ESG vs. SPY

Last updated Jun 13, 2026

ESG (FlexShares STOXX US ESG Select Index Fund) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - ESG is a Large Cap Growth Equities fund tracking the STOXX USA ESG Select KPIs Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, ESG returned 12.21%/yr vs 13.36%/yr for SPY. Their correlation of 0.89 suggests significant overlap in exposure. ESG charges 0.32%/yr vs 0.09%/yr for SPY.

Performance

ESG vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FlexShares STOXX US ESG Select Index Fund (ESG) 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, ESG achieves a 10.25% return, which is significantly higher than SPY's 9.07% return.

ESG

• 1D: 0.40%
• 1M: 1.94%
• YTD: 10.25%
• 6M: 10.80%
• 1Y: 22.45%
• 3Y*: 19.24%
• 5Y*: 12.21%
• 10Y*: —

SPY

• 1D: 0.54%
• 1M: -0.08%
• YTD: 9.07%
• 6M: 9.42%
• 1Y: 24.27%
• 3Y*: 20.86%
• 5Y*: 13.36%
• 10Y*: 15.42%

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

ESG vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESG FlexShares STOXX US ESG Select Index Fund	10.25%	16.04%	20.22%	27.86%	-19.89%	28.48%	20.75%	31.74%	-5.17%	22.78%
SPY State Street SPDR S&P 500 ETF	9.07%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between ESG 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	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.97
Correlation (All Time) Calculated using the full available price history since Jul 14, 2016	0.89

The correlation between ESG and SPY has been stable across timeframes, ranging from 0.89 to 0.97 - a consistent structural relationship.

ESG vs. SPY - Sectors Allocation Comparison

Sectors	ESG	SPY
Technology	36.7%	35.9%
Financial Services	16.9%	11.8%
Healthcare	11.2%	8.4%
Consumer Cyclical	10.0%	10.3%
Consumer Defensive	9.2%	4.8%
Industrials	4.5%	7.8%
Energy	3.1%	3.6%
Basic Materials	3.0%	1.8%
Real Estate	2.7%	1.9%
Communication Services	1.0%	11.3%
Utilities	0.7%	2.4%

Return for Risk

ESG vs. SPY — Risk / Return Rank

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

ESG

ESG Risk / Return Rank: 67
ESG Sharpe Ratio Rank: 69
ESG Sortino Ratio Rank: 68
ESG Omega Ratio Rank: 67
ESG Calmar Ratio Rank: 60
ESG Martin Ratio Rank: 68

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 71
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 76

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.

ESG vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for FlexShares STOXX US ESG Select Index Fund (ESG) 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.

	ESG	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.96	1.98	-0.03
Sortino ratio: Return per unit of downside risk	2.70	2.68	+0.02
Omega ratio: Gain probability vs. loss probability	1.35	1.36	-0.01
Calmar ratio: Return relative to maximum drawdown	2.60	2.74	-0.14
Martin ratio: Return relative to average drawdown	11.00	12.39	-1.39

ESG vs. SPY - Sharpe Ratio Comparison

The current ESG Sharpe Ratio is 1.96, which is comparable to the SPY Sharpe Ratio of 1.98. The chart below compares the historical Sharpe Ratios of ESG 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

ESG vs. SPY - Drawdown Comparison

The maximum ESG 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 ESG and SPY.

Drawdown Indicators

	ESG	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-32.53%	-55.19%	+22.66%
Max Drawdown (1Y) Largest decline over 1 year	-8.68%	-8.88%	+0.20%
Max Drawdown (3Y) Largest decline over 3 years	-18.32%	-18.76%	+0.44%
Max Drawdown (5Y) Largest decline over 5 years	-26.04%	-24.50%	-1.54%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-2.18%	-2.35%	+0.17%
Average Drawdown Average peak-to-trough decline	-5.06%	-9.04%	+3.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.05%	1.97%	+0.08%

Volatility

ESG vs. SPY - Volatility Comparison

FlexShares STOXX US ESG Select Index Fund (ESG) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 4.20% and 4.34%, 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

	ESG	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.20%	4.34%	-0.14%
Volatility (6M) Calculated over the trailing 6-month period	9.04%	9.58%	-0.54%
Volatility (1Y) Calculated over the trailing 1-year period	11.53%	12.29%	-0.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.78%	17.12%	-0.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.36%	17.96%	+0.40%

ESG vs. SPY - Expense Ratio Comparison

ESG has a 0.32% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

ESG vs. SPY - Dividend Comparison

ESG's dividend yield for the trailing twelve months is around 0.88%, less than SPY's 1.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESG FlexShares STOXX US ESG Select Index Fund	0.88%	0.96%	1.18%	1.10%	1.38%	1.03%	1.33%	1.51%	1.72%	1.52%	0.92%	0.00%
SPY State Street SPDR S&P 500 ETF	1.00%	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 ESG and SPY in my portfolio?

With a correlation of 0.95, ESG 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, ESG or SPY?

SPY has higher volatility (4.34%) compared to ESG (4.20%). In terms of maximum drawdown, ESG dropped -32.53% vs SPY's -55.19%.

Which ETF is better, ESG or SPY?

On 5-year performance, SPY leads with 13.36% vs 12.21% for ESG. On fees, SPY is cheaper at 0.09% per year. On volatility, ESG has been the lower-risk option at 4.20%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESG or SPY?

Over the 5-year period, SPY has performed better with a 13.36% return vs 12.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESG or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.32% for ESG.

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

SPY has the higher dividend yield at 1.00%, compared with 0.88% for ESG.

What is the main difference between ESG and SPY?

ESG is categorized as Large Cap Growth Equities, while SPY is S&P 500. ESG tracks STOXX USA ESG Select KPIs Index, while SPY tracks S&P 500 Index. They also come from different issuers: Northern Trust and State Street. Their fees differ too: 0.32% for ESG and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.98 vs 1.96), 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.