ESGD vs. SPY
Compare and contrast key facts about iShares ESG Aware MSCI EAFE ETF (ESGD) and State Street SPDR S&P 500 ETF (SPY).
ESGD and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. ESGD is a passively managed fund by iShares that tracks the performance of the MSCI EAFE Extended ESG Focus Index. It was launched on Jun 28, 2016. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both ESGD and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
ESGD vs. SPY - Performance Comparison
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ESGD vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 0.56% | 29.63% | 3.95% | 18.53% | -15.17% | 11.79% | 8.20% | 23.12% | -13.33% | 25.10% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, ESGD achieves a 0.56% return, which is significantly higher than SPY's -4.37% return.
ESGD
- 1D
- 3.29%
- 1M
- -8.25%
- YTD
- 0.56%
- 6M
- 4.79%
- 1Y
- 21.50%
- 3Y*
- 13.70%
- 5Y*
- 7.69%
- 10Y*
- —
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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ESGD vs. SPY - Expense Ratio Comparison
ESGD 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%.
Return for Risk
ESGD vs. SPY — Risk / Return Rank
ESGD
SPY
ESGD vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI EAFE ETF (ESGD) 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.
| ESGD | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.22 | 0.93 | +0.29 |
Sortino ratioReturn per unit of downside risk | 1.75 | 1.45 | +0.30 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.22 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.75 | 1.53 | +0.22 |
Martin ratioReturn relative to average drawdown | 6.75 | 7.30 | -0.55 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ESGD | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.22 | 0.93 | +0.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 0.69 | -0.22 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.78 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | 0.56 | -0.03 |
Correlation
The correlation between ESGD and SPY is 0.76, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ESGD vs. SPY - Dividend Comparison
ESGD's dividend yield for the trailing twelve months is around 3.58%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESGD iShares ESG Aware MSCI EAFE ETF | 3.58% | 3.60% | 3.23% | 3.02% | 2.59% | 2.75% | 1.63% | 2.57% | 2.69% | 2.65% | 0.09% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
ESGD vs. SPY - Drawdown Comparison
The maximum ESGD drawdown since its inception was -33.70%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ESGD and SPY.
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Drawdown Indicators
| ESGD | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.70% | -55.19% | +21.49% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -12.05% | +0.37% |
Max Drawdown (5Y)Largest decline over 5 years | -30.03% | -24.50% | -5.53% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -8.42% | -6.24% | -2.18% |
Average DrawdownAverage peak-to-trough decline | -6.25% | -9.09% | +2.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.03% | 2.52% | +0.51% |
Volatility
ESGD vs. SPY - Volatility Comparison
iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 7.99% compared to State Street SPDR S&P 500 ETF (SPY) at 5.31%. This indicates that ESGD'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.
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Volatility by Period
| ESGD | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.99% | 5.31% | +2.68% |
Volatility (6M)Calculated over the trailing 6-month period | 11.29% | 9.47% | +1.82% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.75% | 19.05% | -1.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.45% | 17.06% | -0.61% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.94% | 17.92% | -0.98% |