ESML — iShares ESG Aware MSCI USA Small-Cap ETF
Established live fund
Full long-run factor record
What ESML Is
ESML (iShares ESG Aware MSCI USA Small-Cap ETF) from IShares is a US equity ETF with $2.3B in assets, regressed on the FF6 US over 98 months. The fund tilts toward size (smb) (β=0.73). Backtested-simulation excess return is +7.42% annualized; the in-sample realized excess was +8.59%.
Why ESML Ranks This Way
- Backtested relative Sharpe is 0.87, below the market's 1.00 benchmark.
- Realized relative Sharpe is 0.57 over the fund's 98-month live sample.
- Strongest non-market tilts point toward size (smb) (β=0.73) and toward value (hml) (β=0.13).
- Dividend valuation is 34% richer than its historical median (134 on the 100 scale).
This fund is classified as US Equity because that factor set produced the strongest accepted fit. Backtested figures use the winning model's full factor history (1963-Jul → 2026-Jun, 756 months), while the betas themselves are estimated over the fund-overlap window (98 months).
| Factor | β | t-stat | Backtested % | Realized % |
|---|---|---|---|---|
| Size (SMB) | 0.732 | 19.50 | +1.35% | -2.17% |
| Value (HML) | 0.129 | 3.95 | +0.45% | -0.03% |
| Profitability (RMW) | -0.033 | -0.84 | -0.10% | -0.06% |
| Investment (CMA) | 0.017 | 0.35 | +0.05% | +0.00% |
| Momentum (UMD) | 0.036 | 1.39 | +0.26% | +0.15% |
| Non-Market Factor Contribution · combined non-market series | +2.03% | -2.14% | ||
| Alpha (intercept) | — | -0.51 | -0.56% | |
| Smart-Beta Net · combined non-market series + alpha | +1.46% | -2.69% | ||
| + Mkt-RF contribution · market | 1.004 | 49.56 | +6.19% | +12.08% |
| = Total excess return | +7.42% | +8.59% | ||
| + Rf base (%) | 4.44% → 11.86% total | 2.62% → 11.21% total | ||
Use this iframe URL on Discourse forums (e.g. Rational Reminder Community) or any site that allows iframe embeds. For X, Reddit, or Slack, paste the fund page URL directly — the social card image is auto-generated for this fund.
<iframe src="https://verifiedbeta.com/embed/us/ESML/waterfall/" width="720" height="540" style="border:0;" loading="lazy"></iframe>Verified Factor-Similar ETFs
These funds share the same statistically significant, material FF6 non-market factor set as ESML. Broad-market funds are excluded unless they have verified factor exposure.
6 additional factor-similar ETFs are held back for the future comparison view.
FAQ
What does this ESML ETF page measure?
This page evaluates ESML using factor regressions, relative Sharpe, valuation, and peer context. It is designed for ETF due diligence rather than quote tracking.
Why can Backtested Sim. and Realized differ?
Both views use the same estimated betas. The difference is the return window: Backtested Sim. applies them to the full factor history, while Realized applies them only during the fund's live sample.
Why might a high-return fund still look weak here?
A fund can post strong raw returns and still look unattractive on this screen if its non-market factor capture is weak, its implementation drag is high, or its volatility-adjusted return profile is weaker than the market.
How should US investors use this page?
Use it as a starting point for ETF selection: check whether the fund's live behavior, valuation, and peer context match its stated strategy.
Factor decomposition shows what ESML's historical betas would have earned under each scenario — not a forecast, not investment advice. Backtested simulation assumes loadings stay fixed across the long sample, which is unrealistic for any real-world fund. Use this as one input to ETF due diligence, not a substitute for it.
Get one monthly email when the US leaders table refreshes, plus methodology and download-access updates.