AFLG vs. SPY

Last updated Jun 3, 2026

AFLG (First Trust Active Factor Large Cap ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - AFLG is a Large Cap Growth Equities fund tracking the Goldman Sachs ActiveBeta U.S. Large Cap Equity Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, AFLG returned 13.23%/yr vs 14.20%/yr for SPY. Their correlation of 0.95 suggests significant overlap in exposure. AFLG charges 0.55%/yr vs 0.09%/yr for SPY.

Performance

AFLG vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Active Factor Large Cap ETF (AFLG) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AFLG achieves a 12.97% return, which is significantly higher than SPY's 11.69% return.

AFLG

• 1D: 0.22%
• 1M: 3.95%
• YTD: 12.97%
• 6M: 12.82%
• 1Y: 26.30%
• 3Y*: 22.96%
• 5Y*: 13.23%
• 10Y*: —

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

*Multi-year figures are annualized to reflect compound growth (CAGR)

AFLG vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AFLG First Trust Active Factor Large Cap ETF	12.97%	14.23%	27.02%	20.10%	-16.41%	27.29%	10.31%	2.77%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	3.85%

Correlation

The correlation between AFLG and SPY is 0.95 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.95
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Dec 5, 2019	0.95

The correlation between AFLG and SPY has been stable across timeframes, ranging from 0.95 to 0.96 - a consistent structural relationship.

AFLG vs. SPY - Sectors Allocation Comparison

Sectors	AFLG	SPY
Technology	33.6%	35.9%
Consumer Cyclical	10.2%	10.3%
Communication Services	10.1%	11.3%
Financial Services	10.0%	11.8%
Industrials	9.4%	7.8%
Healthcare	7.8%	8.4%
Consumer Defensive	4.2%	4.8%
Utilities	4.1%	2.4%
Real Estate	3.8%	1.9%
Basic Materials	3.6%	1.8%
Energy	3.2%	3.6%

Return for Risk

AFLG vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AFLG

AFLG Risk / Return Rank: 69
AFLG Sharpe Ratio Rank: 68
AFLG Sortino Ratio Rank: 69
AFLG Omega Ratio Rank: 67
AFLG Calmar Ratio Rank: 65
AFLG Martin Ratio Rank: 77

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AFLG vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Active Factor Large Cap ETF (AFLG) and State Street SPDR S&P 500 ETF (SPY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

	AFLG	SPY	Difference
Sharpe ratio Return per unit of total volatility	2.31	2.52	-0.22
Sortino ratio Return per unit of downside risk	3.22	3.42	-0.19
Omega ratio Gain probability vs. loss probability	1.41	1.46	-0.04
Calmar ratio Return relative to maximum drawdown	3.28	3.42	-0.13
Martin ratio Return relative to average drawdown	15.08	15.93	-0.84
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AFLG vs. SPY - Sharpe Ratio Comparison

The current AFLG Sharpe Ratio is 2.31, which is comparable to the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of AFLG and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AFLG	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.31	2.52	-0.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.84	0.84	0.00
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.75	0.59	+0.16

Drawdowns

AFLG vs. SPY - Drawdown Comparison

The maximum AFLG drawdown since its inception was -35.84%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AFLG and SPY.

Drawdown Indicators

	AFLG	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-35.84%	-55.19%	+19.35%
Max Drawdown (1Y) Largest decline over 1 year	-8.19%	-8.88%	+0.69%
Max Drawdown (3Y) Largest decline over 3 years	-17.49%	-18.76%	+1.27%
Max Drawdown (5Y) Largest decline over 5 years	-23.48%	-24.50%	+1.02%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-5.72%	-9.05%	+3.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	1.91%	-0.13%

Volatility

AFLG vs. SPY - Volatility Comparison

First Trust Active Factor Large Cap ETF (AFLG) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 2.87% and 2.75%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AFLG	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.87%	2.75%	+0.12%
Volatility (6M) Calculated over the trailing 6-month period	8.80%	8.89%	-0.09%
Volatility (1Y) Calculated over the trailing 1-year period	11.46%	11.81%	-0.35%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.82%	17.05%	-1.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.20%	17.94%	+1.26%

AFLG vs. SPY - Expense Ratio Comparison

AFLG has a 0.55% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

AFLG vs. SPY - Dividend Comparison

AFLG's dividend yield for the trailing twelve months is around 0.70%, less than SPY's 0.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AFLG First Trust Active Factor Large Cap ETF	0.70%	0.84%	0.53%	1.53%	1.52%	0.93%	1.28%	0.20%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.97%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both AFLG and SPY in my portfolio?

With a correlation of 0.95, AFLG and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, AFLG or SPY?

AFLG has higher volatility (2.87%) compared to SPY (2.75%). In terms of maximum drawdown, AFLG dropped -35.84% vs SPY's -55.19%.

Which ETF is better, AFLG or SPY?

On 5-year performance, SPY leads with 14.20% vs 13.23% for AFLG. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 2.75%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, AFLG or SPY?

Over the 5-year period, SPY has performed better with a 14.20% return vs 13.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, AFLG or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.55% for AFLG.

Which ETF pays a higher dividend yield, AFLG or SPY?

SPY has the higher dividend yield at 0.97%, compared with 0.70% for AFLG.

What is the main difference between AFLG and SPY?

AFLG is categorized as Large Cap Growth Equities, while SPY is S&P 500. AFLG tracks Goldman Sachs ActiveBeta U.S. Large Cap Equity Index, while SPY tracks S&P 500 Index. They also come from different issuers: First Trust and State Street. Their fees differ too: 0.55% for AFLG and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.52 vs 2.31), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.