SDG vs. GSWO
SDG (iShares MSCI Global Sustainable Development Goals ETF) and GSWO (Goldman Sachs ActiveBeta World Equity ETF) are both Global Equities funds - SDG tracks the MSCI ACWI Sustainable Development Index while GSWO tracks the Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net. Both are passively managed. Over the past 3 years, SDG returned 7.55%/yr vs 18.70%/yr for GSWO. A 0.71 correlation means they provide meaningful diversification when combined. SDG charges 0.50%/yr vs 0.25%/yr for GSWO.
Performance
SDG vs. GSWO - Performance Comparison
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Returns By Period
In the year-to-date period, SDG achieves a 9.89% return, which is significantly lower than GSWO's 11.00% return.
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%
GSWO
- 1D
- -0.71%
- 1M
- 4.81%
- YTD
- 11.00%
- 6M
- 11.56%
- 1Y
- 20.17%
- 3Y*
- 18.70%
- 5Y*
- —
- 10Y*
- —
SDG vs. GSWO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
SDG iShares MSCI Global Sustainable Development Goals ETF | 9.89% | 20.19% | -10.09% | 4.59% | -7.19% |
GSWO Goldman Sachs ActiveBeta World Equity ETF | 11.00% | 18.97% | 15.29% | 16.28% | -6.15% |
Correlation
The correlation between SDG and GSWO 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 SDG and GSWO has been stable across timeframes, ranging from 0.65 to 0.71 - a consistent structural relationship.
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Return for Risk
SDG vs. GSWO — Risk / Return Rank
SDG
GSWO
SDG vs. GSWO - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Sustainable Development Goals ETF (SDG) and Goldman Sachs ActiveBeta World Equity ETF (GSWO). 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.
| SDG | GSWO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.10 | ||
| Sortino ratioReturn per unit of downside risk | -0.29 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.35 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.96 | 2.27 | +0.69 |
| Martin ratioReturn relative to average drawdown | 10.84 | 10.87 | -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. | |||
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Sharpe Ratios by Period
| SDG | GSWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.78 | 1.88 | -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 | 0.51 | 0.99 | -0.48 |
Drawdowns
SDG vs. GSWO - Drawdown Comparison
The maximum SDG drawdown since its inception was -30.35%, which is greater than GSWO's maximum drawdown of -17.77%. Use the drawdown chart below to compare losses from any high point for SDG and GSWO.
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Drawdown Indicators
| SDG | GSWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.35% | -17.77% | -12.58% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -8.93% | +0.25% |
Max Drawdown (3Y)Largest decline over 3 years | -22.92% | -9.97% | -12.95% |
Max Drawdown (5Y)Largest decline over 5 years | -30.35% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -30.35% | — | — |
Current DrawdownCurrent decline from peak | -0.33% | -0.71% | +0.38% |
Average DrawdownAverage peak-to-trough decline | -9.66% | -3.25% | -6.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.36% | 1.86% | +0.50% |
Volatility
SDG vs. GSWO - Volatility Comparison
iShares MSCI Global Sustainable Development Goals ETF (SDG) has a higher volatility of 5.28% compared to Goldman Sachs ActiveBeta World Equity ETF (GSWO) at 3.22%. This indicates that SDG's price experiences larger fluctuations and is considered to be riskier than GSWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SDG | GSWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.28% | 3.22% | +2.06% |
Volatility (6M)Calculated over the trailing 6-month period | 11.07% | 9.02% | +2.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.41% | 10.75% | +3.66% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.63% | 12.96% | +2.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.68% | 12.96% | +3.72% |
SDG vs. GSWO - Expense Ratio Comparison
SDG has a 0.50% expense ratio, which is higher than GSWO's 0.25% expense ratio.
Dividends
SDG vs. GSWO - Dividend Comparison
SDG's dividend yield for the trailing twelve months is around 1.82%, more than GSWO's 1.61% 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
SDG and GSWO 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.
SDG has higher volatility (5.28%) compared to GSWO (3.22%). In terms of maximum drawdown, SDG dropped -30.35% vs GSWO's -17.77%.
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.
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.
GSWO is cheaper with a 0.25% expense ratio, compared with 0.50% for SDG.
SDG has the higher dividend yield at 1.82%, compared with 1.61% for GSWO.
SDG tracks MSCI ACWI Sustainable Development Index, while GSWO tracks Goldman Sachs ActiveBeta World Low Vol Plus Equity Index - Benchmark TR Net. They also come from different issuers: iShares and Goldman Sachs. Their fees differ too: 0.50% for SDG and 0.25% for GSWO.
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.
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