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ESG vs. SPTM
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESG vs. SPTM

Last updated Aug 2, 2026
Documentation

ESG (FlexShares STOXX US ESG Select Index Fund) and SPTM (SPDR Portfolio S&P 1500 Composite Stock Market ETF) are both Large Cap Blend Equities funds - ESG tracks the STOXX USA ESG Select KPIs Index while SPTM tracks the S&P Composite 1500 Index. Both are passively managed. Over the past 10 years, ESG returned 14.84%/yr vs 14.86%/yr for SPTM. Their correlation of 0.88 means they have usually moved in the same direction. ESG charges 0.32%/yr vs 0.03%/yr for SPTM.

Performance

ESG vs. SPTM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX US ESG Select Index Fund (ESG) and SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, ESG achieves a 11.91% return, which is significantly higher than SPTM's 10.61% return. Both investments have delivered pretty close results over the past 10 years, with ESG having a 14.84% annualized return and SPTM not far ahead at 14.86%.

ESG

1D
0.20%
1M
0.58%
6M
9.98%
YTD
11.91%
1Y
22.28%
3Y*
17.88%
5Y*
11.70%
10Y*
14.84%
ALL TIME*
14.86%

SPTM

1D
0.62%
1M
0.21%
6M
8.81%
YTD
10.61%
1Y
21.87%
3Y*
18.90%
5Y*
12.48%
10Y*
14.86%
ALL TIME*
8.78%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

PositionAvg. Volume Value (2W)Avg. Volume Value (1M)Avg. Volume Value (3M)

ESG

FlexShares STOXX US ESG Select Index Fund
$141.70K$104.98K$155.55K

SPTM

SPDR Portfolio S&P 1500 Composite Stock Market ETF
$40.04M$39.69M$45.49M

ESG vs. SPTM - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
ESG
FlexShares STOXX US ESG Select Index Fund		11.91%16.04%20.22%27.86%-19.89%28.48%20.75%31.74%-5.17%22.78%
SPTM
SPDR Portfolio S&P 1500 Composite Stock Market ETF		10.61%16.93%23.87%25.55%-17.75%28.58%17.94%31.34%-5.30%21.18%

Correlation

The correlation between ESG and SPTM is 0.95, meaning they have usually moved in the same direction, including during past declines.

Correlation
Correlation (1Y)
Focuses on recent behavior, but can change the most.

0.95

Correlation (3Y)
Balances recent behavior with more history.

0.96

Correlation (5Y)
Shows whether the relationship held over a longer period.

0.97

Correlation (10Y)
Provides a long-term view across more market conditions.

0.88

Correlation (All Time)
Calculated using the full available price history since Jul 14, 2016

0.88

The correlation between ESG and SPTM has been stable across timeframes, ranging from 0.88 to 0.97 - a consistent structural relationship.

ESG vs. SPTM - Sectors Allocation Comparison

Sectors
ESG
SPTM

Technology

33.3%
36.3%

Financial Services

18.3%
12.5%

Healthcare

13.7%
9.3%

Consumer Defensive

9.3%
4.5%

Consumer Cyclical

8.2%
9.1%

Industrials

4.6%
8.8%

Energy

3.6%
3.5%

Basic Materials

3.1%
2.2%

Real Estate

2.9%
2.3%

Communication Services

0.8%
8.7%

Utilities

0.7%
2.6%

Technology

ESG
33.3%
SPTM
36.3%

Financial Services

ESG
18.3%
SPTM
12.5%

Healthcare

ESG
13.7%
SPTM
9.3%

Consumer Defensive

ESG
9.3%
SPTM
4.5%

Consumer Cyclical

ESG
8.2%
SPTM
9.1%

Industrials

ESG
4.6%
SPTM
8.8%

Energy

ESG
3.6%
SPTM
3.5%

Basic Materials

ESG
3.1%
SPTM
2.2%

Real Estate

ESG
2.9%
SPTM
2.3%

Communication Services

ESG
0.8%
SPTM
8.7%

Utilities

ESG
0.7%
SPTM
2.6%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

FlexShares STOXX US ESG Select Index Fund

SPDR Portfolio S&P 1500 Composite Stock Market ETF

Often compared with ESG:
ESG vs. SPYESG vs. QQQESG vs. VOOESG vs. SCHDESG vs. 4UBQ.DEESG vs. USSGESG vs. MSCI
Often compared with SPTM:
SPTM vs. VTISPTM vs. SPYSPTM vs. VOOSPTM vs. ITOTSPTM vs. SCHDSPTM vs. SCHGSPTM vs. BKLC

Return for Risk

ESG vs. SPTM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
ESG
ESG Risk / Return Rank: 7474
Overall Rank
ESG Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
ESG Sortino Ratio Rank: 7575
Sortino Ratio Rank
ESG Omega Ratio Rank: 7474
Omega Ratio Rank
ESG Calmar Ratio Rank: 6868
Calmar Ratio Rank
ESG Martin Ratio Rank: 7777
Martin Ratio Rank
SPTM
SPTM Risk / Return Rank: 7070
Overall Rank
SPTM Sharpe Ratio Rank: 6969
Sharpe Ratio Rank
SPTM Sortino Ratio Rank: 6666
Sortino Ratio Rank
SPTM Omega Ratio Rank: 6767
Omega Ratio Rank
SPTM Calmar Ratio Rank: 6767
Calmar Ratio Rank
SPTM Martin Ratio Rank: 7979
Martin Ratio Rank
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.

ESG vs. SPTM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) and SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM). 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.

ESGSPTMDifference
Sharpe ratioReturn per unit of total volatility
1.74
1.57

+0.17

Sortino ratioReturn per unit of downside risk
2.42
2.18

+0.24

Omega ratioGain probability vs. loss probability

1.31

1.28

+0.03

Calmar ratioReturn relative to maximum drawdown

2.36

2.31

+0.05

Martin ratioReturn relative to average drawdown

9.79

10.07

-0.28

ESG vs. SPTM - Sharpe Ratio Comparison

The current ESG Sharpe Ratio is 1.74, which is comparable to the SPTM Sharpe Ratio of 1.57. The chart below compares the historical Sharpe Ratios of ESG and SPTM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

ESG vs. SPTM - Drawdown Comparison

The maximum ESG drawdown since its inception was -32.53%, smaller than the maximum SPTM drawdown of -54.80%. Use the drawdown chart below to compare losses from any high point for ESG and SPTM.

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Drawdown Indicators

ESGSPTMDifference

Max Drawdown

Largest peak-to-trough decline

-32.53%

-54.80%

+22.27%

Max Drawdown (1Y)

Largest decline over 1 year

-8.68%

-8.68%

0.00%

Max Drawdown (3Y)

Largest decline over 3 years

-18.32%

-18.87%

+0.55%

Max Drawdown (5Y)

Largest decline over 5 years

-26.04%

-24.14%

-1.90%

Max Drawdown (10Y)

Largest decline over 10 years

-32.53%

-34.66%

+2.13%

Current Drawdown

Current decline from peak

-0.71%

-1.11%

+0.40%

Average Drawdown

Average peak-to-trough decline

-5.01%

-9.00%

+3.99%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.09%

1.99%

+0.10%

Volatility

ESG vs. SPTM - Volatility Comparison

The current volatility for FlexShares STOXX US ESG Select Index Fund (ESG) is 3.30%, while SPDR Portfolio S&P 1500 Composite Stock Market ETF (SPTM) has a volatility of 3.50%. This indicates that ESG experiences smaller price fluctuations and is considered to be less risky than SPTM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

ESGSPTMDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.30%

3.50%

-0.20%

Volatility (6M)

Calculated over the trailing 6-month period

9.35%

10.02%

-0.67%

Volatility (1Y)

Calculated over the trailing 1-year period

11.82%

12.81%

-0.99%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.79%

16.97%

-0.18%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

18.33%

18.03%

+0.30%

ESG vs. SPTM - Expense Ratio Comparison

ESG has a 0.32% expense ratio, which is higher than SPTM's 0.03% expense ratio.

Dividends

ESG vs. SPTM - Dividend Comparison

ESG's dividend yield for the trailing twelve months is around 0.87%, less than SPTM's 1.06% yield.

PositionTTM20252024202320222021202020192018201720162015
ESG
FlexShares STOXX US ESG Select Index Fund		0.87%0.96%1.18%1.10%1.38%1.03%1.33%1.51%1.72%1.52%0.92%0.00%
SPTM
SPDR Portfolio S&P 1500 Composite Stock Market ETF		1.06%1.13%1.28%1.44%1.69%1.25%1.56%1.72%1.90%1.66%1.91%1.92%

Frequently Asked Questions

With a correlation of 0.95, ESG and SPTM 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.

SPTM has higher volatility (3.50%) compared to ESG (3.30%). In terms of maximum drawdown, ESG dropped -32.53% vs SPTM's -54.80%.

On 10-year performance, SPTM leads with 14.86% vs 14.84% for ESG. On fees, SPTM is cheaper at 0.03% per year. On volatility, ESG has been the lower-risk option at 3.30%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, SPTM has performed better with a 14.86% return vs 14.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SPTM is cheaper with a 0.03% expense ratio, compared with 0.32% for ESG.

SPTM has the higher dividend yield at 1.06%, compared with 0.87% for ESG.

ESG tracks STOXX USA ESG Select KPIs Index, while SPTM tracks S&P Composite 1500 Index. They also come from different issuers: Northern Trust and State Street. Their fees differ too: 0.32% for ESG and 0.03% for SPTM.

ESG currently has the higher Sharpe Ratio (1.74 vs 1.57), 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.

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