ESMV vs. SPY
ESMV (iShares ESG MSCI USA Min Vol Factor ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - ESMV is a Large Cap Blend Equities fund tracking the MSCI USA Minimum Volatility Extended ESG Reduced Carbon Target Index - Benchmark TR Gross, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 3 years, ESMV returned 11.27%/yr vs 22.35%/yr for SPY. A 0.75 correlation means they provide meaningful diversification when combined. ESMV charges 0.18%/yr vs 0.09%/yr for SPY.
Performance
ESMV vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, ESMV achieves a 5.28% return, which is significantly lower than SPY's 10.91% return.
ESMV
- 1D
- -0.78%
- 1M
- 3.36%
- YTD
- 5.28%
- 6M
- 5.39%
- 1Y
- 6.76%
- 3Y*
- 11.27%
- 5Y*
- —
- 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%
ESMV vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
ESMV iShares ESG MSCI USA Min Vol Factor ETF | 5.28% | 5.34% | 13.06% | 12.20% | -11.08% | 3.20% |
SPY State Street SPDR S&P 500 ETF | 10.91% | 17.72% | 24.89% | 26.18% | -18.18% | 2.08% |
Correlation
The correlation between ESMV and SPY is 0.63, 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 | 0.63 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.72 |
Correlation (All Time) Calculated using the full available price history since Nov 5, 2021 | 0.75 |
The correlation between ESMV and SPY shifts across timeframes, from 0.63 (1 year) to 0.75 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
ESMV vs. SPY — Risk / Return Rank
ESMV
SPY
ESMV vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares ESG MSCI USA Min Vol Factor ETF (ESMV) 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.
| ESMV | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.70 | ||
| Sortino ratioReturn per unit of downside risk | -2.24 | ||
| Omega ratioGain probability vs. loss probability | 1.13 | 1.43 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | 0.97 | 3.16 | -2.19 |
| Martin ratioReturn relative to average drawdown | 2.97 | 14.72 | -11.74 |
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
| ESMV | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.67 | 2.38 | -1.70 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.82 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.87 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.44 | 0.59 | -0.15 |
Drawdowns
ESMV vs. SPY - Drawdown Comparison
The maximum ESMV drawdown since its inception was -19.77%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ESMV and SPY.
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Drawdown Indicators
| ESMV | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.77% | -55.19% | +35.42% |
Max Drawdown (1Y)Largest decline over 1 year | -7.01% | -8.88% | +1.87% |
Max Drawdown (3Y)Largest decline over 3 years | -12.16% | -18.76% | +6.60% |
Max Drawdown (5Y)Largest decline over 5 years | — | -24.50% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -0.78% | -0.70% | -0.08% |
Average DrawdownAverage peak-to-trough decline | -5.33% | -9.05% | +3.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.28% | 1.91% | +0.37% |
Volatility
ESMV vs. SPY - Volatility Comparison
The current volatility for iShares ESG MSCI USA Min Vol Factor ETF (ESMV) is 2.25%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.84%. This indicates that ESMV experiences smaller price fluctuations and is considered to be less risky 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
| ESMV | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.25% | 2.84% | -0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 6.26% | 8.90% | -2.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.06% | 11.83% | -1.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.24% | 17.05% | -3.81% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.24% | 17.94% | -4.70% |
ESMV vs. SPY - Expense Ratio Comparison
ESMV has a 0.18% 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
ESMV vs. SPY - Dividend Comparison
ESMV's dividend yield for the trailing twelve months is around 1.58%, more than SPY's 0.98% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ESMV iShares ESG MSCI USA Min Vol Factor ETF | 1.58% | 1.56% | 1.71% | 1.75% | 1.66% | 0.24% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 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
ESMV and SPY have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (2.84%) compared to ESMV (2.25%). In terms of maximum drawdown, ESMV dropped -19.77% vs SPY's -55.19%.
On 3-year performance, SPY leads with 22.35% vs 11.27% for ESMV. On fees, SPY is cheaper at 0.09% per year. On volatility, ESMV has been the lower-risk option at 2.25%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 3-year period, SPY has performed better with a 22.35% return vs 11.27%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.18% for ESMV.
ESMV has the higher dividend yield at 1.58%, compared with 0.98% for SPY.
ESMV is categorized as Large Cap Blend Equities, while SPY is S&P 500. ESMV tracks MSCI USA Minimum Volatility Extended ESG Reduced Carbon Target Index - Benchmark TR Gross, while SPY tracks S&P 500 Index. They also come from different issuers: iShares and State Street. Their fees differ too: 0.18% for ESMV and 0.09% for SPY.
SPY currently has the higher Sharpe Ratio (2.38 vs 0.67), 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.
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