QUAL vs. ESGV

Last updated Jun 16, 2026

QUAL (iShares MSCI USA Quality Factor ETF) and ESGV (Vanguard ESG U.S. Stock ETF) are both Large Cap Blend Equities funds - QUAL tracks the MSCI USA Sector Neutral Quality Index while ESGV tracks the FTSE US All Cap Choice Index. Both are passively managed. Over the past 5 years, QUAL returned 12.44%/yr vs 12.57%/yr for ESGV. With a 0.96 correlation, they move nearly in lockstep. QUAL charges 0.15%/yr vs 0.09%/yr for ESGV.

Performance

QUAL vs. ESGV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI USA Quality Factor ETF (QUAL) and Vanguard ESG U.S. Stock ETF (ESGV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with QUAL having a 10.79% return and ESGV slightly lower at 10.76%.

QUAL

• 1D: 1.24%
• 1M: 4.34%
• YTD: 10.79%
• 6M: 10.54%
• 1Y: 24.39%
• 3Y*: 19.23%
• 5Y*: 12.44%
• 10Y*: 14.62%

ESGV

• 1D: 2.01%
• 1M: 2.85%
• YTD: 10.76%
• 6M: 11.56%
• 1Y: 28.06%
• 3Y*: 21.07%
• 5Y*: 12.57%
• 10Y*: —

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

QUAL vs. ESGV - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QUAL iShares MSCI USA Quality Factor ETF	10.79%	12.65%	22.29%	30.88%	-20.50%	26.94%	17.04%	33.89%	-14.27%
ESGV Vanguard ESG U.S. Stock ETF	10.76%	16.48%	24.69%	30.79%	-24.04%	26.55%	25.69%	33.36%	-14.45%

Correlation

The correlation between QUAL and ESGV is 0.93, 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	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Sep 20, 2018	0.96

The correlation between QUAL and ESGV has been stable across timeframes, ranging from 0.93 to 0.96 - a consistent structural relationship.

QUAL vs. ESGV - Sectors Allocation Comparison

Sectors	QUAL	ESGV
Technology	38.8%	39.5%
Communication Services	11.8%	13.0%
Financial Services	10.8%	12.3%
Consumer Cyclical	9.3%	12.2%
Healthcare	8.7%	9.8%
Industrials	7.2%	4.5%
Consumer Defensive	4.4%	3.9%
Energy	3.2%	0.1%
Utilities	2.1%	0.2%
Basic Materials	1.9%	1.9%
Real Estate	1.8%	2.8%

Return for Risk

QUAL vs. ESGV — Risk / Return Rank

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

QUAL

QUAL Risk / Return Rank: 68
QUAL Sharpe Ratio Rank: 70
QUAL Sortino Ratio Rank: 71
QUAL Omega Ratio Rank: 67
QUAL Calmar Ratio Rank: 60
QUAL Martin Ratio Rank: 73

ESGV

ESGV Risk / Return Rank: 64
ESGV Sharpe Ratio Rank: 69
ESGV Sortino Ratio Rank: 66
ESGV Omega Ratio Rank: 68
ESGV Calmar Ratio Rank: 54
ESGV Martin Ratio Rank: 63

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.

QUAL vs. ESGV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI USA Quality Factor ETF (QUAL) and Vanguard ESG U.S. Stock ETF (ESGV). 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.

	QUAL	ESGV	Difference
Sharpe ratio: Return per unit of total volatility	2.04	2.02	+0.02
Sortino ratio: Return per unit of downside risk	2.87	2.73	+0.15
Omega ratio: Gain probability vs. loss probability	1.36	1.36	-0.01
Calmar ratio: Return relative to maximum drawdown	2.71	2.43	+0.28
Martin ratio: Return relative to average drawdown	12.37	10.21	+2.16

QUAL vs. ESGV - Sharpe Ratio Comparison

The current QUAL Sharpe Ratio is 2.04, which is comparable to the ESGV Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of QUAL and ESGV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QUAL vs. ESGV - Drawdown Comparison

The maximum QUAL drawdown since its inception was -34.06%, roughly equal to the maximum ESGV drawdown of -33.66%. Use the drawdown chart below to compare losses from any high point for QUAL and ESGV.

Drawdown Indicators

	QUAL	ESGV	Difference
Max Drawdown Largest peak-to-trough decline	-34.06%	-33.66%	-0.40%
Max Drawdown (1Y) Largest decline over 1 year	-9.03%	-11.60%	+2.57%
Max Drawdown (3Y) Largest decline over 3 years	-18.00%	-20.41%	+2.41%
Max Drawdown (5Y) Largest decline over 5 years	-28.23%	-28.81%	+0.58%
Max Drawdown (10Y) Largest decline over 10 years	-34.06%	—	—
Current Drawdown Current decline from peak	0.00%	-0.87%	+0.87%
Average Drawdown Average peak-to-trough decline	-4.10%	-6.41%	+2.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.98%	2.75%	-0.77%

Volatility

QUAL vs. ESGV - Volatility Comparison

The current volatility for iShares MSCI USA Quality Factor ETF (QUAL) is 3.76%, while Vanguard ESG U.S. Stock ETF (ESGV) has a volatility of 5.34%. This indicates that QUAL experiences smaller price fluctuations and is considered to be less risky than ESGV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QUAL	ESGV	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.76%	5.34%	-1.58%
Volatility (6M) Calculated over the trailing 6-month period	9.47%	11.13%	-1.66%
Volatility (1Y) Calculated over the trailing 1-year period	12.06%	13.99%	-1.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.38%	18.45%	-1.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.12%	20.60%	-2.48%

QUAL vs. ESGV - Expense Ratio Comparison

QUAL has a 0.15% expense ratio, which is higher than ESGV's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

QUAL vs. ESGV - Dividend Comparison

QUAL's dividend yield for the trailing twelve months is around 1.04%, more than ESGV's 0.85% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGV Vanguard ESG U.S. Stock ETF	0.85%	0.91%	1.04%	1.16%	1.42%	0.95%	1.11%	1.27%	0.28%	0.00%	0.00%	0.00%
QUAL iShares MSCI USA Quality Factor ETF	1.04%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%

Frequently Asked Questions

Can I hold both QUAL and ESGV in my portfolio?

With a correlation of 0.93, QUAL and ESGV move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, QUAL or ESGV?

ESGV has higher volatility (5.34%) compared to QUAL (3.76%). In terms of maximum drawdown, QUAL dropped -34.06% vs ESGV's -33.66%.

Which ETF is better, QUAL or ESGV?

On 5-year performance, ESGV leads with 12.57% vs 12.44% for QUAL. On fees, ESGV is cheaper at 0.09% per year. On volatility, QUAL has been the lower-risk option at 3.76%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, QUAL or ESGV?

Over the 5-year period, ESGV has performed better with a 12.57% return vs 12.44%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QUAL or ESGV?

ESGV is cheaper with a 0.09% expense ratio, compared with 0.15% for QUAL.

Which ETF pays a higher dividend yield, QUAL or ESGV?

QUAL has the higher dividend yield at 1.04%, compared with 0.85% for ESGV.

What is the main difference between QUAL and ESGV?

QUAL tracks MSCI USA Sector Neutral Quality Index, while ESGV tracks FTSE US All Cap Choice Index. They also come from different issuers: iShares and Vanguard. Their fees differ too: 0.15% for QUAL and 0.09% for ESGV.

Which has better risk-adjusted returns?

QUAL currently has the higher Sharpe Ratio (2.04 vs 2.02), 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.