iShares ESG Aware MSCI EM ETF

10-Year Study

ESGE.US · · US · ETF

Executive Summary: iShares ESG Aware MSCI EM ETF has compounded at 8.7% annually over the last 10 years, with a maximum drawdown of 37.8% and an annualized volatility of 16.3%.

1Y CAGR
+44.7%
3Y CAGR
+21.6%
5Y CAGR
+5.0%
10Y CAGR
+8.7%

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 →
37.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.34
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.52
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
17.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2017 · +38.9%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -22.4%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
70%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20267.65.4-9.310.0————————13.3%
20252.81.10.70.64.28.00.72.57.32.9-1.41.935.9%
2024-5.13.72.1-0.21.83.21.01.26.2-3.2-2.0-1.86.6%
20239.8-7.83.4-1.2-1.84.26.3-7.1-3.1-3.07.43.79.5%
20220.4-5.0-3.1-6.50.2-5.3-1.0-1.9-11.9-1.415.6-3.1-22.4%
20213.40.5-0.71.51.81.4-6.52.2-4.01.0-4.21.2-2.9%
2020-5.5-3.9-16.17.52.86.89.32.6-1.01.88.97.218.6%
201911.0-1.01.12.2-6.55.4-2.0-4.01.74.40.47.520.4%
20188.2-5.1-0.2-3.2-2.9-4.83.0-2.6-1.2-7.95.3-3.9-15.2%
20176.33.23.01.72.61.25.62.5-0.02.90.83.838.9%
2016———————2.62.0-1.4-3.9-0.3-1.2%

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 16.3%. The dominant macroeconomic risk driver is VWO.US, accounting for 81.2% of variance. Idiosyncratic stock-specific factors contribute 1.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-07-0110000
2016-08-0110257.702552769055
2016-09-0110466.442968093757
2016-10-0110315.783326820021
2016-11-019911.059603541444
2016-12-019876.831026722546
2017-01-0110496.449122050479
2017-02-0110834.916741906649
2017-03-0111155.192007941747
2017-04-0111340.798936308793
2017-05-0111639.243377758612
2017-06-0111778.987606739705
2017-07-0112433.463150376649
2017-08-0112738.645500649083
2017-09-0112735.99525651219
2017-10-0113106.310725403262
2017-11-0113207.15476078178
2017-12-0113715.282924791461
2018-01-0114836.426033482916
2018-02-0114079.085081820673
2018-03-0114056.849982706035
2018-04-0113607.65606119818
2018-05-0113212.275571486967
2018-06-0112581.69714447424
2018-07-0112959.020038540839
2018-08-0112626.571617232876
2018-09-0112473.261731822246
2018-10-0111486.203008700886
2018-11-0112091.896092462077
2018-12-0111625.542963152622
2019-01-0112906.733866077324
2019-02-0112774.086901056055
2019-03-0112911.809757390361
2019-04-0113191.028698999646
2019-05-0112330.59774235135
2019-06-0112991.002645752196
2019-07-0112735.007029884871
2019-08-0112222.970878758068
2019-09-0112429.330566298777
2019-10-0112975.685133028781
2019-11-0113021.547832414733
2019-12-0113992.929687675465
2020-01-0113221.753563230783
2020-02-0112707.696039457192
2020-03-0110659.192079812776
2020-04-0111453.681368783717
2020-05-0111773.01332758365
2020-06-0112576.756011337655
2020-07-0113741.111575278162
2020-08-0114101.814294248969
2020-09-0113960.677564111202
2020-10-0114207.64438215622
2020-11-0115473.966966279013
2020-12-0116595.065155578315
2021-01-0117152.46989277741
2021-02-0117239.43383598133
2021-03-0117120.84664070326
2021-04-0117381.73847031502
2021-05-0117690.06517803801
2021-06-0117938.065142102496
2021-07-0116777.976920416313
2021-08-0117147.438920856523
2021-09-0116464.080208066625
2021-10-0116634.953575808213
2021-11-0115931.740491687664
2021-12-0116119.773067230855
2022-01-0116180.593924203018
2022-02-0115377.659789507727
2022-03-0114895.09075963184
2022-04-0113921.822289900772
2022-05-0113950.211345740068
2022-06-0113208.277745585547
2022-07-0113081.560140328182
2022-08-0112832.16767510702
2022-09-0111311.46657323433
2022-10-0111156.135315176914
2022-11-0112901.702894156437
2022-12-0112507.445389248993
2023-01-0113730.330921161974
2023-02-0112661.339226757584
2023-03-0113093.912973169647
2023-04-0112940.019135661056
2023-05-0112711.244671437105
2023-06-0113250.72657116804
2023-07-0114084.385570094466
2023-08-0113087.354741915633
2023-09-0112685.1465045975
2023-10-0112303.960542805937
2023-11-0113213.03920115353
2023-12-0113696.326941303829
2024-01-0113004.253866436678
2024-02-0113482.735231626846
2024-03-0113768.961598411652
2024-04-0113734.7779409849
2024-05-0113986.82065034296
2024-06-0114432.645617439504
2024-07-0114583.305258713239
2024-08-0114764.060892727999
2024-09-0115672.28608262473
2024-10-0115173.00703886875
2024-11-0114867.375494674809
2024-12-0114603.653743357545
2025-01-0115010.44375867506
2025-02-0115172.243409202189
2025-03-0115285.979310127976
2025-04-0115377.79454768418
2025-05-0116016.368626499747
2025-06-0117300.928483835756
2025-07-0117429.0385902498
2025-08-0117870.73097326847
2025-09-0119178.10988181708
2025-10-0119739.06325099609
2025-11-0119465.2346364449
2025-12-0119840.89551300192
2026-01-0121354.679028483384
2026-02-0122513.599345973646
2026-03-0120424.847610962126
2026-04-0122473.171893037943
Annual Return Matrix
YearAnnual Return
20170.38863192937934055
2018-0.15236579318837595
20190.2036366586942493
20200.18596073345489095
2021-0.02864056777672197
2022-0.22409296104330378
20230.09505390709734884
20240.0662459947066174
20250.35862544139178354
20260.1326692325107539
Total Factor Risk
0.16254965438879138
VTI.US Exposure
-0.16071122986926248
VEA.US Exposure
0.08818144318923445
VWO.US Exposure
0.8115745445679198
QQQ.US Exposure
0.12763584379386797
VTV.US Exposure
0.09399694670938297
IJR.US Exposure
-0.011068801811047154
QUAL.US Exposure
0.001673313759103503
SHV.US Exposure
0.03835951509383535
TLT.US Exposure
0.027041750274148565
LQD.US Exposure
0.008233014549988645
HYG.US Exposure
-0.01193794010932271
GLD.US Exposure
0.015733785781991475
USO.US Exposure
-0.004739995376025464
VNQ.US Exposure
-0.0008366228506670089
BTC-USD.CC Exposure
0.0013163652572295093
CPER.US Exposure
-0.0071830383898208615
VIX.INDX Exposure
-0.010004966586862361
UUP.US Exposure
-0.010365516615849512
TIP.US Exposure
-0.009518475938932444
Idiosyncratic Exposure
0.012620064571087596
Value Score
45.4
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
26.5
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
16.3%

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 →11.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →2.21%
Market Cap$73.1B
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 →
+5.2%
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 →
+14.2%
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 →
0.96
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares ESG Aware MSCI EM ETF a high-risk investment?

iShares ESG Aware MSCI EM ETF (ESGE.US) has an annualized volatility of 16.3% and experienced a maximum drawdown of 37.8% over the last 10 years. Its primary macro risk driver is VWO.US.

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

Over the past 10 years, ESGE.US has generated a Compound Annual Growth Rate (CAGR) of 8.7%. It has had a positive return in 70% 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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