GLOF vs. ESGYX
GLOF (iShares Global Equity Factor ETF) and ESGYX (Mirova Global Sustainable Equity Fund) are both Global Equities funds. Over the past 5 years, GLOF returned 11.56%/yr vs 6.41%/yr for ESGYX. Their correlation of 0.84 suggests significant overlap in exposure. GLOF charges 0.20%/yr vs 0.95%/yr for ESGYX.
Performance
GLOF vs. ESGYX - Performance Comparison
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Returns By Period
In the year-to-date period, GLOF achieves a 13.19% return, which is significantly higher than ESGYX's 1.26% return.
GLOF
- 1D
- -0.77%
- 1M
- 5.15%
- YTD
- 13.19%
- 6M
- 14.18%
- 1Y
- 30.42%
- 3Y*
- 22.67%
- 5Y*
- 11.56%
- 10Y*
- 12.29%
ESGYX
- 1D
- -0.14%
- 1M
- 3.47%
- YTD
- 1.26%
- 6M
- 1.88%
- 1Y
- 9.71%
- 3Y*
- 12.35%
- 5Y*
- 6.41%
- 10Y*
- —
GLOF vs. ESGYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GLOF iShares Global Equity Factor ETF | 13.19% | 23.92% | 17.49% | 22.38% | -16.97% | 18.68% | 10.00% | 23.21% | -13.70% | 28.63% |
ESGYX Mirova Global Sustainable Equity Fund | 1.26% | 15.23% | 13.38% | 18.63% | -22.36% | 18.06% | 32.43% | 33.00% | -6.37% | 29.83% |
Correlation
The correlation between GLOF and ESGYX is 0.68, 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 | 0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.74 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2017 | 0.84 |
The correlation between GLOF and ESGYX shifts across timeframes, from 0.68 (1 year) to 0.84 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
GLOF vs. ESGYX — Risk / Return Rank
GLOF
ESGYX
GLOF vs. ESGYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Global Equity Factor ETF (GLOF) and Mirova Global Sustainable Equity Fund (ESGYX). 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.
| GLOF | ESGYX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.50 | ||
| Sortino ratioReturn per unit of downside risk | +1.98 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.17 | +0.27 |
| Calmar ratioReturn relative to maximum drawdown | 3.38 | 1.05 | +2.33 |
| Martin ratioReturn relative to average drawdown | 15.08 | 3.55 | +11.53 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| GLOF | ESGYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.43 | 0.93 | +1.50 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.74 | 0.38 | +0.36 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.72 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.60 | 0.74 | -0.14 |
Drawdowns
GLOF vs. ESGYX - Drawdown Comparison
The maximum GLOF drawdown since its inception was -34.12%, roughly equal to the maximum ESGYX drawdown of -34.88%. Use the drawdown chart below to compare losses from any high point for GLOF and ESGYX.
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Drawdown Indicators
| GLOF | ESGYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -34.12% | -34.88% | +0.76% |
Max Drawdown (1Y)Largest decline over 1 year | -9.05% | -11.49% | +2.44% |
Max Drawdown (3Y)Largest decline over 3 years | -16.12% | -16.67% | +0.55% |
Max Drawdown (5Y)Largest decline over 5 years | -25.15% | -34.88% | +9.73% |
Max Drawdown (10Y)Largest decline over 10 years | -34.12% | — | — |
Current DrawdownCurrent decline from peak | -0.77% | -1.07% | +0.30% |
Average DrawdownAverage peak-to-trough decline | -6.12% | -6.45% | +0.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 3.41% | -1.39% |
Volatility
GLOF vs. ESGYX - Volatility Comparison
iShares Global Equity Factor ETF (GLOF) has a higher volatility of 3.65% compared to Mirova Global Sustainable Equity Fund (ESGYX) at 3.12%. This indicates that GLOF's price experiences larger fluctuations and is considered to be riskier than ESGYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GLOF | ESGYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.65% | 3.12% | +0.53% |
Volatility (6M)Calculated over the trailing 6-month period | 10.10% | 10.32% | -0.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.57% | 12.96% | -0.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.69% | 17.63% | -1.94% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.17% | 17.66% | -0.49% |
GLOF vs. ESGYX - Expense Ratio Comparison
GLOF has a 0.20% expense ratio, which is lower than ESGYX's 0.95% expense ratio.
Dividends
GLOF vs. ESGYX - Dividend Comparison
GLOF's dividend yield for the trailing twelve months is around 1.50%, less than ESGYX's 4.10% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGYX Mirova Global Sustainable Equity Fund | 4.10% | 4.44% | 1.99% | 0.61% | 5.28% | 12.16% | 0.54% | 1.84% | 4.39% | 1.15% | 0.00% | 0.00% |
GLOF iShares Global Equity Factor ETF | 1.50% | 1.70% | 2.59% | 2.51% | 2.53% | 1.90% | 1.73% | 2.41% | 2.03% | 1.94% | 1.94% | 0.92% |
Frequently Asked Questions
GLOF and ESGYX have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GLOF has higher volatility (3.65%) compared to ESGYX (3.12%). In terms of maximum drawdown, GLOF dropped -34.12% vs ESGYX's -34.88%.
GLOF currently has the higher Sharpe Ratio (2.43 vs 0.93), 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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