EFAX vs. SPY

Last updated Aug 2, 2026

EFAX (SPDR MSCI EAFE Fossil Fuel Free ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - EFAX is a Foreign Large Cap Equities fund tracking the MSCI EAFE ex Fossil Fuels Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, EFAX returned 8.38%/yr vs 12.76%/yr for SPY. Their 0.72 correlation means they have sometimes moved together and sometimes differently. EFAX charges 0.20%/yr vs 0.09%/yr for SPY.

Performance

EFAX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with EFAX having a 9.92% return and SPY slightly higher at 10.13%.

EFAX

• 1D: -0.65%
• 1M: 0.42%
• 6M: 5.51%
• YTD: 9.92%
• 1Y: 22.63%
• 3Y*: 15.98%
• 5Y*: 8.38%
• 10Y*: —
• ALL TIME*: 9.19%

SPY

• 1D: 0.72%
• 1M: 0.30%
• 6M: 8.53%
• YTD: 10.13%
• 1Y: 21.49%
• 3Y*: 19.32%
• 5Y*: 12.76%
• 10Y*: 15.07%
• ALL TIME*: 10.79%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF	$530.63K	$1.05M	$1.10M
SPY State Street SPDR S&P 500 ETF	$37.27B	$35.99B	$39.23B

EFAX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF	9.92%	31.30%	4.78%	18.02%	-16.72%	10.50%	9.57%	23.52%	-14.78%	23.93%
SPY State Street SPDR S&P 500 ETF	10.13%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between EFAX and SPY is 0.78, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.78
Correlation (3Y) Balances recent behavior with more history.	0.72
Correlation (5Y) Shows whether the relationship held over a longer period.	0.76
Correlation (All Time) Calculated using the full available price history since Oct 25, 2016	0.72

The correlation between EFAX and SPY has been stable across timeframes, ranging from 0.72 to 0.78 - a consistent structural relationship.

EFAX vs. SPY - Sectors Allocation Comparison

Sectors	EFAX	SPY
Financial Services	26.6%	12.5%
Industrials	18.9%	7.6%
Technology	13.8%	36.9%
Healthcare	11.2%	9.4%
Consumer Cyclical	8.0%	8.9%
Consumer Defensive	7.3%	4.8%
Communication Services	4.8%	9.7%
Basic Materials	4.6%	1.9%
Utilities	3.1%	2.6%
Real Estate	1.8%	2.0%
Energy	0.1%	3.4%

Return for Risk

EFAX vs. SPY — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

EFAX

EFAX Risk / Return Rank: 56
EFAX Sharpe Ratio Rank: 58
EFAX Sortino Ratio Rank: 58
EFAX Omega Ratio Rank: 57
EFAX Calmar Ratio Rank: 50
EFAX Martin Ratio Rank: 57

SPY

SPY Risk / Return Rank: 67
SPY Sharpe Ratio Rank: 67
SPY Sortino Ratio Rank: 64
SPY Omega Ratio Rank: 65
SPY Calmar Ratio Rank: 64
SPY Martin Ratio Rank: 76

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

EFAX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	EFAX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.37	1.52	-0.15
Sortino ratio: Return per unit of downside risk	1.99	2.11	-0.12
Omega ratio: Gain probability vs. loss probability	1.25	1.27	-0.02
Calmar ratio: Return relative to maximum drawdown	1.81	2.20	-0.39
Martin ratio: Return relative to average drawdown	6.72	9.40	-2.68

EFAX vs. SPY - Sharpe Ratio Comparison

The current EFAX Sharpe Ratio is 1.37, which is comparable to the SPY Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of EFAX 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.

Drawdowns

EFAX vs. SPY - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EFAX and SPY.

Drawdown Indicators

	EFAX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-32.53%	-55.19%	+22.66%
Max Drawdown (1Y) Largest decline over 1 year	-12.38%	-8.88%	-3.50%
Max Drawdown (3Y) Largest decline over 3 years	-13.52%	-18.76%	+5.24%
Max Drawdown (5Y) Largest decline over 5 years	-31.67%	-24.50%	-7.17%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-0.65%	-1.40%	+0.75%
Average Drawdown Average peak-to-trough decline	-6.88%	-9.01%	+2.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	2.08%	+1.26%

Volatility

EFAX vs. SPY - Volatility Comparison

SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) has a higher volatility of 4.92% compared to State Street SPDR S&P 500 ETF (SPY) at 3.58%. This indicates that EFAX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EFAX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.92%	3.58%	+1.34%
Volatility (6M) Calculated over the trailing 6-month period	14.42%	10.14%	+4.28%
Volatility (1Y) Calculated over the trailing 1-year period	16.46%	12.89%	+3.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.83%	17.18%	-0.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.12%	17.95%	-0.83%

EFAX vs. SPY - Expense Ratio Comparison

EFAX has a 0.20% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

EFAX vs. SPY - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 3.12%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EFAX SPDR MSCI EAFE Fossil Fuel Free ETF	3.12%	3.31%	2.74%	2.71%	2.81%	2.58%	1.69%	2.71%	3.05%	2.89%	0.26%	0.00%
SPY State Street SPDR S&P 500 ETF	1.01%	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 EFAX and SPY in my portfolio?

EFAX and SPY have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EFAX or SPY?

EFAX has higher volatility (4.92%) compared to SPY (3.58%). In terms of maximum drawdown, EFAX dropped -32.53% vs SPY's -55.19%.

Which ETF is better, EFAX or SPY?

On 5-year performance, SPY leads with 12.76% vs 8.38% for EFAX. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 3.58%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EFAX or SPY?

Over the 5-year period, SPY has performed better with a 12.76% return vs 8.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, EFAX or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.20% for EFAX.

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

EFAX has the higher dividend yield at 3.12%, compared with 1.01% for SPY.

What is the main difference between EFAX and SPY?

EFAX is categorized as Foreign Large Cap Equities, while SPY is S&P 500. EFAX tracks MSCI EAFE ex Fossil Fuels Index, while SPY tracks S&P 500 Index. Their fees differ too: 0.20% for EFAX and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.52 vs 1.37), 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.