GSWO vs. SDG

Last updated Jun 4, 2026

GSWO (Goldman Sachs ActiveBeta World Equity ETF) and SDG (iShares MSCI Global Sustainable Development Goals ETF) are both Global Equities funds - GSWO tracks the Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net while SDG tracks the MSCI ACWI Sustainable Development Index. Both are passively managed. Over the past 3 years, GSWO returned 18.70%/yr vs 7.55%/yr for SDG. A 0.71 correlation means they provide meaningful diversification when combined. GSWO charges 0.25%/yr vs 0.50%/yr for SDG.

Performance

GSWO vs. SDG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs ActiveBeta World Equity ETF (GSWO) and iShares MSCI Global Sustainable Development Goals ETF (SDG). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GSWO achieves a 11.00% return, which is significantly higher than SDG's 9.89% return.

GSWO

• 1D: -0.71%
• 1M: 4.81%
• YTD: 11.00%
• 6M: 11.56%
• 1Y: 20.17%
• 3Y*: 18.70%
• 5Y*: —
• 10Y*: —

SDG

• 1D: -0.33%
• 1M: 4.20%
• YTD: 9.89%
• 6M: 9.62%
• 1Y: 25.55%
• 3Y*: 7.55%
• 5Y*: 0.66%
• 10Y*: 8.63%

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

GSWO vs. SDG - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
GSWO Goldman Sachs ActiveBeta World Equity ETF	11.00%	18.97%	15.29%	16.28%	-6.15%
SDG iShares MSCI Global Sustainable Development Goals ETF	9.89%	20.19%	-10.09%	4.59%	-7.19%

Correlation

The correlation between GSWO and SDG 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	0.65
Correlation (All Time) Calculated using the full available price history since Mar 18, 2022	0.71

The correlation between GSWO and SDG has been stable across timeframes, ranging from 0.65 to 0.71 - a consistent structural relationship.

Return for Risk

GSWO vs. SDG — Risk / Return Rank

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

GSWO

GSWO Risk / Return Rank: 56
GSWO Sharpe Ratio Rank: 55
GSWO Sortino Ratio Rank: 59
GSWO Omega Ratio Rank: 56
GSWO Calmar Ratio Rank: 46
GSWO Martin Ratio Rank: 61

SDG

SDG Risk / Return Rank: 55
SDG Sharpe Ratio Rank: 52
SDG Sortino Ratio Rank: 51
SDG Omega Ratio Rank: 51
SDG Calmar Ratio Rank: 59
SDG Martin Ratio Rank: 61

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.

GSWO vs. SDG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs ActiveBeta World Equity ETF (GSWO) and iShares MSCI Global Sustainable Development Goals ETF (SDG). 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.

	GSWO	SDG	Difference
Sharpe ratio Return per unit of total volatility	1.88	1.78	+0.10
Sortino ratio Return per unit of downside risk	2.77	2.48	+0.29
Omega ratio Gain probability vs. loss probability	1.35	1.32	+0.03
Calmar ratio Return relative to maximum drawdown	2.27	2.96	-0.69
Martin ratio Return relative to average drawdown	10.87	10.84	+0.02
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GSWO vs. SDG - Sharpe Ratio Comparison

The current GSWO Sharpe Ratio is 1.88, which is comparable to the SDG Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of GSWO and SDG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GSWO	SDG	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.88	1.78	+0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.04	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.52	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.99	0.51	+0.48

Drawdowns

GSWO vs. SDG - Drawdown Comparison

The maximum GSWO drawdown since its inception was -17.77%, smaller than the maximum SDG drawdown of -30.35%. Use the drawdown chart below to compare losses from any high point for GSWO and SDG.

Drawdown Indicators

	GSWO	SDG	Difference
Max Drawdown Largest peak-to-trough decline	-17.77%	-30.35%	+12.58%
Max Drawdown (1Y) Largest decline over 1 year	-8.93%	-8.68%	-0.25%
Max Drawdown (3Y) Largest decline over 3 years	-9.97%	-22.92%	+12.95%
Max Drawdown (5Y) Largest decline over 5 years	—	-30.35%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-30.35%	—
Current Drawdown Current decline from peak	-0.71%	-0.33%	-0.38%
Average Drawdown Average peak-to-trough decline	-3.25%	-9.66%	+6.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.86%	2.36%	-0.50%

Volatility

GSWO vs. SDG - Volatility Comparison

The current volatility for Goldman Sachs ActiveBeta World Equity ETF (GSWO) is 3.22%, while iShares MSCI Global Sustainable Development Goals ETF (SDG) has a volatility of 5.28%. This indicates that GSWO experiences smaller price fluctuations and is considered to be less risky than SDG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GSWO	SDG	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.22%	5.28%	-2.06%
Volatility (6M) Calculated over the trailing 6-month period	9.02%	11.07%	-2.05%
Volatility (1Y) Calculated over the trailing 1-year period	10.75%	14.41%	-3.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.96%	15.63%	-2.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.96%	16.68%	-3.72%

GSWO vs. SDG - Expense Ratio Comparison

GSWO has a 0.25% expense ratio, which is lower than SDG's 0.50% expense ratio.

Dividends

GSWO vs. SDG - Dividend Comparison

GSWO's dividend yield for the trailing twelve months is around 1.61%, less than SDG's 1.82% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
GSWO Goldman Sachs ActiveBeta World Equity ETF	1.61%	1.74%	1.75%	2.06%	1.73%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SDG iShares MSCI Global Sustainable Development Goals ETF	1.82%	2.00%	1.95%	1.77%	1.82%	1.66%	0.97%	1.39%	2.47%	2.54%	1.34%

Frequently Asked Questions

Can I hold both GSWO and SDG in my portfolio?

GSWO and SDG 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, GSWO or SDG?

SDG has higher volatility (5.28%) compared to GSWO (3.22%). In terms of maximum drawdown, GSWO dropped -17.77% vs SDG's -30.35%.

Which ETF is better, GSWO or SDG?

On 3-year performance, GSWO leads with 18.70% vs 7.55% for SDG. On fees, GSWO is cheaper at 0.25% per year. On volatility, GSWO has been the lower-risk option at 3.22%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, GSWO or SDG?

Over the 3-year period, GSWO has performed better with a 18.70% return vs 7.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, GSWO or SDG?

GSWO is cheaper with a 0.25% expense ratio, compared with 0.50% for SDG.

Which ETF pays a higher dividend yield, GSWO or SDG?

SDG has the higher dividend yield at 1.82%, compared with 1.61% for GSWO.

What is the main difference between GSWO and SDG?

GSWO tracks Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net, while SDG tracks MSCI ACWI Sustainable Development Index. They also come from different issuers: Goldman Sachs and iShares. Their fees differ too: 0.25% for GSWO and 0.50% for SDG.

Which has better risk-adjusted returns?

GSWO currently has the higher Sharpe Ratio (1.88 vs 1.78), 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.