PZW.TO vs. ESG.TO

Last updated Jun 8, 2026

PZW.TO (Invesco FTSE RAFI Global Small-Mid ETF) and ESG.TO (Invesco S&P 500 ESG Index ETF) are both exchange-traded funds - PZW.TO is a Global Equities fund tracking the 50% FTSE RAFI Developed ex US Mid-Small 1500 Index / 50% FTSE RAFI US 1500 Mid-Small Index, while ESG.TO is a S&P 500 fund tracking the S&P 500 Equal Weight ESG Leaders Select Index. Both are passively managed. Over the past 5 years, PZW.TO returned 10.19%/yr vs 16.63%/yr for ESG.TO. At a 0.32 correlation, their price movements are largely independent.

Performance

PZW.TO vs. ESG.TO - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) and Invesco S&P 500 ESG Index ETF (ESG.TO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PZW.TO achieves a 13.28% return, which is significantly higher than ESG.TO's 9.29% return.

PZW.TO

• 1D: 0.54%
• 1M: 1.10%
• YTD: 13.28%
• 6M: 11.79%
• 1Y: 31.67%
• 3Y*: 19.50%
• 5Y*: 10.19%
• 10Y*: 11.06%

ESG.TO

• 1D: -2.36%
• 1M: 2.03%
• YTD: 9.29%
• 6M: 7.25%
• 1Y: 26.31%
• 3Y*: 21.62%
• 5Y*: 16.63%
• 10Y*: —

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

PZW.TO vs. ESG.TO - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
PZW.TO Invesco FTSE RAFI Global Small-Mid ETF	13.28%	18.48%	16.03%	12.88%	-10.53%	17.53%	9.47%
ESG.TO Invesco S&P 500 ESG Index ETF	9.29%	10.99%	34.27%	25.18%	-14.64%	33.63%	22.64%

Correlation

The correlation between PZW.TO and ESG.TO is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.28
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.35
Correlation (All Time) Calculated using the full available price history since Feb 19, 2020	0.32

Return for Risk

PZW.TO vs. ESG.TO — Risk / Return Rank

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

PZW.TO

PZW.TO Risk / Return Rank: 79
PZW.TO Sharpe Ratio Rank: 77
PZW.TO Sortino Ratio Rank: 82
PZW.TO Omega Ratio Rank: 82
PZW.TO Calmar Ratio Rank: 79
PZW.TO Martin Ratio Rank: 77

ESG.TO

ESG.TO Risk / Return Rank: 74
ESG.TO Sharpe Ratio Rank: 79
ESG.TO Sortino Ratio Rank: 79
ESG.TO Omega Ratio Rank: 80
ESG.TO Calmar Ratio Rank: 65
ESG.TO Martin Ratio Rank: 65

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.

PZW.TO vs. ESG.TO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) and Invesco S&P 500 ESG Index ETF (ESG.TO). 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.

	PZW.TO	ESG.TO	Difference
Sharpe ratio: Return per unit of total volatility	2.25	2.30	-0.05
Sortino ratio: Return per unit of downside risk	3.30	3.20	+0.10
Omega ratio: Gain probability vs. loss probability	1.44	1.43	+0.01
Calmar ratio: Return relative to maximum drawdown	3.74	2.93	+0.82
Martin ratio: Return relative to average drawdown	13.35	10.75	+2.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PZW.TO vs. ESG.TO - Sharpe Ratio Comparison

The current PZW.TO Sharpe Ratio is 2.25, which is comparable to the ESG.TO Sharpe Ratio of 2.30. The chart below compares the historical Sharpe Ratios of PZW.TO and ESG.TO, 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

	PZW.TO	ESG.TO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.25	2.30	-0.05
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.70	1.12	-0.42
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.63	1.10	-0.46

Drawdowns

PZW.TO vs. ESG.TO - Drawdown Comparison

The maximum PZW.TO drawdown since its inception was -32.45%, which is greater than ESG.TO's maximum drawdown of -22.58%. Use the drawdown chart below to compare losses from any high point for PZW.TO and ESG.TO.

Drawdown Indicators

	PZW.TO	ESG.TO	Difference
Max Drawdown Largest peak-to-trough decline	-32.45%	-22.58%	-9.87%
Max Drawdown (1Y) Largest decline over 1 year	-8.50%	-9.68%	+1.18%
Max Drawdown (3Y) Largest decline over 3 years	-16.88%	-19.63%	+2.75%
Max Drawdown (5Y) Largest decline over 5 years	-22.13%	-22.58%	+0.45%
Max Drawdown (10Y) Largest decline over 10 years	-32.45%	—	—
Current Drawdown Current decline from peak	-0.38%	-2.36%	+1.98%
Average Drawdown Average peak-to-trough decline	-5.75%	-4.36%	-1.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.38%	2.63%	-0.25%

Volatility

PZW.TO vs. ESG.TO - Volatility Comparison

The current volatility for Invesco FTSE RAFI Global Small-Mid ETF (PZW.TO) is 3.36%, while Invesco S&P 500 ESG Index ETF (ESG.TO) has a volatility of 3.74%. This indicates that PZW.TO experiences smaller price fluctuations and is considered to be less risky than ESG.TO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PZW.TO	ESG.TO	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.36%	3.74%	-0.38%
Volatility (6M) Calculated over the trailing 6-month period	10.40%	9.73%	+0.67%
Volatility (1Y) Calculated over the trailing 1-year period	14.15%	12.32%	+1.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.65%	14.98%	-0.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.93%	16.59%	-0.66%

Dividends

PZW.TO vs. ESG.TO - Dividend Comparison

PZW.TO's dividend yield for the trailing twelve months is around 1.72%, more than ESG.TO's 0.77% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESG.TO Invesco S&P 500 ESG Index ETF	0.77%	0.86%	0.92%	1.11%	1.38%	1.10%	0.95%	0.00%	0.00%	0.00%	0.00%	0.00%
PZW.TO Invesco FTSE RAFI Global Small-Mid ETF	1.72%	1.97%	2.12%	3.23%	1.90%	1.93%	1.52%	2.26%	1.78%	1.57%	1.09%	0.96%

Frequently Asked Questions

Can I hold both PZW.TO and ESG.TO in my portfolio?

PZW.TO and ESG.TO have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

What is the main difference between PZW.TO and ESG.TO?

PZW.TO is categorized as Global Equities, while ESG.TO is S&P 500. PZW.TO tracks 50% FTSE RAFI Developed ex US Mid-Small 1500 Index / 50% FTSE RAFI US 1500 Mid-Small Index, while ESG.TO tracks S&P 500 Equal Weight ESG Leaders Select Index.