iShares ESG Aware MSCI USA Small-Cap ETF

10-Year Study

ESML.US · · US · ETF

Executive Summary: iShares ESG Aware MSCI USA Small-Cap ETF has compounded at 10.1% annually over the last 10 years, with a maximum drawdown of 30.8% and an annualized volatility of 17.3%.

1Y CAGR
+31.3%
3Y CAGR
+17.2%
5Y CAGR
+6.1%
10Y CAGR
+10.1%

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 →
30.8%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.38
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.56
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
21.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +29.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -17.3%
% 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.
20265.32.7-5.47.0————————9.4%
20253.5-5.2-6.7-2.55.74.81.75.52.00.51.8-0.110.6%
2024-3.25.54.1-6.94.6-1.67.9-0.31.4-0.810.3-7.712.0%
202310.5-1.4-4.8-1.4-2.18.75.2-3.9-5.9-6.59.211.117.3%
2022-7.61.21.2-8.7-0.0-9.010.5-2.6-9.09.94.2-6.0-17.3%
20214.16.32.33.6-0.11.4-2.01.8-2.94.5-4.03.319.3%
2020-2.8-8.8-21.914.86.53.03.95.1-2.82.716.48.119.6%
201912.35.0-1.03.6-7.57.01.7-4.32.01.93.72.929.1%
2018————5.11.51.34.3-1.7-10.01.6-11.6-10.5%

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 17.3%. The dominant macroeconomic risk driver is VTI.US, accounting for 66.5% of variance. Idiosyncratic stock-specific factors contribute 1.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2018-04-0110000
2018-05-0110511.933929563334
2018-06-0110671.899826470373
2018-07-0110812.96262008207
2018-08-0111279.339640109027
2018-09-0111082.859320435588
2018-10-019970.245912580682
2018-11-0110125.173852573018
2018-12-018945.602983159444
2019-01-0110044.566541937762
2019-02-0110547.75940095678
2019-03-0110437.268824519779
2019-04-0110815.632306652255
2019-05-0110008.31047593622
2019-06-0110704.75419506797
2019-07-0110883.49401688792
2019-08-0110411.174791269263
2019-09-0110623.500992520572
2019-10-0110826.440231315424
2019-11-0111224.309649194573
2019-12-0111550.442005365208
2020-01-0111230.940806159224
2020-02-0110240.444029159866
2020-03-017995.582099320952
2020-04-019181.870244620795
2020-05-019783.06643644208
2020-06-0110071.82318063013
2020-07-0110469.563420126853
2020-08-0110999.840679995006
2020-09-0110688.477718882003
2020-10-0110978.655425276764
2020-11-0112776.2156762273
2020-12-0113809.987211340138
2021-01-0114380.4820076043
2021-02-0115282.836068326753
2021-03-0115633.512317158764
2021-04-0116193.285307681375
2021-05-0116181.099480272307
2021-06-0116404.061368343544
2021-07-0116083.053088009232
2021-08-0116367.50388611634
2021-09-0115899.79202280429
2021-10-0116608.98134233563
2021-11-0115940.569332190822
2021-12-0116472.310613726495
2022-01-0115214.02704995328
2022-02-0115393.67112045023
2022-03-0115578.4392667835
2022-04-0114218.793732264883
2022-05-0114214.70308348799
2022-06-0112935.535681222198
2022-07-0114290.703031816634
2022-08-0113912.899322674679
2022-09-0112656.5964940987
2022-10-0113915.2675930192
2022-11-0114492.996378699343
2022-12-0113625.563540693342
2023-01-0115051.09005025039
2023-02-0114839.754216597697
2023-03-0114134.569426921635
2023-04-0113930.812058371404
2023-05-0113639.730103299646
2023-06-0114819.817686242932
2023-07-0115591.701580712805
2023-08-0114982.539388641775
2023-09-0114094.610247290482
2023-10-0113173.137785968644
2023-11-0114387.845175402712
2023-12-0115979.150609076072
2024-01-0115466.26937137493
2024-02-0116311.26823029922
2024-03-0116975.80488897118
2024-04-0115808.11843074101
2024-05-0116537.37345900955
2024-06-0116266.873926204697
2024-07-0117547.07475552991
2024-08-0117487.91105637775
2024-09-0117728.09672877276
2024-10-0117579.71382682346
2024-11-0119385.584553710218
2024-12-0117897.621825979495
2025-01-0118531.801564780806
2025-02-0117561.37049651864
2025-03-0116391.229649022334
2025-04-0115977.299052261269
2025-05-0116881.978323867428
2025-06-0117689.816868113176
2025-07-0117985.16170980507
2025-08-0118969.587102830297
2025-09-0119356.347179820612
2025-10-0119459.388469537582
2025-11-0119815.79162665725
2025-12-0119798.740080176714
2026-01-0120845.084977845905
2026-02-0121400.552022287575
2026-03-0120246.55847259481
2026-04-0121667.520679306053
Annual Return Matrix
YearAnnual Return
20190.29118652226233466
20200.19562413325181538
20210.19278246689469603
2022-0.1728201428317493
20230.17273319091380235
20240.12006090084749199
20250.10622183621276604
20260.09438886472379293
Total Factor Risk
0.1729739868915471
VTI.US Exposure
0.66503583252179
VEA.US Exposure
0.047509286303985133
VWO.US Exposure
0.003479429213499724
QQQ.US Exposure
-0.16608098178389072
VTV.US Exposure
-0.14507247528810768
IJR.US Exposure
0.5786151824006593
QUAL.US Exposure
-0.08601296449291543
SHV.US Exposure
0.046905217067700414
TLT.US Exposure
0.018968680312415203
LQD.US Exposure
-0.013970110976373202
HYG.US Exposure
0.0014389131522152098
GLD.US Exposure
0.00862924197120691
USO.US Exposure
0.00039567998254649736
VNQ.US Exposure
0.0530579490624912
BTC-USD.CC Exposure
0.0029470102188538985
CPER.US Exposure
-0.00032760161097036654
VIX.INDX Exposure
-0.001746442351028497
UUP.US Exposure
-0.010276363061012166
TIP.US Exposure
-0.01364143587879744
Idiosyncratic Exposure
0.010145953235732133
Value Score
44
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
12
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
17.3%

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 →14.9x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.00%
Market Cap$6.2B
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
$49
Avg Yield on Cost
0.49%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$48.660.49%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 →
+3.6%
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 →
+9.7%
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 →
0.0% 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 →
1.25
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is iShares ESG Aware MSCI USA Small-Cap ETF a high-risk investment?

iShares ESG Aware MSCI USA Small-Cap ETF (ESML.US) has an annualized volatility of 17.3% and experienced a maximum drawdown of 30.8% over the last 10 years. Its primary macro risk driver is VTI.US.

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

Over the past 10 years, ESML.US has generated a Compound Annual Growth Rate (CAGR) of 10.1%. 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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