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STLG vs. USXF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between STLG and USXF is 0.90, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.00.9

Performance

STLG vs. USXF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Factors US Growth Style ETF (STLG) and iShares ESG Advanced MSCI USA ETF (USXF). The values are adjusted to include any dividend payments, if applicable.

80.00%90.00%100.00%110.00%120.00%130.00%JulyAugustSeptemberOctoberNovemberDecember
124.44%
107.68%
STLG
USXF

Key characteristics

Sharpe Ratio

STLG:

2.10

USXF:

1.77

Sortino Ratio

STLG:

2.73

USXF:

2.45

Omega Ratio

STLG:

1.38

USXF:

1.32

Calmar Ratio

STLG:

2.92

USXF:

2.92

Martin Ratio

STLG:

11.00

USXF:

10.89

Ulcer Index

STLG:

3.57%

USXF:

2.73%

Daily Std Dev

STLG:

18.72%

USXF:

16.74%

Max Drawdown

STLG:

-31.34%

USXF:

-29.54%

Current Drawdown

STLG:

-3.60%

USXF:

-4.66%

Returns By Period

In the year-to-date period, STLG achieves a 38.21% return, which is significantly higher than USXF's 26.95% return.


STLG

YTD

38.21%

1M

2.42%

6M

9.68%

1Y

37.94%

5Y*

N/A

10Y*

N/A

USXF

YTD

26.95%

1M

-3.23%

6M

6.95%

1Y

27.88%

5Y*

N/A

10Y*

N/A

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STLG vs. USXF - Expense Ratio Comparison

STLG has a 0.25% expense ratio, which is higher than USXF's 0.10% 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%.


STLG
iShares Factors US Growth Style ETF
Expense ratio chart for STLG: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for USXF: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

STLG vs. USXF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Factors US Growth Style ETF (STLG) and iShares ESG Advanced MSCI USA ETF (USXF). 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.


Sharpe ratio
The chart of Sharpe ratio for STLG, currently valued at 2.10, compared to the broader market0.002.004.002.101.77
The chart of Sortino ratio for STLG, currently valued at 2.73, compared to the broader market-2.000.002.004.006.008.0010.002.732.45
The chart of Omega ratio for STLG, currently valued at 1.38, compared to the broader market0.501.001.502.002.503.001.381.32
The chart of Calmar ratio for STLG, currently valued at 2.92, compared to the broader market0.005.0010.0015.002.922.92
The chart of Martin ratio for STLG, currently valued at 11.00, compared to the broader market0.0020.0040.0060.0080.00100.0011.0010.89
STLG
USXF

The current STLG Sharpe Ratio is 2.10, which is comparable to the USXF Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of STLG and USXF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
2.10
1.77
STLG
USXF

Dividends

STLG vs. USXF - Dividend Comparison

STLG's dividend yield for the trailing twelve months is around 0.21%, less than USXF's 1.00% yield.


TTM2023202220212020
STLG
iShares Factors US Growth Style ETF
0.21%0.21%0.14%0.00%0.75%
USXF
iShares ESG Advanced MSCI USA ETF
1.00%1.21%1.39%0.85%0.58%

Drawdowns

STLG vs. USXF - Drawdown Comparison

The maximum STLG drawdown since its inception was -31.34%, which is greater than USXF's maximum drawdown of -29.54%. Use the drawdown chart below to compare losses from any high point for STLG and USXF. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.60%
-4.66%
STLG
USXF

Volatility

STLG vs. USXF - Volatility Comparison

iShares Factors US Growth Style ETF (STLG) has a higher volatility of 5.91% compared to iShares ESG Advanced MSCI USA ETF (USXF) at 4.88%. This indicates that STLG's price experiences larger fluctuations and is considered to be riskier than USXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.91%
4.88%
STLG
USXF
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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