HESGX vs. SPY

Last updated Jun 24, 2026

HESGX (Horizon ESG Defensive Core Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - HESGX is a Large Cap Blend Equities fund managed by Horizon Investments, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 5 years, HESGX returned 9.80%/yr vs 13.05%/yr for SPY. With a 0.98 correlation, they move nearly in lockstep. HESGX charges 1.02%/yr vs 0.09%/yr for SPY.

Performance

HESGX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Horizon ESG Defensive Core Fund (HESGX) 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, HESGX achieves a 6.11% return, which is significantly lower than SPY's 8.15% return.

HESGX

• 1D: -0.65%
• 1M: -1.38%
• YTD: 6.11%
• 6M: 5.15%
• 1Y: 22.25%
• 3Y*: 16.43%
• 5Y*: 9.80%
• 10Y*: —

SPY

• 1D: -1.45%
• 1M: -1.36%
• YTD: 8.15%
• 6M: 7.20%
• 1Y: 23.59%
• 3Y*: 20.68%
• 5Y*: 13.05%
• 10Y*: 15.53%

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

HESGX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
HESGX Horizon ESG Defensive Core Fund	6.11%	9.56%	22.41%	23.52%	-18.83%	27.45%	21.75%	-0.24%
SPY State Street SPDR S&P 500 ETF	8.15%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	-0.33%

Correlation

The correlation between HESGX and SPY is 0.99 - 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	0.99
Correlation (3Y) Calculated over the trailing 3-year period	0.97
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (All Time) Calculated using the full available price history since Dec 27, 2019	0.98

The correlation between HESGX and SPY has been stable across timeframes, ranging from 0.97 to 0.99 - a consistent structural relationship.

Return for Risk

HESGX vs. SPY — Risk / Return Rank

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

HESGX

HESGX Risk / Return Rank: 49
HESGX Sharpe Ratio Rank: 48
HESGX Sortino Ratio Rank: 45
HESGX Omega Ratio Rank: 47
HESGX Calmar Ratio Rank: 47
HESGX Martin Ratio Rank: 57

SPY

SPY Risk / Return Rank: 59
SPY Sharpe Ratio Rank: 58
SPY Sortino Ratio Rank: 56
SPY Omega Ratio Rank: 57
SPY Calmar Ratio Rank: 56
SPY Martin Ratio Rank: 67

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.

HESGX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Horizon ESG Defensive Core Fund (HESGX) 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.

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.

	HESGX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.90	1.90	0.00
Sortino ratio: Return per unit of downside risk	2.58	2.58	0.00
Omega ratio: Gain probability vs. loss probability	1.34	1.34	0.00
Calmar ratio: Return relative to maximum drawdown	2.50	2.67	-0.16
Martin ratio: Return relative to average drawdown	10.84	11.92	-1.08

HESGX vs. SPY - Sharpe Ratio Comparison

The current HESGX Sharpe Ratio is 1.90, which is comparable to the SPY Sharpe Ratio of 1.90. The chart below compares the historical Sharpe Ratios of HESGX 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.

Drawdowns

HESGX vs. SPY - Drawdown Comparison

The maximum HESGX drawdown since its inception was -24.43%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for HESGX and SPY.

Drawdown Indicators

	HESGX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-24.43%	-55.19%	+30.76%
Max Drawdown (1Y) Largest decline over 1 year	-9.42%	-8.88%	-0.54%
Max Drawdown (3Y) Largest decline over 3 years	-18.79%	-18.76%	-0.03%
Max Drawdown (5Y) Largest decline over 5 years	-22.08%	-24.50%	+2.42%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-2.96%	-3.17%	+0.21%
Average Drawdown Average peak-to-trough decline	-6.06%	-9.04%	+2.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.17%	1.98%	+0.19%

Volatility

HESGX vs. SPY - Volatility Comparison

The current volatility for Horizon ESG Defensive Core Fund (HESGX) is 4.50%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 4.87%. This indicates that HESGX 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

	HESGX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.50%	4.87%	-0.37%
Volatility (6M) Calculated over the trailing 6-month period	9.69%	9.85%	-0.16%
Volatility (1Y) Calculated over the trailing 1-year period	12.46%	12.50%	-0.04%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.65%	17.15%	-2.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.24%	17.95%	-1.71%

HESGX vs. SPY - Expense Ratio Comparison

HESGX has a 1.02% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

HESGX vs. SPY - Dividend Comparison

HESGX's dividend yield for the trailing twelve months is around 15.72%, more than SPY's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HESGX Horizon ESG Defensive Core Fund	15.72%	16.68%	0.29%	0.61%	0.52%	2.51%	2.75%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	1.03%	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 HESGX and SPY in my portfolio?

With a correlation of 0.99, HESGX 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, HESGX or SPY?

SPY has higher volatility (4.87%) compared to HESGX (4.50%). In terms of maximum drawdown, HESGX dropped -24.43% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.90 vs 1.90), 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.