iShares ESG Aware MSCI EAFE ETF

10-Year Study

ESGD.US · · US · ETF

Executive Summary: iShares ESG Aware MSCI EAFE ETF has compounded at 9.6% annually over the last 10 years, with a maximum drawdown of 28.2% and an annualized volatility of 14.5%.

1Y CAGR
+21.0%
3Y CAGR
+17.0%
5Y CAGR
+8.0%
10Y CAGR
+9.6%

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 →
28.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.42
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.64
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +29.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -15.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20265.14.3-8.36.3————————6.9%
20254.42.40.33.74.62.6-2.24.02.41.20.42.529.6%
2024-0.42.73.4-3.25.2-1.42.43.31.0-5.3-0.4-2.84.0%
20239.1-3.03.22.7-3.84.72.5-3.9-3.8-3.28.65.218.5%
2022-3.8-3.60.1-6.31.5-8.75.5-6.3-9.55.813.3-1.9-15.2%
2021-1.02.32.52.93.9-1.30.71.7-3.23.3-4.84.611.8%
2020-2.7-7.2-14.45.65.43.42.24.9-2.3-3.714.65.18.2%
20196.52.40.93.1-5.05.9-1.8-1.63.23.71.03.223.1%
20185.0-4.8-0.71.6-2.1-1.32.7-2.11.1-8.20.7-5.4-13.3%
20172.91.83.02.63.20.23.00.22.51.80.51.225.1%
2016——————3.82.11.4-2.6-1.62.45.5%

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 14.5%. The dominant macroeconomic risk driver is VEA.US, accounting for 97.1% of variance. Idiosyncratic stock-specific factors contribute 0.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-06-0110000
2016-07-0110380.427529004657
2016-08-0110601.13227967745
2016-09-0110744.790567086238
2016-10-0110467.447565938426
2016-11-0110302.458934841745
2016-12-0110546.386824205452
2017-01-0110848.28762718733
2017-02-0111040.357786788774
2017-03-0111369.58278430145
2017-04-0111664.761738362344
2017-05-0112033.711164335858
2017-06-0112051.862583082782
2017-07-0112412.585630773936
2017-08-0112437.774364275678
2017-09-0112745.596218292652
2017-10-0112970.693224036555
2017-11-0113041.867169470674
2017-12-0113193.630502148808
2018-01-0113847.08157703797
2018-02-0113179.046273984502
2018-03-0113092.487302500189
2018-04-0113306.421671046788
2018-05-0113030.267733426517
2018-06-0112862.075910786261
2018-07-0113207.656598453248
2018-08-0112929.221600188308
2018-09-0113077.005210039579
2018-10-0112003.013912043272
2018-11-0112083.991564928936
2018-12-0111434.859945303078
2019-01-0112182.149972457408
2019-02-0112477.110527094877
2019-03-0112590.702493878749
2019-04-0112985.277452200859
2019-05-0112329.642383077442
2019-06-0113056.694063661005
2019-07-0112817.109896163209
2019-08-0112618.148021422558
2019-09-0113018.110165522496
2019-10-0113495.21583929685
2019-11-0113636.49599965056
2019-12-0114078.657765676831
2020-01-0113695.657976796274
2020-02-0112714.632033371432
2020-03-0110887.72085641694
2020-04-0111500.088573099501
2020-05-0112116.581612224543
2020-06-0112527.997592753021
2020-07-0112809.247516919888
2020-08-0113431.71014028523
2020-09-0113127.722409479506
2020-10-0112645.860481594995
2020-11-0114496.722795318488
2020-12-0115233.481116943183
2021-01-0115087.493235684526
2021-02-0115437.87871066687
2021-03-0115829.97847552349
2021-04-0116286.724469714065
2021-05-0116914.501479049428
2021-06-0116699.329513770084
2021-07-0116811.319884782173
2021-08-0117102.90738165785
2021-09-0116561.980543038033
2021-10-0117105.01857608429
2021-11-0116276.7266294417
2021-12-0117030.204640259748
2022-01-0116382.941549034309
2022-02-0115793.554305016634
2022-03-0115802.120415735435
2022-04-0114803.379852410522
2022-05-0115028.428324949224
2022-06-0113727.762692039827
2022-07-0114482.405499782813
2022-08-0113572.456435381677
2022-09-0112277.566253891757
2022-10-0112992.824365610342
2022-11-0114720.824870355675
2022-12-0114445.811463057738
2023-01-0115766.472776511871
2023-02-0115298.418545508373
2023-03-0115786.25005763318
2023-04-0116214.725459791454
2023-05-0115595.053495725439
2023-06-0116330.234488180953
2023-07-0116740.000339732436
2023-08-0116083.904205159564
2023-09-0115479.350334515117
2023-10-0114986.714035074949
2023-11-0116271.994641934145
2023-12-0117123.339861049433
2024-01-0117057.60163459835
2024-02-0117515.512425713863
2024-03-0118113.926845899794
2024-04-0117533.63957785818
2024-05-0118447.155832841934
2024-06-0118182.916797099657
2024-07-0118616.852184843567
2024-08-0119237.71321243712
2024-09-0119426.968446136634
2024-10-0118388.33358813266
2024-11-0118309.879661917694
2024-12-0117800.281007258138
2025-01-0118590.474387814284
2025-02-0119043.99292385868
2025-03-0119097.767715226564
2025-04-0119796.79146980385
2025-05-0120713.219717099946
2025-06-0121247.182040772746
2025-07-0120785.194460419956
2025-08-0121623.459980732317
2025-09-0122142.595410214784
2025-10-0122414.09016013531
2025-11-0122511.738969009122
2025-12-0123075.11241503656
2026-01-0124244.76266049324
2026-02-0125290.653232675468
2026-03-0123203.72540883159
2026-04-0124676.708186823722
Annual Return Matrix
YearAnnual Return
20170.25100953739602616
2018-0.13330451815815858
20190.23120508978859045
20200.08202652344329042
20210.11794569537478772
2022-0.1517535010173896
20230.18534980917056387
20240.039533242445800365
20250.2963341649284965
20260.0694079293301082
Total Factor Risk
0.14512445012817352
VTI.US Exposure
-0.05857142781122476
VEA.US Exposure
0.9713179109388365
VWO.US Exposure
0.020407117663476384
QQQ.US Exposure
0.014868773275174194
VTV.US Exposure
0.0169363209527594
IJR.US Exposure
-0.021336039631950573
QUAL.US Exposure
0.029221044587030145
SHV.US Exposure
0.014619941780855496
TLT.US Exposure
-0.015869275790409042
LQD.US Exposure
0.032905526790738784
HYG.US Exposure
0.0012599715671814554
GLD.US Exposure
-0.012667373096936016
USO.US Exposure
0.005341438322242781
VNQ.US Exposure
-0.008744210464181524
BTC-USD.CC Exposure
-0.0005788630265845152
CPER.US Exposure
-0.0048121473784186585
VIX.INDX Exposure
0.00336336557211029
UUP.US Exposure
0.008333061395024575
TIP.US Exposure
-0.0025830295238069684
Idiosyncratic Exposure
0.006587893878082218
Value Score
44
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
39.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.5%

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 →15.1x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →3.28%
Market Cap$59.6B
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
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$0
Avg Yield on Cost
0.00%

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 →
+2.5%
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 →
+8.4%
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 →
2.6% 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 iShares ESG Aware MSCI EAFE ETF a high-risk investment?

iShares ESG Aware MSCI EAFE ETF (ESGD.US) has an annualized volatility of 14.5% and experienced a maximum drawdown of 28.2% over the last 10 years. Its primary macro risk driver is VEA.US.

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

Over the past 10 years, ESGD.US has generated a Compound Annual Growth Rate (CAGR) of 9.6%. It has had a positive return in 80% 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.

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