PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
XJR vs. ESML
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XJR and ESML is 0.96, 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.


-0.50.00.51.01.0

Performance

XJR vs. ESML - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Screened S&P Small-Cap ETF (XJR) and iShares ESG Aware MSCI USA Small-Cap ETF (ESML). The values are adjusted to include any dividend payments, if applicable.

60.00%70.00%80.00%90.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
79.05%
73.29%
XJR
ESML

Key characteristics

Sharpe Ratio

XJR:

0.51

ESML:

0.65

Sortino Ratio

XJR:

0.88

ESML:

1.01

Omega Ratio

XJR:

1.10

ESML:

1.12

Calmar Ratio

XJR:

0.83

ESML:

0.95

Martin Ratio

XJR:

2.90

ESML:

3.42

Ulcer Index

XJR:

3.62%

ESML:

3.45%

Daily Std Dev

XJR:

20.66%

ESML:

18.27%

Max Drawdown

XJR:

-26.89%

ESML:

-41.97%

Current Drawdown

XJR:

-8.33%

ESML:

-8.40%

Returns By Period

In the year-to-date period, XJR achieves a 9.78% return, which is significantly lower than ESML's 11.63% return.


XJR

YTD

9.78%

1M

-3.64%

6M

11.90%

1Y

12.23%

5Y*

N/A

10Y*

N/A

ESML

YTD

11.63%

1M

-3.44%

6M

10.93%

1Y

14.03%

5Y*

9.10%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


XJR vs. ESML - Expense Ratio Comparison

XJR has a 0.12% expense ratio, which is lower than ESML's 0.17% 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%.


ESML
iShares ESG Aware MSCI USA Small-Cap ETF
Expense ratio chart for ESML: current value at 0.17% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.17%
Expense ratio chart for XJR: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

XJR vs. ESML - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Screened S&P Small-Cap ETF (XJR) and iShares ESG Aware MSCI USA Small-Cap ETF (ESML). 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 XJR, currently valued at 0.51, compared to the broader market0.002.004.000.510.65
The chart of Sortino ratio for XJR, currently valued at 0.88, compared to the broader market-2.000.002.004.006.008.0010.000.881.01
The chart of Omega ratio for XJR, currently valued at 1.10, compared to the broader market0.501.001.502.002.503.001.101.12
The chart of Calmar ratio for XJR, currently valued at 0.83, compared to the broader market0.005.0010.0015.000.830.95
The chart of Martin ratio for XJR, currently valued at 2.90, compared to the broader market0.0020.0040.0060.0080.00100.002.903.42
XJR
ESML

The current XJR Sharpe Ratio is 0.51, which is comparable to the ESML Sharpe Ratio of 0.65. The chart below compares the historical Sharpe Ratios of XJR and ESML, 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 Ratio0.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.51
0.65
XJR
ESML

Dividends

XJR vs. ESML - Dividend Comparison

XJR's dividend yield for the trailing twelve months is around 1.95%, more than ESML's 1.22% yield.


TTM202320222021202020192018
XJR
iShares ESG Screened S&P Small-Cap ETF
1.95%0.92%1.29%2.00%0.58%0.00%0.00%
ESML
iShares ESG Aware MSCI USA Small-Cap ETF
1.22%1.31%1.46%0.94%0.99%1.10%1.07%

Drawdowns

XJR vs. ESML - Drawdown Comparison

The maximum XJR drawdown since its inception was -26.89%, smaller than the maximum ESML drawdown of -41.97%. Use the drawdown chart below to compare losses from any high point for XJR and ESML. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.33%
-8.40%
XJR
ESML

Volatility

XJR vs. ESML - Volatility Comparison

iShares ESG Screened S&P Small-Cap ETF (XJR) and iShares ESG Aware MSCI USA Small-Cap ETF (ESML) have volatilities of 5.69% and 5.70%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
5.69%
5.70%
XJR
ESML
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab