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PFM vs. ESG
Performance
Return for Risk
Drawdowns
Volatility
Dividends

PFM vs. ESG

Last updated Jun 4, 2026

PFM (Invesco Dividend Achievers™ ETF) and ESG (FlexShares STOXX US ESG Select Index Fund) are both Large Cap Growth Equities funds - PFM tracks the NASDAQ US Broad Dividend Achievers Index while ESG tracks the STOXX USA ESG Select KPIs Index. Both are passively managed. Over the past 5 years, PFM returned 10.63%/yr vs 12.73%/yr for ESG. A 0.80 correlation means they provide meaningful diversification when combined. PFM charges 0.53%/yr vs 0.32%/yr for ESG.

Performance

PFM vs. ESG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dividend Achievers™ ETF (PFM) and FlexShares STOXX US ESG Select Index Fund (ESG). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, PFM achieves a 8.18% return, which is significantly lower than ESG's 12.20% return.

PFM

1D
-0.23%
1M
3.40%
YTD
8.18%
6M
7.73%
1Y
19.65%
3Y*
16.31%
5Y*
10.63%
10Y*
11.82%

ESG

1D
-0.45%
1M
7.28%
YTD
12.20%
6M
13.15%
1Y
25.90%
3Y*
20.72%
5Y*
12.73%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

PFM vs. ESG - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
PFM
Invesco Dividend Achievers™ ETF		8.18%14.00%16.87%11.40%-6.22%23.08%9.53%26.88%-4.58%17.65%
ESG
FlexShares STOXX US ESG Select Index Fund		12.20%16.04%20.22%27.86%-19.89%28.48%20.75%31.74%-5.17%22.78%

Correlation

The correlation between PFM and ESG is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.82

Correlation (3Y)
Calculated over the trailing 3-year period

0.86

Correlation (5Y)
Calculated over the trailing 5-year period

0.88

Correlation (All Time)
Calculated using the full available price history since Jul 15, 2016

0.80

The correlation between PFM and ESG has been stable across timeframes, ranging from 0.80 to 0.88 - a consistent structural relationship.

PFM vs. ESG - Sectors Allocation Comparison

Sectors
PFM
ESG

Technology

24.7%
36.7%

Financial Services

18.5%
16.9%

Healthcare

14.9%
11.2%

Consumer Defensive

12.0%
9.2%

Industrials

11.1%
4.5%

Energy

4.7%
3.1%

Utilities

4.2%
0.7%

Consumer Cyclical

4.0%
10.0%

Basic Materials

3.0%
3.0%

Real Estate

2.0%
2.7%

Communication Services

1.1%
1.0%

Technology

PFM
24.7%
ESG
36.7%

Financial Services

PFM
18.5%
ESG
16.9%

Healthcare

PFM
14.9%
ESG
11.2%

Consumer Defensive

PFM
12.0%
ESG
9.2%

Industrials

PFM
11.1%
ESG
4.5%

Energy

PFM
4.7%
ESG
3.1%

Utilities

PFM
4.2%
ESG
0.7%

Consumer Cyclical

PFM
4.0%
ESG
10.0%

Basic Materials

PFM
3.0%
ESG
3.0%

Real Estate

PFM
2.0%
ESG
2.7%

Communication Services

PFM
1.1%
ESG
1.0%

Compare stocks, funds, or ETFs

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Invesco Dividend Achievers™ ETF

FlexShares STOXX US ESG Select Index Fund

Often compared with PFM:
PFM vs. PRFPFM vs. PHOPFM vs. EDIVPFM vs. SCHDPFM vs. VBMFXPFM vs. VIGPFM vs. VYM
Often compared with ESG:
ESG vs. SPYESG vs. QQQESG vs. VOOESG vs. SCHDESG vs. 4UBQ.DEESG vs. USSGESG vs. MSCI

Return for Risk

PFM vs. ESG — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
PFM
PFM Risk / Return Rank: 6262
Overall Rank
PFM Sharpe Ratio Rank: 6161
Sharpe Ratio Rank
PFM Sortino Ratio Rank: 6666
Sortino Ratio Rank
PFM Omega Ratio Rank: 6161
Omega Ratio Rank
PFM Calmar Ratio Rank: 5656
Calmar Ratio Rank
PFM Martin Ratio Rank: 6363
Martin Ratio Rank
ESG
ESG Risk / Return Rank: 6767
Overall Rank
ESG Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
ESG Sortino Ratio Rank: 7070
Sortino Ratio Rank
ESG Omega Ratio Rank: 6767
Omega Ratio Rank
ESG Calmar Ratio Rank: 6060
Calmar Ratio Rank
ESG Martin Ratio Rank: 7070
Martin Ratio Rank
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.

PFM vs. ESG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dividend Achievers™ ETF (PFM) and FlexShares STOXX US ESG Select Index Fund (ESG). 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.

PFMESGDifference
Sharpe ratioReturn per unit of total volatility
2.09
2.33

-0.25

Sortino ratioReturn per unit of downside risk
3.07
3.23

-0.16

Omega ratioGain probability vs. loss probability

1.38

1.41

-0.04

Calmar ratioReturn relative to maximum drawdown

2.78

3.00

-0.22

Martin ratioReturn relative to average drawdown

11.28

13.02

-1.74

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PFM vs. ESG - Sharpe Ratio Comparison

The current PFM Sharpe Ratio is 2.09, which is comparable to the ESG Sharpe Ratio of 2.33. The chart below compares the historical Sharpe Ratios of PFM and ESG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

PFMESGDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.09

2.33

-0.25

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.79

0.76

+0.02

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.78

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.53

0.83

-0.30

Drawdowns

PFM vs. ESG - Drawdown Comparison

The maximum PFM drawdown since its inception was -53.21%, which is greater than ESG's maximum drawdown of -32.53%. Use the drawdown chart below to compare losses from any high point for PFM and ESG.

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Drawdown Indicators

PFMESGDifference

Max Drawdown

Largest peak-to-trough decline

-53.21%

-32.53%

-20.68%

Max Drawdown (1Y)

Largest decline over 1 year

-7.09%

-8.68%

+1.59%

Max Drawdown (3Y)

Largest decline over 3 years

-14.50%

-18.32%

+3.82%

Max Drawdown (5Y)

Largest decline over 5 years

-17.81%

-26.04%

+8.23%

Max Drawdown (10Y)

Largest decline over 10 years

-32.22%

—

—

Current Drawdown

Current decline from peak

-0.23%

-0.45%

+0.22%

Average Drawdown

Average peak-to-trough decline

-6.94%

-5.07%

-1.87%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.75%

1.99%

-0.24%

Volatility

PFM vs. ESG - Volatility Comparison

The current volatility for Invesco Dividend Achievers™ ETF (PFM) is 2.04%, while FlexShares STOXX US ESG Select Index Fund (ESG) has a volatility of 2.94%. This indicates that PFM experiences smaller price fluctuations and is considered to be less risky than ESG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

PFMESGDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.04%

2.94%

-0.90%

Volatility (6M)

Calculated over the trailing 6-month period

7.13%

8.46%

-1.33%

Volatility (1Y)

Calculated over the trailing 1-year period

9.47%

11.16%

-1.69%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.54%

16.73%

-3.19%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.21%

18.36%

-3.15%

PFM vs. ESG - Expense Ratio Comparison

PFM has a 0.53% expense ratio, which is higher than ESG's 0.32% expense ratio.

Dividends

PFM vs. ESG - Dividend Comparison

PFM's dividend yield for the trailing twelve months is around 1.33%, more than ESG's 0.87% yield.

PositionTTM20252024202320222021202020192018201720162015
ESG
FlexShares STOXX US ESG Select Index Fund		0.87%0.96%1.18%1.10%1.38%1.03%1.33%1.51%1.72%1.52%0.92%0.00%
PFM
Invesco Dividend Achievers™ ETF		1.33%1.41%1.58%1.86%1.95%1.69%1.92%1.94%2.27%1.70%2.56%2.36%

Frequently Asked Questions

PFM and ESG have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

ESG has higher volatility (2.94%) compared to PFM (2.04%). In terms of maximum drawdown, PFM dropped -53.21% vs ESG's -32.53%.

On 5-year performance, ESG leads with 12.73% vs 10.63% for PFM. On fees, ESG is cheaper at 0.32% per year. On volatility, PFM has been the lower-risk option at 2.04%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, ESG has performed better with a 12.73% return vs 10.63%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

ESG is cheaper with a 0.32% expense ratio, compared with 0.53% for PFM.

PFM has the higher dividend yield at 1.33%, compared with 0.87% for ESG.

PFM tracks NASDAQ US Broad Dividend Achievers Index, while ESG tracks STOXX USA ESG Select KPIs Index. They also come from different issuers: Invesco and Northern Trust. Their fees differ too: 0.53% for PFM and 0.32% for ESG.

ESG currently has the higher Sharpe Ratio (2.33 vs 2.09), 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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