ESGIX vs. SSSYX

Last updated Jun 4, 2026

ESGIX (Dana Epiphany ESG Equity Fund) and SSSYX (State Street Equity 500 Index Fund Class K) are both Large Cap Blend Equities funds. Over the past 5 years, ESGIX returned 9.42%/yr vs 14.24%/yr for SSSYX. With a 0.96 correlation, they move nearly in lockstep. ESGIX charges 1.12%/yr vs 0.02%/yr for SSSYX.

Performance

ESGIX vs. SSSYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dana Epiphany ESG Equity Fund (ESGIX) and State Street Equity 500 Index Fund Class K (SSSYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGIX achieves a 10.96% return, which is significantly lower than SSSYX's 11.69% return.

ESGIX

• 1D: 0.05%
• 1M: 5.01%
• YTD: 10.96%
• 6M: 10.33%
• 1Y: 27.18%
• 3Y*: 18.39%
• 5Y*: 9.42%
• 10Y*: —

SSSYX

• 1D: 0.14%
• 1M: 5.79%
• YTD: 11.69%
• 6M: 11.73%
• 1Y: 28.94%
• 3Y*: 22.73%
• 5Y*: 14.24%
• 10Y*: 15.61%

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

ESGIX vs. SSSYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESGIX Dana Epiphany ESG Equity Fund	10.96%	16.41%	17.86%	14.91%	-18.78%	25.81%	13.86%	29.17%	1.49%
SSSYX State Street Equity 500 Index Fund Class K	11.69%	17.81%	24.99%	26.27%	-18.16%	28.51%	18.31%	31.38%	1.59%

Correlation

The correlation between ESGIX and SSSYX 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	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Dec 21, 2018	0.96

The correlation between ESGIX and SSSYX has been stable across timeframes, ranging from 0.95 to 0.96 - a consistent structural relationship.

Return for Risk

ESGIX vs. SSSYX — Risk / Return Rank

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

ESGIX

ESGIX Risk / Return Rank: 56
ESGIX Sharpe Ratio Rank: 55
ESGIX Sortino Ratio Rank: 50
ESGIX Omega Ratio Rank: 49
ESGIX Calmar Ratio Rank: 61
ESGIX Martin Ratio Rank: 64

SSSYX

SSSYX Risk / Return Rank: 73
SSSYX Sharpe Ratio Rank: 75
SSSYX Sortino Ratio Rank: 67
SSSYX Omega Ratio Rank: 67
SSSYX Calmar Ratio Rank: 74
SSSYX Martin Ratio Rank: 83

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.

ESGIX vs. SSSYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dana Epiphany ESG Equity Fund (ESGIX) and State Street Equity 500 Index Fund Class K (SSSYX). 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.

	ESGIX	SSSYX	Difference
Sharpe ratio: Return per unit of total volatility	2.18	2.52	-0.34
Sortino ratio: Return per unit of downside risk	3.00	3.42	-0.42
Omega ratio: Gain probability vs. loss probability	1.38	1.46	-0.07
Calmar ratio: Return relative to maximum drawdown	2.99	3.36	-0.36
Martin ratio: Return relative to average drawdown	12.61	15.69	-3.08
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGIX vs. SSSYX - Sharpe Ratio Comparison

The current ESGIX Sharpe Ratio is 2.18, which is comparable to the SSSYX Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of ESGIX and SSSYX, 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

	ESGIX	SSSYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.18	2.52	-0.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.54	0.85	-0.31
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.13	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.70	0.12	+0.58

Drawdowns

ESGIX vs. SSSYX - Drawdown Comparison

The maximum ESGIX drawdown since its inception was -36.04%, smaller than the maximum SSSYX drawdown of -91.48%. Use the drawdown chart below to compare losses from any high point for ESGIX and SSSYX.

Drawdown Indicators

	ESGIX	SSSYX	Difference
Max Drawdown Largest peak-to-trough decline	-36.04%	-91.48%	+55.44%
Max Drawdown (1Y) Largest decline over 1 year	-9.40%	-8.88%	-0.52%
Max Drawdown (3Y) Largest decline over 3 years	-21.36%	-18.74%	-2.62%
Max Drawdown (5Y) Largest decline over 5 years	-25.01%	-24.49%	-0.52%
Max Drawdown (10Y) Largest decline over 10 years	—	-91.48%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-6.16%	-4.15%	-2.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.23%	1.90%	+0.33%

Volatility

ESGIX vs. SSSYX - Volatility Comparison

Dana Epiphany ESG Equity Fund (ESGIX) has a higher volatility of 3.04% compared to State Street Equity 500 Index Fund Class K (SSSYX) at 2.82%. This indicates that ESGIX's price experiences larger fluctuations and is considered to be riskier than SSSYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGIX	SSSYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.04%	2.82%	+0.22%
Volatility (6M) Calculated over the trailing 6-month period	9.52%	8.96%	+0.56%
Volatility (1Y) Calculated over the trailing 1-year period	12.93%	11.85%	+1.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.56%	16.88%	+0.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.18%	124.46%	-104.28%

ESGIX vs. SSSYX - Expense Ratio Comparison

ESGIX has a 1.12% expense ratio, which is higher than SSSYX's 0.02% expense ratio.

Dividends

ESGIX vs. SSSYX - Dividend Comparison

ESGIX's dividend yield for the trailing twelve months is around 6.12%, more than SSSYX's 1.29% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ESGIX Dana Epiphany ESG Equity Fund	6.12%	6.78%	0.33%	0.76%	1.09%	1.81%	2.08%	18.54%	0.00%	0.00%	0.00%	0.00%
SSSYX State Street Equity 500 Index Fund Class K	1.29%	1.44%	1.63%	1.78%	2.16%	2.76%	1.86%	4.44%	5.18%	5.94%	2.07%	1.84%

Frequently Asked Questions

Can I hold both ESGIX and SSSYX in my portfolio?

With a correlation of 0.95, ESGIX and SSSYX 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, ESGIX or SSSYX?

ESGIX has higher volatility (3.04%) compared to SSSYX (2.82%). In terms of maximum drawdown, ESGIX dropped -36.04% vs SSSYX's -91.48%.

Which has better risk-adjusted returns?

SSSYX currently has the higher Sharpe Ratio (2.52 vs 2.18), 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.