GCBLX vs. SPY

Last updated Jun 4, 2026

GCBLX (Green Century Balanced Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - GCBLX is a Diversified Portfolio fund managed by Green Century, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, GCBLX returned 8.40%/yr vs 15.49%/yr for SPY. Their correlation of 0.81 suggests significant overlap in exposure. GCBLX charges 1.46%/yr vs 0.09%/yr for SPY.

Performance

GCBLX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Green Century Balanced Fund (GCBLX) 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, GCBLX achieves a 7.54% return, which is significantly lower than SPY's 10.91% return. Over the past 10 years, GCBLX has underperformed SPY with an annualized return of 8.40%, while SPY has yielded a comparatively higher 15.49% annualized return.

GCBLX

• 1D: 0.26%
• 1M: 4.30%
• YTD: 7.54%
• 6M: 7.18%
• 1Y: 14.56%
• 3Y*: 10.82%
• 5Y*: 5.60%
• 10Y*: 8.40%

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)

GCBLX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GCBLX Green Century Balanced Fund	7.54%	8.58%	9.67%	11.78%	-16.19%	16.43%	15.97%	20.90%	-2.14%	12.78%
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 GCBLX and SPY is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.95
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (10Y) Calculated over the trailing 10-year period	0.96
Correlation (All Time) Calculated using the full available price history since Feb 1, 1993	0.81

The correlation between GCBLX and SPY shifts across timeframes, from 0.81 (all time) to 0.96 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

GCBLX vs. SPY — Risk / Return Rank

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

GCBLX

GCBLX Risk / Return Rank: 42
GCBLX Sharpe Ratio Rank: 43
GCBLX Sortino Ratio Rank: 44
GCBLX Omega Ratio Rank: 42
GCBLX Calmar Ratio Rank: 35
GCBLX Martin Ratio Rank: 47

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.

GCBLX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Green Century Balanced Fund (GCBLX) 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.

	GCBLX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.91	2.38	-0.47
Sortino ratio: Return per unit of downside risk	2.81	3.24	-0.43
Omega ratio: Gain probability vs. loss probability	1.35	1.43	-0.08
Calmar ratio: Return relative to maximum drawdown	2.24	3.16	-0.93
Martin ratio: Return relative to average drawdown	9.86	14.72	-4.86
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GCBLX vs. SPY - Sharpe Ratio Comparison

The current GCBLX Sharpe Ratio is 1.91, which is comparable to the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of GCBLX 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

	GCBLX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.91	2.38	-0.47
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.50	0.82	-0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.73	0.87	-0.14
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.59	-0.11

Drawdowns

GCBLX vs. SPY - Drawdown Comparison

The maximum GCBLX drawdown since its inception was -64.30%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for GCBLX and SPY.

Drawdown Indicators

	GCBLX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-64.30%	-55.19%	-9.11%
Max Drawdown (1Y) Largest decline over 1 year	-6.81%	-8.88%	+2.07%
Max Drawdown (3Y) Largest decline over 3 years	-13.03%	-18.76%	+5.73%
Max Drawdown (5Y) Largest decline over 5 years	-21.88%	-24.50%	+2.62%
Max Drawdown (10Y) Largest decline over 10 years	-22.38%	-33.72%	+11.34%
Current Drawdown Current decline from peak	0.00%	-0.70%	+0.70%
Average Drawdown Average peak-to-trough decline	-14.56%	-9.05%	-5.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.54%	1.91%	-0.37%

Volatility

GCBLX vs. SPY - Volatility Comparison

The current volatility for Green Century Balanced Fund (GCBLX) is 2.30%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.84%. This indicates that GCBLX 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.

Volatility by Period

	GCBLX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.30%	2.84%	-0.54%
Volatility (6M) Calculated over the trailing 6-month period	6.28%	8.90%	-2.62%
Volatility (1Y) Calculated over the trailing 1-year period	7.97%	11.83%	-3.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.35%	17.05%	-5.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.59%	17.94%	-6.35%

GCBLX vs. SPY - Expense Ratio Comparison

GCBLX has a 1.46% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

GCBLX vs. SPY - Dividend Comparison

GCBLX's dividend yield for the trailing twelve months is around 4.52%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GCBLX Green Century Balanced Fund	4.52%	4.86%	7.00%	3.02%	1.88%	3.99%	3.61%	1.92%	2.36%	1.29%	2.14%	2.97%
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 GCBLX and SPY in my portfolio?

With a correlation of 0.94, GCBLX and SPY 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, GCBLX or SPY?

SPY has higher volatility (2.84%) compared to GCBLX (2.30%). In terms of maximum drawdown, GCBLX dropped -64.30% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs 1.91), 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.