VMBS vs. ESGU
VMBS (Vanguard Mortgage-Backed Securities ETF) and ESGU (iShares ESG Aware MSCI USA ETF) are both exchange-traded funds - VMBS is a Mortgage Backed Securities fund tracking the Barclays Capital U.S. MBS Index, while ESGU is a Large Cap Blend Equities fund tracking the MSCI USA Extended ESG Focus Index. Both are passively managed. Over the past 5 years, VMBS returned 0.68%/yr vs 11.82%/yr for ESGU. At a 0.10 correlation, their price movements are largely independent. VMBS charges 0.04%/yr vs 0.15%/yr for ESGU.
Performance
VMBS vs. ESGU - Performance Comparison
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Returns By Period
In the year-to-date period, VMBS achieves a 1.39% return, which is significantly lower than ESGU's 8.32% return.
VMBS
- 1D
- 0.47%
- 1M
- 1.10%
- YTD
- 1.39%
- 6M
- 1.26%
- 1Y
- 6.10%
- 3Y*
- 4.68%
- 5Y*
- 0.68%
- 10Y*
- 1.40%
ESGU
- 1D
- -0.06%
- 1M
- -1.08%
- YTD
- 8.32%
- 6M
- 6.95%
- 1Y
- 22.20%
- 3Y*
- 20.44%
- 5Y*
- 11.82%
- 10Y*
- —
VMBS vs. ESGU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMBS Vanguard Mortgage-Backed Securities ETF | 1.39% | 8.36% | 1.70% | 5.34% | -11.90% | -1.28% | 3.76% | 6.19% | 0.91% | 2.47% |
ESGU iShares ESG Aware MSCI USA ETF | 8.32% | 16.90% | 24.31% | 25.79% | -20.27% | 26.89% | 22.54% | 31.72% | -4.32% | 21.07% |
Correlation
The correlation between VMBS and ESGU is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.20 |
Correlation (All Time) Calculated using the full available price history since Dec 6, 2016 | 0.10 |
Over the past year, VMBS and ESGU have become more correlated (0.33) than their long-term average of 0.10, meaning their price movements have been converging.
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Return for Risk
VMBS vs. ESGU — Risk / Return Rank
VMBS
ESGU
VMBS vs. ESGU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Mortgage-Backed Securities ETF (VMBS) and iShares ESG Aware MSCI USA ETF (ESGU). 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.
| VMBS | ESGU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.33 | ||
| Sortino ratioReturn per unit of downside risk | -0.26 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.32 | -0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.28 | 2.41 | -0.13 |
| Martin ratioReturn relative to average drawdown | 7.24 | 10.50 | -3.26 |
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Drawdowns
VMBS vs. ESGU - Drawdown Comparison
The maximum VMBS drawdown since its inception was -17.47%, smaller than the maximum ESGU drawdown of -33.87%. Use the drawdown chart below to compare losses from any high point for VMBS and ESGU.
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Drawdown Indicators
| VMBS | ESGU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.47% | -33.87% | +16.40% |
Max Drawdown (1Y)Largest decline over 1 year | -2.68% | -9.26% | +6.58% |
Max Drawdown (3Y)Largest decline over 3 years | -7.65% | -19.32% | +11.67% |
Max Drawdown (5Y)Largest decline over 5 years | -17.12% | -26.15% | +9.03% |
Max Drawdown (10Y)Largest decline over 10 years | -17.47% | — | — |
Current DrawdownCurrent decline from peak | -0.61% | -3.25% | +2.64% |
Average DrawdownAverage peak-to-trough decline | -2.49% | -4.87% | +2.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.85% | 2.12% | -1.27% |
Volatility
VMBS vs. ESGU - Volatility Comparison
The current volatility for Vanguard Mortgage-Backed Securities ETF (VMBS) is 1.26%, while iShares ESG Aware MSCI USA ETF (ESGU) has a volatility of 4.94%. This indicates that VMBS experiences smaller price fluctuations and is considered to be less risky than ESGU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VMBS | ESGU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.26% | 4.94% | -3.68% |
Volatility (6M)Calculated over the trailing 6-month period | 3.30% | 10.07% | -6.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.32% | 12.78% | -8.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.79% | 17.42% | -10.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.41% | 18.60% | -13.19% |
VMBS vs. ESGU - Expense Ratio Comparison
VMBS has a 0.04% expense ratio, which is lower than ESGU's 0.15% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
VMBS vs. ESGU - Dividend Comparison
VMBS's dividend yield for the trailing twelve months is around 4.15%, more than ESGU's 0.95% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGU iShares ESG Aware MSCI USA ETF | 0.95% | 0.99% | 1.18% | 1.43% | 1.58% | 1.06% | 1.27% | 1.32% | 1.73% | 1.82% | 0.00% | 0.00% |
VMBS Vanguard Mortgage-Backed Securities ETF | 4.15% | 4.20% | 3.94% | 3.31% | 2.35% | 1.02% | 2.01% | 2.77% | 2.72% | 2.16% | 2.10% | 2.12% |
Frequently Asked Questions
VMBS and ESGU have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ESGU has higher volatility (4.94%) compared to VMBS (1.26%). In terms of maximum drawdown, VMBS dropped -17.47% vs ESGU's -33.87%.
On 5-year performance, ESGU leads with 11.82% vs 0.68% for VMBS. On fees, VMBS is cheaper at 0.04% per year. On volatility, VMBS has been the lower-risk option at 1.26%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, ESGU has performed better with a 11.82% return vs 0.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VMBS is cheaper with a 0.04% expense ratio, compared with 0.15% for ESGU.
VMBS has the higher dividend yield at 4.15%, compared with 0.95% for ESGU.
VMBS is categorized as Mortgage Backed Securities, while ESGU is Large Cap Blend Equities. VMBS tracks Barclays Capital U.S. MBS Index, while ESGU tracks MSCI USA Extended ESG Focus Index. They also come from different issuers: Vanguard and iShares. Their fees differ too: 0.04% for VMBS and 0.15% for ESGU.
ESGU currently has the higher Sharpe Ratio (1.75 vs 1.42), 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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