ESGB.US

10-Year Study

ESGB.US · Unknown · Unknown · Common Stock

Executive Summary: ESGB.US has compounded at 0.6% annually over the last 10 years, with a maximum drawdown of 17.7% and an annualized volatility of 7.3%.

1Y CAGR
+5.0%
3Y CAGR
+5.4%
5Y CAGR
+0.6%
10Y CAGR
+0.6%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
17.7%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
-0.54
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
-0.85
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
6.8%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +7.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
60%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.31.2-2.30.6————————-0.2%
20251.21.70.1-0.1-0.12.0-0.61.40.90.50.7-0.17.8%
20240.1-0.91.2-2.01.71.42.11.91.5-2.30.8-1.24.2%
20233.9-2.62.00.8-1.0-0.30.4-0.6-2.5-1.74.94.17.2%
2022-2.3-0.9-2.7-4.00.2-2.53.2-3.1-4.7-1.33.4-0.4-14.4%
2021——————1.20.0-1.00.00.00.00.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 7.3%. The dominant macroeconomic risk driver is SHV.US, accounting for 40.4% of variance. Idiosyncratic stock-specific factors contribute 1.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2021-06-0110000
2021-07-0110115.336110190045
2021-08-0110116.283358605711
2021-09-0110016.149793784858
2021-10-0110019.421852471414
2021-11-0110023.012454872973
2021-12-0110024.590270818044
2022-01-019793.144045095358
2022-02-019700.862303424998
2022-03-019436.25679466784
2022-04-019061.612129250509
2022-05-019083.233982467056
2022-06-018860.296227026665
2022-07-019142.871513250302
2022-08-018861.379461940545
2022-09-018443.38397743742
2022-10-018329.436606075056
2022-11-018615.851182337403
2022-12-018577.208662898785
2023-01-018911.611570401887
2023-02-018678.72351523235
2023-03-018850.72501294666
2023-04-018919.934689224281
2023-05-018833.826362007236
2023-06-018808.922204546046
2023-07-018843.5484652154
2023-08-018786.929648409703
2023-09-018567.515433536133
2023-10-018422.035028631679
2023-11-018832.114422392691
2023-12-019191.398201997697
2024-01-019204.486436743924
2024-02-019123.949830296302
2024-03-019236.876371507662
2024-04-019048.692480505497
2024-05-019198.5700926571
2024-06-019326.37877269391
2024-07-019518.699074919246
2024-08-019696.069245070024
2024-09-019840.825009593567
2024-10-019615.13213044272
2024-11-019694.779236165703
2024-12-019576.256757411264
2025-01-019687.535626599703
2025-02-019850.82094862691
2025-03-019858.682085921113
2025-04-019853.548129906225
2025-05-019848.488687041046
2025-06-0110040.813646338238
2025-07-019979.170780413473
2025-08-0110122.330100704521
2025-09-0110209.013110588692
2025-10-0110257.271551997139
2025-11-0110326.787663602934
2025-12-0110318.965645712327
2026-01-0110355.024421684817
2026-02-0110478.034629241196
2026-03-0110236.653417731894
2026-04-0110296.424933590155
Annual Return Matrix
YearAnnual Return
2022-0.1443831187926592
20230.07160715837025444
20240.04187160070270046
20250.07755732820407779
2026-0.002184396469188443
Total Factor Risk
0.07298207950367683
VTI.US Exposure
0.09381973207719728
VEA.US Exposure
0.05918271489361584
VWO.US Exposure
-0.010728329303594096
QQQ.US Exposure
-0.040262084790769107
VTV.US Exposure
-0.018483992724819178
IJR.US Exposure
0.011714268527826453
QUAL.US Exposure
-0.03082159121060065
SHV.US Exposure
0.4039789144538044
TLT.US Exposure
0.11074633687913758
LQD.US Exposure
0.3761540513278817
HYG.US Exposure
-0.013218409223837246
GLD.US Exposure
-0.0029933171590748554
USO.US Exposure
0.007084165464237188
VNQ.US Exposure
-0.006154774443321065
BTC-USD.CC Exposure
0.00169817605874028
CPER.US Exposure
-0.0019028963408268134
VIX.INDX Exposure
-0.017277643347920958
UUP.US Exposure
-0.01294805058590698
TIP.US Exposure
0.07356065552175584
Idiosyncratic Exposure
0.016852073926474434
Value Score
36
Growth Score
50
Profit Score
37.5
Health Score
26
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
7.3%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.30
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$43
Avg Yield on Cost
0.43%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$42.780.43%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-0.7%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.7%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
1.7% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is ESGB.US a high-risk investment?

ESGB.US (ESGB.US) has an annualized volatility of 7.3% and experienced a maximum drawdown of 17.7% over the last 10 years. Its primary macro risk driver is SHV.US.

What is the 10-year return of ESGB.US?

Over the past 10 years, ESGB.US has generated a Compound Annual Growth Rate (CAGR) of 0.6%. It has had a positive return in 60% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

Run a Full Backtest on ESGB.US

stresstest.pro lets you simulate DCA vs Lump Sum, Monte Carlo projections, portfolio optimisation, and more — all in seconds.

Start a Free Backtest