Vanguard ESG US Stock

10-Year Study

ESGV.US · · US · ETF

Executive Summary: Vanguard ESG US Stock has compounded at 13.8% annually over the last 10 years, with a maximum drawdown of 27.8% and an annualized volatility of 13.5%.

1Y CAGR
+20.6%
3Y CAGR
+20.3%
5Y CAGR
+11.0%
10Y CAGR
+13.8%

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 →
27.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.62
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.99
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
18.0%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +33.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -24.0%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
88%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20260.5-2.1-5.79.3————————1.5%
20252.9-2.5-6.7-0.46.85.52.12.33.62.5-0.20.116.5%
20241.45.42.8-4.95.04.11.12.12.2-0.96.7-2.224.7%
20237.9-2.23.41.01.86.53.5-2.0-5.0-2.610.35.630.8%
2022-7.2-3.43.1-10.0-1.0-7.89.6-4.3-9.36.75.3-6.5-24.0%
2021-0.52.33.55.5-0.13.12.33.2-4.97.1-1.14.026.6%
20200.4-7.6-12.513.35.93.06.27.7-3.8-2.111.24.625.7%
20198.73.31.84.3-6.26.92.0-1.81.62.44.02.833.4%
2018—————————-7.52.1-9.0-14.1%

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 13.5%. The dominant macroeconomic risk driver is VTI.US, accounting for 97.8% of variance. Idiosyncratic stock-specific factors contribute 0.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2018-09-0110000
2018-10-019254.834347238106
2018-11-019446.099256856358
2018-12-018592.179815540356
2019-01-019341.51994399245
2019-02-019653.235870921733
2019-03-019830.56411951176
2019-04-0110255.186568624466
2019-05-019614.252355752298
2019-06-0110282.277176489006
2019-07-0110491.283607790616
2019-08-0110306.389122012097
2019-09-0110472.781113976233
2019-10-0110720.923254873485
2019-11-0111150.655088294508
2019-12-0111459.066221969048
2020-01-0111503.61570472542
2020-02-0110626.51922650444
2020-03-019302.753849431881
2020-04-0110544.073331622958
2020-05-0111163.722066887276
2020-06-0111497.810574468735
2020-07-0112211.45023894525
2020-08-0113147.337249803235
2020-09-0112643.008405480738
2020-10-0112383.234262009226
2020-11-0113774.139123099201
2020-12-0114402.310746231013
2021-01-0114324.321973831256
2021-02-0114658.867064691327
2021-03-0115169.522848731785
2021-04-0116006.679161104323
2021-05-0115994.329670520809
2021-06-0116488.765877139962
2021-07-0116872.230604994584
2021-08-0117412.368623597093
2021-09-0116551.948306076036
2021-10-0117724.19326083081
2021-11-0117531.90647435089
2021-12-0118226.326157003772
2022-01-0116919.84571833595
2022-02-0116347.485965499698
2022-03-0116852.032230431058
2022-04-0115170.566467654337
2022-05-0115020.915862572781
2022-06-0113845.887924024542
2022-07-0115174.175649761488
2022-08-0114517.326248320425
2022-09-0113162.361013875783
2022-10-0114049.48058216542
2022-11-0114800.603559610208
2022-12-0113844.257269458056
2023-01-0114939.426618370304
2023-02-0114615.709073831691
2023-03-0115116.059121011962
2023-04-0115274.145645717465
2023-05-0115541.855641412538
2023-06-0116559.775447995165
2023-07-0117141.005961673094
2023-08-0116798.611986833006
2023-09-0115950.954259052309
2023-10-0115535.333023146599
2023-11-0117140.592862516252
2023-12-0118107.37534189391
2024-01-0118352.19094747553
2024-02-0119342.0852375755
2024-03-0119886.462958050866
2024-04-0118913.37528101614
2024-05-0119865.112254260355
2024-06-0120682.6572277133
2024-07-0120909.557375124477
2024-08-0121352.660575990678
2024-09-0121820.50624214568
2024-10-0121633.763681191813
2024-11-0123076.284194826258
2024-12-0122578.151837856407
2025-01-0123230.391922389535
2025-02-0122657.793006883534
2025-03-0121141.066839443578
2025-04-0121046.09751749149
2025-05-0122479.24720288387
2025-06-0123722.458244372065
2025-07-0124220.112276002415
2025-08-0124786.99302949528
2025-09-0125687.962290569598
2025-10-0126325.613452247915
2025-11-0126271.38875239706
2025-12-0126299.196848270854
2026-01-0126442.694450121537
2026-02-0125883.923485339325
2026-03-0124409.811757236843
2026-04-0126686.20553204997
Annual Return Matrix
YearAnnual Return
20190.3336622915227474
20200.256848548324055
20210.26551401911484773
2022-0.24042524257483622
20230.30793404004711444
20240.24690361863868482
20250.1648073339721028
20260.014715608465608376
Total Factor Risk
0.1353646147057015
VTI.US Exposure
0.9776141097701885
VEA.US Exposure
-0.013274675763606646
VWO.US Exposure
0.008946704293057358
QQQ.US Exposure
0.08905796640276727
VTV.US Exposure
-0.05087518785574828
IJR.US Exposure
-0.024787335160144534
QUAL.US Exposure
-0.011590685304541668
SHV.US Exposure
0.005799579053944883
TLT.US Exposure
0.0022422609366383297
LQD.US Exposure
-0.00631881653195544
HYG.US Exposure
0.0043002618320984185
GLD.US Exposure
-0.0009562914840942669
USO.US Exposure
0.005925064249342163
VNQ.US Exposure
0.0018213982551531984
BTC-USD.CC Exposure
-0.0031932983499562174
CPER.US Exposure
-0.002397575074594371
VIX.INDX Exposure
0.009712640138838104
UUP.US Exposure
0.004335212374001152
TIP.US Exposure
0.0008621920397851397
Idiosyncratic Exposure
0.002776476178827063
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.5%

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 →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
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$64
Avg Yield on Cost
0.64%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$63.920.64%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 →
+4.9%
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 →
+4.7%
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 →
0.3% 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 →
1.10
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Vanguard ESG US Stock a high-risk investment?

Vanguard ESG US Stock (ESGV.US) has an annualized volatility of 13.5% and experienced a maximum drawdown of 27.8% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, ESGV.US has generated a Compound Annual Growth Rate (CAGR) of 13.8%. It has had a positive return in 88% 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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