TLTD vs. ESG
Compare and contrast key facts about FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and FlexShares STOXX US ESG Select Index Fund (ESG).
TLTD and ESG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. TLTD is a passively managed fund by Northern Trust that tracks the performance of the Morningstar Developed Markets ex-US Factor Tilt Index. It was launched on Sep 28, 2012. ESG is a passively managed fund by Northern Trust that tracks the performance of the STOXX USA ESG Select KPIs Index. It was launched on Jul 13, 2016. Both TLTD and ESG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
TLTD vs. ESG - Performance Comparison
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TLTD vs. ESG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
TLTD FlexShares Morningstar Developed Markets ex-US Factor Tilt | 1.50% | 39.69% | 4.78% | 17.19% | -13.74% | 12.84% | 4.21% | 21.26% | -17.57% | 26.27% |
ESG FlexShares STOXX US ESG Select Index Fund | -3.94% | 16.04% | 20.22% | 27.86% | -19.89% | 28.48% | 20.75% | 31.74% | -5.17% | 22.78% |
Returns By Period
In the year-to-date period, TLTD achieves a 1.50% return, which is significantly higher than ESG's -3.94% return.
TLTD
- 1D
- 3.03%
- 1M
- -8.32%
- YTD
- 1.50%
- 6M
- 7.64%
- 1Y
- 30.17%
- 3Y*
- 17.62%
- 5Y*
- 9.49%
- 10Y*
- 9.23%
ESG
- 1D
- 2.39%
- 1M
- -4.95%
- YTD
- -3.94%
- 6M
- -1.14%
- 1Y
- 14.10%
- 3Y*
- 16.48%
- 5Y*
- 10.34%
- 10Y*
- —
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TLTD vs. ESG - Expense Ratio Comparison
TLTD has a 0.39% expense ratio, which is higher than ESG's 0.32% expense ratio.
Return for Risk
TLTD vs. ESG — Risk / Return Rank
TLTD
ESG
TLTD vs. ESG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) and FlexShares STOXX US ESG Select Index Fund (ESG). 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.
| TLTD | ESG | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.78 | 0.81 | +0.97 |
Sortino ratioReturn per unit of downside risk | 2.40 | 1.27 | +1.13 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.19 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 2.44 | 1.19 | +1.25 |
Martin ratioReturn relative to average drawdown | 9.90 | 5.61 | +4.29 |
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
| TLTD | ESG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.78 | 0.81 | +0.97 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.60 | 0.62 | -0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.49 | 0.74 | -0.25 |
Correlation
The correlation between TLTD and ESG is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
TLTD vs. ESG - Dividend Comparison
TLTD's dividend yield for the trailing twelve months is around 3.29%, more than ESG's 1.01% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
TLTD FlexShares Morningstar Developed Markets ex-US Factor Tilt | 3.29% | 3.44% | 3.88% | 3.39% | 2.76% | 3.44% | 2.04% | 3.46% | 3.16% | 2.71% | 2.93% | 2.56% |
ESG FlexShares STOXX US ESG Select Index Fund | 1.01% | 0.96% | 1.18% | 1.10% | 1.38% | 1.03% | 1.33% | 1.51% | 1.72% | 1.52% | 0.92% | 0.00% |
Drawdowns
TLTD vs. ESG - Drawdown Comparison
The maximum TLTD drawdown since its inception was -40.62%, which is greater than ESG's maximum drawdown of -32.53%. Use the drawdown chart below to compare losses from any high point for TLTD and ESG.
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Drawdown Indicators
| TLTD | ESG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.62% | -32.53% | -8.09% |
Max Drawdown (1Y)Largest decline over 1 year | -12.11% | -12.29% | +0.18% |
Max Drawdown (5Y)Largest decline over 5 years | -28.96% | -26.04% | -2.92% |
Max Drawdown (10Y)Largest decline over 10 years | -40.62% | — | — |
Current DrawdownCurrent decline from peak | -8.61% | -6.49% | -2.12% |
Average DrawdownAverage peak-to-trough decline | -7.74% | -5.14% | -2.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.98% | 2.61% | +0.37% |
Volatility
TLTD vs. ESG - Volatility Comparison
FlexShares Morningstar Developed Markets ex-US Factor Tilt (TLTD) has a higher volatility of 7.39% compared to FlexShares STOXX US ESG Select Index Fund (ESG) at 4.75%. This indicates that TLTD's price experiences larger fluctuations and is considered to be riskier than ESG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| TLTD | ESG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.39% | 4.75% | +2.64% |
Volatility (6M)Calculated over the trailing 6-month period | 10.96% | 8.67% | +2.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.02% | 17.43% | -0.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.84% | 16.75% | -0.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.76% | 18.46% | -1.70% |