ESGD vs. SPY

Last updated Jun 4, 2026

ESGD (iShares ESG Aware MSCI EAFE ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - ESGD is a Foreign Large Cap Equities fund tracking the MSCI EAFE Extended ESG Focus Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 5 years, ESGD returned 7.90%/yr vs 13.83%/yr for SPY. A 0.76 correlation means they provide meaningful diversification when combined. ESGD charges 0.20%/yr vs 0.09%/yr for SPY.

Performance

ESGD vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI EAFE ETF (ESGD) 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, ESGD achieves a 8.31% return, which is significantly lower than SPY's 10.91% return.

ESGD

• 1D: -0.81%
• 1M: 3.52%
• YTD: 8.31%
• 6M: 10.53%
• 1Y: 20.25%
• 3Y*: 15.89%
• 5Y*: 7.90%
• 10Y*: —

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

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

ESGD vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ESGD iShares ESG Aware MSCI EAFE ETF	8.31%	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	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between ESGD and SPY is 0.76, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.72
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (All Time) Calculated using the full available price history since Jul 1, 2016	0.76

The correlation between ESGD and SPY has been stable across timeframes, ranging from 0.72 to 0.76 - a consistent structural relationship.

ESGD vs. SPY - Sectors Allocation Comparison

Sectors	ESGD	SPY
Financial Services	26.4%	11.8%
Industrials	19.2%	7.8%
Technology	11.7%	35.9%
Healthcare	10.3%	8.4%
Consumer Cyclical	7.6%	10.3%
Consumer Defensive	6.4%	4.8%
Basic Materials	4.6%	1.8%
Communication Services	4.0%	11.3%
Energy	3.9%	3.6%
Utilities	3.9%	2.4%
Real Estate	2.0%	1.9%

Return for Risk

ESGD vs. SPY — Risk / Return Rank

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

ESGD

ESGD Risk / Return Rank: 37
ESGD Sharpe Ratio Rank: 37
ESGD Sortino Ratio Rank: 37
ESGD Omega Ratio Rank: 36
ESGD Calmar Ratio Rank: 35
ESGD Martin Ratio Rank: 41

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

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.

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 ratio: Return per unit of total volatility	1.34	2.38	-1.04
Sortino ratio: Return per unit of downside risk	1.95	3.24	-1.29
Omega ratio: Gain probability vs. loss probability	1.24	1.43	-0.19
Calmar ratio: Return relative to maximum drawdown	1.74	3.16	-1.42
Martin ratio: Return relative to average drawdown	6.53	14.72	-8.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGD vs. SPY - Sharpe Ratio Comparison

The current ESGD Sharpe Ratio is 1.34, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of ESGD 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.

Sharpe Ratios by Period

	ESGD	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.34	2.38	-1.04
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	0.82	-0.34
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.57	0.59	-0.01

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.

Drawdown Indicators

	ESGD	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-33.70%	-55.19%	+21.49%
Max Drawdown (1Y) Largest decline over 1 year	-11.68%	-8.88%	-2.80%
Max Drawdown (3Y) Largest decline over 3 years	-13.86%	-18.76%	+4.90%
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 Drawdown Current decline from peak	-1.36%	-0.70%	-0.66%
Average Drawdown Average peak-to-trough decline	-6.19%	-9.05%	+2.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.11%	1.91%	+1.20%

Volatility

ESGD vs. SPY - Volatility Comparison

iShares ESG Aware MSCI EAFE ETF (ESGD) has a higher volatility of 4.88% compared to State Street SPDR S&P 500 ETF (SPY) at 2.84%. 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.

Volatility by Period

	ESGD	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.88%	2.84%	+2.04%
Volatility (6M) Calculated over the trailing 6-month period	12.59%	8.90%	+3.69%
Volatility (1Y) Calculated over the trailing 1-year period	15.22%	11.83%	+3.39%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.61%	17.05%	-0.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.97%	17.94%	-0.97%

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%.

Dividends

ESGD vs. SPY - Dividend Comparison

ESGD's dividend yield for the trailing twelve months is around 3.33%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGD iShares ESG Aware MSCI EAFE ETF	3.33%	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	0.98%	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 ESGD and SPY in my portfolio?

ESGD and SPY have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGD or SPY?

ESGD has higher volatility (4.88%) compared to SPY (2.84%). In terms of maximum drawdown, ESGD dropped -33.70% vs SPY's -55.19%.

Which ETF is better, ESGD or SPY?

On 5-year performance, SPY leads with 13.83% vs 7.90% for ESGD. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 2.84%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ESGD or SPY?

Over the 5-year period, SPY has performed better with a 13.83% return vs 7.90%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ESGD or SPY?

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

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

ESGD has the higher dividend yield at 3.33%, compared with 0.98% for SPY.

What is the main difference between ESGD and SPY?

ESGD is categorized as Foreign Large Cap Equities, while SPY is S&P 500. ESGD tracks MSCI EAFE Extended ESG Focus Index, while SPY tracks S&P 500 Index. They also come from different issuers: iShares and State Street. Their fees differ too: 0.20% for ESGD and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs 1.34), 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.