PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
ESML vs. SLYG
Performance
Return for Risk
Drawdowns
Volatility
Dividends

ESML vs. SLYG

Last updated Aug 2, 2026
Documentation

ESML (iShares ESG Aware MSCI USA Small-Cap ETF) and SLYG (SPDR S&P 600 Small Cap Growth ETF) are both Small Cap Growth Equities funds - ESML tracks the MSCI USA Small Cap Extended ESG Focus Index while SLYG tracks the S&P SmallCap 600 Growth Index. Both are passively managed. Over the past 5 years, ESML returned 7.63%/yr vs 6.56%/yr for SLYG. Their 0.96 correlation means they have historically moved very closely together. ESML charges 0.17%/yr vs 0.15%/yr for SLYG.

Performance

ESML vs. SLYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and SPDR S&P 600 Small Cap Growth ETF (SLYG). The values are adjusted to include any dividend payments, if applicable.

Loading charts...

Returns By Period

In the year-to-date period, ESML achieves a 17.35% return, which is significantly lower than SLYG's 22.81% return.

ESML

1D
-0.17%
1M
-2.10%
6M
11.46%
YTD
17.35%
1Y
31.31%
3Y*
14.39%
5Y*
7.63%
10Y*
—
ALL TIME*
10.66%

SLYG

1D
-0.26%
1M
-1.84%
6M
17.16%
YTD
22.81%
1Y
32.40%
3Y*
14.03%
5Y*
6.56%
10Y*
11.13%
ALL TIME*
7.44%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

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

ESML

iShares ESG Aware MSCI USA Small-Cap ETF
$4.23M$5.41M$10.96M

SLYG

SPDR S&P 600 Small Cap Growth ETF
$10.44M$11.89M$13.41M

ESML vs. SLYG - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
ESML
iShares ESG Aware MSCI USA Small-Cap ETF		17.35%10.62%12.01%17.27%-17.28%19.28%19.56%29.12%-10.72%
SLYG
SPDR S&P 600 Small Cap Growth ETF		22.81%5.20%9.38%17.27%-21.26%22.42%19.48%20.97%-7.62%

Correlation

The correlation between ESML and SLYG is 0.95 - they have historically moved very closely together. At this level, their price movements offset little of one another.

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

0.95

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

0.97

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

0.97

Correlation (All Time)
Calculated using the full available price history since Apr 12, 2018

0.96

The correlation between ESML and SLYG has been stable across timeframes, ranging from 0.95 to 0.97 - a consistent structural relationship.

ESML vs. SLYG - Sectors Allocation Comparison

Sectors
ESML
SLYG

Technology

21.1%
17.7%

Industrials

17.7%
19.0%

Healthcare

13.8%
17.2%

Financial Services

13.6%
13.9%

Consumer Cyclical

10.8%
11.1%

Real Estate

6.5%
6.8%

Energy

4.4%
3.8%

Basic Materials

3.6%
3.1%

Consumer Defensive

3.4%
3.3%

Utilities

2.6%
1.6%

Communication Services

2.4%
2.7%

Technology

ESML
21.1%
SLYG
17.7%

Industrials

ESML
17.7%
SLYG
19.0%

Healthcare

ESML
13.8%
SLYG
17.2%

Financial Services

ESML
13.6%
SLYG
13.9%

Consumer Cyclical

ESML
10.8%
SLYG
11.1%

Real Estate

ESML
6.5%
SLYG
6.8%

Energy

ESML
4.4%
SLYG
3.8%

Basic Materials

ESML
3.6%
SLYG
3.1%

Consumer Defensive

ESML
3.4%
SLYG
3.3%

Utilities

ESML
2.6%
SLYG
1.6%

Communication Services

ESML
2.4%
SLYG
2.7%

Compare stocks, funds, or ETFs

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

iShares ESG Aware MSCI USA Small-Cap ETF

SPDR S&P 600 Small Cap Growth ETF

Often compared with ESML:
ESML vs. ISCGESML vs. XJRESML vs. FNDAESML vs. CWSESML vs. AVUVESML vs. VOOESML vs. VBK
Often compared with SLYG:
SLYG vs. SLYVSLYG vs. VBKSLYG vs. IWOSLYG vs. IJTSLYG vs. VIOGSLYG vs. IJRSLYG vs. XSMO

Return for Risk

ESML vs. SLYG — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.
ESML
ESML Risk / Return Rank: 7979
Overall Rank
ESML Sharpe Ratio Rank: 7676
Sharpe Ratio Rank
ESML Sortino Ratio Rank: 7878
Sortino Ratio Rank
ESML Omega Ratio Rank: 7171
Omega Ratio Rank
ESML Calmar Ratio Rank: 8585
Calmar Ratio Rank
ESML Martin Ratio Rank: 8383
Martin Ratio Rank
SLYG
SLYG Risk / Return Rank: 7979
Overall Rank
SLYG Sharpe Ratio Rank: 7575
Sharpe Ratio Rank
SLYG Sortino Ratio Rank: 7979
Sortino Ratio Rank
SLYG Omega Ratio Rank: 7171
Omega Ratio Rank
SLYG Calmar Ratio Rank: 8686
Calmar Ratio Rank
SLYG Martin Ratio Rank: 8383
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.

ESML vs. SLYG - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) and SPDR S&P 600 Small Cap Growth ETF (SLYG). 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.

ESMLSLYGDifference
Sharpe ratioReturn per unit of total volatility
1.71
1.70

+0.01

Sortino ratioReturn per unit of downside risk
2.51
2.55

-0.05

Omega ratioGain probability vs. loss probability

1.30

1.30

0.00

Calmar ratioReturn relative to maximum drawdown

3.24

3.33

-0.09

Martin ratioReturn relative to average drawdown

11.36

11.35

+0.01

ESML vs. SLYG - Sharpe Ratio Comparison

The current ESML Sharpe Ratio is 1.71, which is comparable to the SLYG Sharpe Ratio of 1.70. The chart below compares the historical Sharpe Ratios of ESML and SLYG, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading charts...

Drawdowns

ESML vs. SLYG - Drawdown Comparison

The maximum ESML drawdown since its inception was -41.97%, smaller than the maximum SLYG drawdown of -62.92%. Use the drawdown chart below to compare losses from any high point for ESML and SLYG.

Loading charts...

Drawdown Indicators

ESMLSLYGDifference

Max Drawdown

Largest peak-to-trough decline

-41.97%

-62.92%

+20.95%

Max Drawdown (1Y)

Largest decline over 1 year

-9.04%

-9.10%

+0.06%

Max Drawdown (3Y)

Largest decline over 3 years

-26.68%

-27.39%

+0.71%

Max Drawdown (5Y)

Largest decline over 5 years

-28.61%

-29.18%

+0.57%

Max Drawdown (10Y)

Largest decline over 10 years

—

-41.86%

—

Current Drawdown

Current decline from peak

-3.95%

-3.28%

-0.67%

Average Drawdown

Average peak-to-trough decline

-8.83%

-14.83%

+6.00%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.58%

2.67%

-0.09%

Volatility

ESML vs. SLYG - Volatility Comparison

The current volatility for iShares ESG Aware MSCI USA Small-Cap ETF (ESML) is 3.85%, while SPDR S&P 600 Small Cap Growth ETF (SLYG) has a volatility of 4.06%. This indicates that ESML experiences smaller price fluctuations and is considered to be less risky than SLYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Loading charts...

Volatility by Period

ESMLSLYGDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.85%

4.06%

-0.21%

Volatility (6M)

Calculated over the trailing 6-month period

12.35%

12.90%

-0.55%

Volatility (1Y)

Calculated over the trailing 1-year period

17.16%

17.83%

-0.67%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

21.20%

21.49%

-0.29%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

23.29%

22.72%

+0.57%

ESML vs. SLYG - Expense Ratio Comparison

ESML has a 0.17% expense ratio, which is higher than SLYG's 0.15% 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

ESML vs. SLYG - Dividend Comparison

ESML's dividend yield for the trailing twelve months is around 0.92%, more than SLYG's 0.66% yield.

PositionTTM20252024202320222021202020192018201720162015
ESML
iShares ESG Aware MSCI USA Small-Cap ETF		0.92%1.08%1.22%1.31%1.46%0.94%0.99%1.10%1.07%0.00%0.00%0.00%
SLYG
SPDR S&P 600 Small Cap Growth ETF		0.66%0.86%1.22%1.18%1.18%0.68%0.71%1.08%1.06%4.74%1.13%5.75%

Frequently Asked Questions

With a correlation of 0.95, ESML and SLYG 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.

SLYG has higher volatility (4.06%) compared to ESML (3.85%). In terms of maximum drawdown, ESML dropped -41.97% vs SLYG's -62.92%.

On 5-year performance, ESML leads with 7.63% vs 6.56% for SLYG. On fees, SLYG is cheaper at 0.15% per year. On volatility, ESML has been the lower-risk option at 3.85%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 5-year period, ESML has performed better with a 7.63% return vs 6.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SLYG is cheaper with a 0.15% expense ratio, compared with 0.17% for ESML.

ESML has the higher dividend yield at 0.92%, compared with 0.66% for SLYG.

ESML tracks MSCI USA Small Cap Extended ESG Focus Index, while SLYG tracks S&P SmallCap 600 Growth Index. They also come from different issuers: iShares and State Street. Their fees differ too: 0.17% for ESML and 0.15% for SLYG.

ESML currently has the higher Sharpe Ratio (1.71 vs 1.70), 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.

Portfolio Optimizer

Find the right allocation for ESML and SLYG

Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer