SDG vs. ITOT
SDG (iShares MSCI Global Sustainable Development Goals ETF) and ITOT (iShares Core S&P Total U.S. Stock Market ETF) are both exchange-traded funds - SDG is a Global Equities fund tracking the MSCI ACWI Sustainable Development Index, while ITOT is a Large Cap Blend Equities fund tracking the S&P Total Market Index. Both are passively managed. Over the past 10 years, SDG returned 8.59%/yr vs 15.11%/yr for ITOT. A 0.69 correlation means they provide meaningful diversification when combined. SDG charges 0.50%/yr vs 0.03%/yr for ITOT.
Performance
SDG vs. ITOT - Performance Comparison
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Returns By Period
In the year-to-date period, SDG achieves a 5.30% return, which is significantly lower than ITOT's 8.94% return. Over the past 10 years, SDG has underperformed ITOT with an annualized return of 8.59%, while ITOT has yielded a comparatively higher 15.11% annualized return.
SDG
- 1D
- -1.89%
- 1M
- -2.71%
- YTD
- 5.30%
- 6M
- 4.80%
- 1Y
- 20.41%
- 3Y*
- 6.40%
- 5Y*
- -0.46%
- 10Y*
- 8.59%
ITOT
- 1D
- -1.30%
- 1M
- -0.81%
- YTD
- 8.94%
- 6M
- 7.85%
- 1Y
- 24.26%
- 3Y*
- 20.67%
- 5Y*
- 11.93%
- 10Y*
- 15.11%
SDG vs. ITOT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SDG iShares MSCI Global Sustainable Development Goals ETF | 5.30% | 20.19% | -10.09% | 4.59% | -11.51% | -1.20% | 44.36% | 25.38% | -8.32% | 27.28% |
ITOT iShares Core S&P Total U.S. Stock Market ETF | 8.94% | 17.00% | 23.80% | 26.12% | -19.47% | 25.68% | 20.71% | 30.67% | -5.33% | 21.37% |
Correlation
The correlation between SDG and ITOT is 0.72, 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 | 0.72 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.64 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.69 |
Correlation (All Time) Calculated using the full available price history since Apr 22, 2016 | 0.69 |
The correlation between SDG and ITOT has been stable across timeframes, ranging from 0.64 to 0.72 - a consistent structural relationship.
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Return for Risk
SDG vs. ITOT — Risk / Return Rank
SDG
ITOT
SDG vs. ITOT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Sustainable Development Goals ETF (SDG) and iShares Core S&P Total U.S. Stock Market ETF (ITOT). 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.
| SDG | ITOT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.53 | ||
| Sortino ratioReturn per unit of downside risk | -0.64 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.34 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.36 | 2.74 | -0.38 |
| Martin ratioReturn relative to average drawdown | 8.43 | 12.14 | -3.71 |
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Drawdowns
SDG vs. ITOT - Drawdown Comparison
The maximum SDG drawdown since its inception was -30.35%, smaller than the maximum ITOT drawdown of -55.20%. Use the drawdown chart below to compare losses from any high point for SDG and ITOT.
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Drawdown Indicators
| SDG | ITOT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.35% | -55.20% | +24.85% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -8.90% | +0.22% |
Max Drawdown (3Y)Largest decline over 3 years | -22.92% | -19.44% | -3.48% |
Max Drawdown (5Y)Largest decline over 5 years | -30.35% | -25.36% | -4.99% |
Max Drawdown (10Y)Largest decline over 10 years | -30.35% | -35.00% | +4.65% |
Current DrawdownCurrent decline from peak | -4.78% | -2.79% | -1.99% |
Average DrawdownAverage peak-to-trough decline | -9.62% | -6.96% | -2.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.43% | 2.00% | +0.43% |
Volatility
SDG vs. ITOT - Volatility Comparison
iShares MSCI Global Sustainable Development Goals ETF (SDG) has a higher volatility of 5.94% compared to iShares Core S&P Total U.S. Stock Market ETF (ITOT) at 4.96%. This indicates that SDG's price experiences larger fluctuations and is considered to be riskier than ITOT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SDG | ITOT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.94% | 4.96% | +0.98% |
Volatility (6M)Calculated over the trailing 6-month period | 12.01% | 10.06% | +1.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.02% | 12.85% | +2.17% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.79% | 17.46% | -1.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.64% | 18.28% | -1.64% |
SDG vs. ITOT - Expense Ratio Comparison
SDG has a 0.50% expense ratio, which is higher than ITOT's 0.03% expense ratio.
Dividends
SDG vs. ITOT - Dividend Comparison
SDG's dividend yield for the trailing twelve months is around 1.72%, more than ITOT's 1.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ITOT iShares Core S&P Total U.S. Stock Market ETF | 1.02% | 1.11% | 1.23% | 1.47% | 1.66% | 1.18% | 1.41% | 1.88% | 2.14% | 1.69% | 1.83% | 2.01% |
SDG iShares MSCI Global Sustainable Development Goals ETF | 1.72% | 2.00% | 1.95% | 1.77% | 1.82% | 1.66% | 0.97% | 1.39% | 2.47% | 2.54% | 1.34% | 0.00% |
Frequently Asked Questions
SDG and ITOT have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SDG has higher volatility (5.94%) compared to ITOT (4.96%). In terms of maximum drawdown, SDG dropped -30.35% vs ITOT's -55.20%.
On 10-year performance, ITOT leads with 15.11% vs 8.59% for SDG. On fees, ITOT is cheaper at 0.03% per year. On volatility, ITOT has been the lower-risk option at 4.96%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, ITOT has performed better with a 15.11% return vs 8.59%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ITOT is cheaper with a 0.03% expense ratio, compared with 0.50% for SDG.
SDG has the higher dividend yield at 1.72%, compared with 1.02% for ITOT.
SDG is categorized as Global Equities, while ITOT is Large Cap Blend Equities. SDG tracks MSCI ACWI Sustainable Development Index, while ITOT tracks S&P Total Market Index. Their fees differ too: 0.50% for SDG and 0.03% for ITOT.
ITOT currently has the higher Sharpe Ratio (1.90 vs 1.37), 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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