ESMV vs. SOXQ
ESMV (iShares ESG MSCI USA Min Vol Factor ETF) and SOXQ (Invesco PHLX Semiconductor ETF) are both exchange-traded funds - ESMV is a Large Cap Blend Equities fund tracking the MSCI USA Minimum Volatility Extended ESG Reduced Carbon Target Index - Benchmark TR Gross, while SOXQ is a Semiconductors fund tracking the PHLX Semiconductor Sector Index. Both are passively managed. Over the past 3 years, ESMV returned 10.45%/yr vs 57.61%/yr for SOXQ. At a 0.47 correlation, their price movements are largely independent. ESMV charges 0.18%/yr vs 0.19%/yr for SOXQ.
Performance
ESMV vs. SOXQ - Performance Comparison
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Returns By Period
In the year-to-date period, ESMV achieves a 4.06% return, which is significantly lower than SOXQ's 90.62% return.
ESMV
- 1D
- -0.22%
- 1M
- -0.61%
- YTD
- 4.06%
- 6M
- 3.40%
- 1Y
- 6.29%
- 3Y*
- 10.45%
- 5Y*
- —
- 10Y*
- —
SOXQ
- 1D
- -7.82%
- 1M
- 10.55%
- YTD
- 90.62%
- 6M
- 87.99%
- 1Y
- 158.27%
- 3Y*
- 57.61%
- 5Y*
- 34.04%
- 10Y*
- —
ESMV vs. SOXQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
ESMV iShares ESG MSCI USA Min Vol Factor ETF | 4.06% | 5.34% | 13.06% | 12.20% | -11.08% | 3.13% |
SOXQ Invesco PHLX Semiconductor ETF | 90.62% | 43.11% | 20.16% | 66.74% | -35.59% | 10.95% |
Correlation
The correlation between ESMV and SOXQ is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.26 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.40 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2021 | 0.47 |
Over the past year, the correlation between ESMV and SOXQ has dropped to 0.26 - well below their long-term average of 0.47, suggesting their price drivers have been diverging.
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Return for Risk
ESMV vs. SOXQ — Risk / Return Rank
ESMV
SOXQ
ESMV vs. SOXQ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG MSCI USA Min Vol Factor ETF (ESMV) and Invesco PHLX Semiconductor ETF (SOXQ). 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.
| ESMV | SOXQ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -3.48 | ||
| Sortino ratioReturn per unit of downside risk | -3.10 | ||
| Omega ratioGain probability vs. loss probability | 1.12 | 1.58 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | 0.90 | 10.22 | -9.31 |
| Martin ratioReturn relative to average drawdown | 2.75 | 36.68 | -33.93 |
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Drawdowns
ESMV vs. SOXQ - Drawdown Comparison
The maximum ESMV drawdown since its inception was -19.77%, smaller than the maximum SOXQ drawdown of -46.01%. Use the drawdown chart below to compare losses from any high point for ESMV and SOXQ.
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Drawdown Indicators
| ESMV | SOXQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.77% | -46.01% | +26.24% |
Max Drawdown (1Y)Largest decline over 1 year | -7.01% | -15.59% | +8.58% |
Max Drawdown (3Y)Largest decline over 3 years | -12.16% | -39.36% | +27.20% |
Max Drawdown (5Y)Largest decline over 5 years | — | -46.01% | — |
Current DrawdownCurrent decline from peak | -1.93% | -7.82% | +5.89% |
Average DrawdownAverage peak-to-trough decline | -5.28% | -12.87% | +7.59% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.29% | 4.33% | -2.04% |
Volatility
ESMV vs. SOXQ - Volatility Comparison
The current volatility for iShares ESG MSCI USA Min Vol Factor ETF (ESMV) is 2.82%, while Invesco PHLX Semiconductor ETF (SOXQ) has a volatility of 22.04%. This indicates that ESMV experiences smaller price fluctuations and is considered to be less risky than SOXQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ESMV | SOXQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.82% | 22.04% | -19.22% |
Volatility (6M)Calculated over the trailing 6-month period | 6.53% | 32.49% | -25.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.16% | 38.78% | -28.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.20% | 37.34% | -24.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.20% | 37.24% | -24.04% |
ESMV vs. SOXQ - Expense Ratio Comparison
ESMV has a 0.18% expense ratio, which is lower than SOXQ's 0.19% 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%.
Dividends
ESMV vs. SOXQ - Dividend Comparison
ESMV's dividend yield for the trailing twelve months is around 1.55%, more than SOXQ's 0.27% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
ESMV iShares ESG MSCI USA Min Vol Factor ETF | 1.55% | 1.56% | 1.71% | 1.75% | 1.66% | 0.24% |
SOXQ Invesco PHLX Semiconductor ETF | 0.27% | 0.50% | 0.68% | 0.87% | 1.36% | 0.72% |
Frequently Asked Questions
ESMV and SOXQ have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOXQ has higher volatility (22.04%) compared to ESMV (2.82%). In terms of maximum drawdown, ESMV dropped -19.77% vs SOXQ's -46.01%.
On 3-year performance, SOXQ leads with 57.61% vs 10.45% for ESMV. On fees, ESMV is cheaper at 0.18% per year. On volatility, ESMV has been the lower-risk option at 2.82%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, SOXQ has performed better with a 57.61% return vs 10.45%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ESMV is cheaper with a 0.18% expense ratio, compared with 0.19% for SOXQ.
ESMV has the higher dividend yield at 1.55%, compared with 0.27% for SOXQ.
ESMV is categorized as Large Cap Blend Equities, while SOXQ is Semiconductors. ESMV tracks MSCI USA Minimum Volatility Extended ESG Reduced Carbon Target Index - Benchmark TR Gross, while SOXQ tracks PHLX Semiconductor Sector Index. They also come from different issuers: iShares and Invesco. Their fees differ too: 0.18% for ESMV and 0.19% for SOXQ.
SOXQ currently has the higher Sharpe Ratio (4.11 vs 0.62), 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.
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