EFAX vs. SPYG

Last updated Aug 2, 2026

EFAX (SPDR MSCI EAFE Fossil Fuel Free ETF) and SPYG (State Street SPDR Portfolio S&P 500 Growth ETF) are both exchange-traded funds - EFAX is a Foreign Large Cap Equities fund tracking the MSCI EAFE ex Fossil Fuels Index, while SPYG is a S&P 500 fund tracking the S&P 500 Growth Index. Both are passively managed. Over the past 5 years, EFAX returned 8.38%/yr vs 13.28%/yr for SPYG. Their 0.65 correlation means they have sometimes moved together and sometimes differently. EFAX charges 0.20%/yr vs 0.04%/yr for SPYG.

Performance

EFAX vs. SPYG - 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 Portfolio S&P 500 Growth ETF (SPYG). 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 SPYG slightly higher at 10.06%.

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%

SPYG

• 1D: 1.45%
• 1M: -0.05%
• 6M: 9.50%
• YTD: 10.06%
• 1Y: 21.72%
• 3Y*: 24.04%
• 5Y*: 13.28%
• 10Y*: 17.38%
• ALL TIME*: 7.45%

*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
SPYG State Street SPDR Portfolio S&P 500 Growth ETF	$321.11M	$273.47M	$308.09M

EFAX vs. SPYG - 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%
SPYG State Street SPDR Portfolio S&P 500 Growth ETF	10.06%	22.09%	35.99%	30.02%	-29.41%	32.01%	33.46%	30.84%	-0.12%	27.24%

Correlation

The correlation between EFAX and SPYG is 0.67, 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.	0.67
Correlation (3Y) Balances recent behavior with more history.	0.62
Correlation (5Y) Shows whether the relationship held over a longer period.	0.68
Correlation (All Time) Calculated using the full available price history since Oct 25, 2016	0.65

The correlation between EFAX and SPYG has been stable across timeframes, ranging from 0.62 to 0.68 - a consistent structural relationship.

EFAX vs. SPYG - Sectors Allocation Comparison

Sectors	EFAX	SPYG
Financial Services	26.6%	8.7%
Industrials	18.9%	6.4%
Technology	13.8%	52.3%
Healthcare	11.2%	6.2%
Consumer Cyclical	8.0%	8.6%
Consumer Defensive	7.3%	1.0%
Communication Services	4.8%	15.6%
Basic Materials	4.6%	0.3%
Utilities	3.1%	0.4%
Real Estate	1.8%	0.6%
Energy	0.1%	0.1%

Return for Risk

EFAX vs. SPYG — 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

SPYG

SPYG Risk / Return Rank: 43
SPYG Sharpe Ratio Rank: 44
SPYG Sortino Ratio Rank: 44
SPYG Omega Ratio Rank: 41
SPYG Calmar Ratio Rank: 40
SPYG Martin Ratio Rank: 46

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. SPYG - 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 Portfolio S&P 500 Growth ETF (SPYG). 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	SPYG	Difference
Sharpe ratio: Return per unit of total volatility	1.37	1.08	+0.29
Sortino ratio: Return per unit of downside risk	1.99	1.58	+0.41
Omega ratio: Gain probability vs. loss probability	1.25	1.19	+0.06
Calmar ratio: Return relative to maximum drawdown	1.81	1.42	+0.39
Martin ratio: Return relative to average drawdown	6.72	5.17	+1.55

EFAX vs. SPYG - Sharpe Ratio Comparison

The current EFAX Sharpe Ratio is 1.37, which is comparable to the SPYG Sharpe Ratio of 1.08. The chart below compares the historical Sharpe Ratios of EFAX and SPYG, 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. SPYG - Drawdown Comparison

The maximum EFAX drawdown since its inception was -32.53%, smaller than the maximum SPYG drawdown of -67.63%. Use the drawdown chart below to compare losses from any high point for EFAX and SPYG.

Drawdown Indicators

	EFAX	SPYG	Difference
Max Drawdown Largest peak-to-trough decline	-32.53%	-67.63%	+35.10%
Max Drawdown (1Y) Largest decline over 1 year	-12.38%	-13.76%	+1.38%
Max Drawdown (3Y) Largest decline over 3 years	-13.52%	-22.14%	+8.62%
Max Drawdown (5Y) Largest decline over 5 years	-31.67%	-32.67%	+1.00%
Max Drawdown (10Y) Largest decline over 10 years	—	-32.67%	—
Current Drawdown Current decline from peak	-0.65%	-4.33%	+3.68%
Average Drawdown Average peak-to-trough decline	-6.88%	-24.20%	+17.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.34%	3.78%	-0.44%

Volatility

EFAX vs. SPYG - Volatility Comparison

The current volatility for SPDR MSCI EAFE Fossil Fuel Free ETF (EFAX) is 4.92%, while State Street SPDR Portfolio S&P 500 Growth ETF (SPYG) has a volatility of 6.08%. This indicates that EFAX experiences smaller price fluctuations and is considered to be less risky than SPYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EFAX	SPYG	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.92%	6.08%	-1.16%
Volatility (6M) Calculated over the trailing 6-month period	14.42%	14.85%	-0.43%
Volatility (1Y) Calculated over the trailing 1-year period	16.46%	18.18%	-1.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.83%	21.50%	-4.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.12%	20.79%	-3.67%

EFAX vs. SPYG - Expense Ratio Comparison

EFAX has a 0.20% expense ratio, which is higher than SPYG's 0.04% 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. SPYG - Dividend Comparison

EFAX's dividend yield for the trailing twelve months is around 3.12%, more than SPYG's 0.49% 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%
SPYG State Street SPDR Portfolio S&P 500 Growth ETF	0.49%	0.52%	0.60%	1.15%	1.03%	0.62%	0.90%	1.37%	1.51%	1.41%	1.55%	1.57%

Frequently Asked Questions

Can I hold both EFAX and SPYG in my portfolio?

EFAX and SPYG have a correlation of 0.67, 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 SPYG?

SPYG has higher volatility (6.08%) compared to EFAX (4.92%). In terms of maximum drawdown, EFAX dropped -32.53% vs SPYG's -67.63%.

Which ETF is better, EFAX or SPYG?

On 5-year performance, SPYG leads with 13.28% vs 8.38% for EFAX. On fees, SPYG is cheaper at 0.04% per year. On volatility, EFAX has been the lower-risk option at 4.92%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, EFAX or SPYG?

Over the 5-year period, SPYG has performed better with a 13.28% 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 SPYG?

SPYG is cheaper with a 0.04% expense ratio, compared with 0.20% for EFAX.

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

EFAX has the higher dividend yield at 3.12%, compared with 0.49% for SPYG.

What is the main difference between EFAX and SPYG?

EFAX is categorized as Foreign Large Cap Equities, while SPYG is S&P 500. EFAX tracks MSCI EAFE ex Fossil Fuels Index, while SPYG tracks S&P 500 Growth Index. Their fees differ too: 0.20% for EFAX and 0.04% for SPYG.

Which has better risk-adjusted returns?

EFAX currently has the higher Sharpe Ratio (1.37 vs 1.08), 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.