is 1.96, which is comparable to the VOO Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of ESML and VOO, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

ESML vs. VOO - Drawdown Comparison

The maximum ESML drawdown since its inception was -41.97%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ESML and VOO.

Loading charts...

Drawdown Indicators

ESMLVOODifference

Max Drawdown

Largest peak-to-trough decline

-41.97%

-33.99%

-7.98%

Max Drawdown (1Y)

Largest decline over 1 year

-9.04%

-8.90%

-0.14%

Max Drawdown (3Y)

Largest decline over 3 years

-26.68%

-18.69%

-7.99%

Max Drawdown (5Y)

Largest decline over 5 years

-28.61%

-24.52%

-4.09%

Max Drawdown (10Y)

Largest decline over 10 years

—

-33.99%

—

Current Drawdown

Current decline from peak

-2.44%

0.00%

-2.44%

Average Drawdown

Average peak-to-trough decline

-8.83%

-3.67%

-5.16%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.58%

2.08%

+0.50%

Volatility

ESML vs. VOO - Volatility Comparison

iShares ESG Aware MSCI USA Small-Cap ETF (ESML) has a higher volatility of 4.11% compared to Vanguard S&P 500 ETF (VOO) at 3.81%. This indicates that ESML's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ESMLVOODifference

Volatility (1M)

Calculated over the trailing 1-month period

4.11%

3.81%

+0.30%

Volatility (6M)

Calculated over the trailing 6-month period

12.38%

10.18%

+2.20%

Volatility (1Y)

Calculated over the trailing 1-year period

17.13%

12.80%

+4.33%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.21%

16.95%

+4.26%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.29%

18.02%

+5.27%

ESML vs. VOO - Expense Ratio Comparison

ESML has a 0.17% expense ratio, which is higher than VOO's 0.03% 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%.

Dividends

ESML vs. VOO - Dividend Comparison

ESML's dividend yield for the trailing twelve months is around 0.91%, less than VOO's 1.05% yield.

PositionTTM20252024202320222021202020192018201720162015
ESML
iShares ESG Aware MSCI USA Small-Cap ETF		0.91%1.08%1.22%1.31%1.46%0.94%0.99%1.10%1.07%0.00%0.00%0.00%
VOO
Vanguard S&P 500 ETF		1.05%1.13%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%

Frequently Asked Questions

ESML and VOO have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESML has higher volatility (4.11%) compared to VOO (3.81%). In terms of maximum drawdown, ESML dropped -41.97% vs VOO's -33.99%.

On 5-year performance, VOO leads with 13.12% vs 8.21% for ESML. On fees, VOO is cheaper at 0.03% per year. On volatility, VOO has been the lower-risk option at 3.81%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, VOO has performed better with a 13.12% return vs 8.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

VOO is cheaper with a 0.03% expense ratio, compared with 0.17% for ESML.

VOO has the higher dividend yield at 1.05%, compared with 0.91% for ESML.

ESML is categorized as Small Cap Growth Equities, while VOO is S&P 500. ESML tracks MSCI USA Small Cap Extended ESG Focus Index, while VOO tracks S&P 500 Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.17% for ESML and 0.03% for VOO.

ESML currently has the higher Sharpe Ratio (1.96 vs 1.83), 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.

Portfolio Optimizer

Find the right allocation for ESML and VOO

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer