NATO vs. SPY

Last updated Jun 3, 2026

NATO (Themes Transatlantic Defense ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - NATO is a Aerospace & Defense fund tracking the Solactive Transatlantic Aerospace and Defense Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past year, NATO returned 16.17% vs 29.62% for SPY. A 0.54 correlation means they provide meaningful diversification when combined. NATO charges 0.35%/yr vs 0.09%/yr for SPY.

Performance

NATO vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Themes Transatlantic Defense ETF (NATO) 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, NATO achieves a 3.33% return, which is significantly lower than SPY's 11.69% return.

NATO

• 1D: -0.79%
• 1M: 2.75%
• YTD: 3.33%
• 6M: 11.18%
• 1Y: 16.17%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

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

NATO vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024
NATO Themes Transatlantic Defense ETF	3.33%	50.95%	0.35%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	1.46%

Correlation

The correlation between NATO and SPY is 0.53, 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	0.53
Correlation (All Time) Calculated using the full available price history since Oct 14, 2024	0.54

The correlation between NATO and SPY has been stable across timeframes, ranging from 0.53 to 0.54 - a consistent structural relationship.

Return for Risk

NATO vs. SPY — Risk / Return Rank

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

NATO

NATO Risk / Return Rank: 23
NATO Sharpe Ratio Rank: 23
NATO Sortino Ratio Rank: 23
NATO Omega Ratio Rank: 23
NATO Calmar Ratio Rank: 23
NATO Martin Ratio Rank: 23

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

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.

NATO vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Themes Transatlantic Defense ETF (NATO) 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.

	NATO	SPY	Difference
Sharpe ratio Return per unit of total volatility	0.79	2.52	-1.73
Sortino ratio Return per unit of downside risk	1.25	3.42	-2.17
Omega ratio Gain probability vs. loss probability	1.15	1.46	-0.31
Calmar ratio Return relative to maximum drawdown	1.11	3.42	-2.31
Martin ratio Return relative to average drawdown	2.90	15.93	-13.02
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NATO vs. SPY - Sharpe Ratio Comparison

The current NATO Sharpe Ratio is 0.79, which is lower than the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of NATO 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

	NATO	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.79	2.52	-1.73
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.84	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.41	0.59	+0.82

Drawdowns

NATO vs. SPY - Drawdown Comparison

The maximum NATO drawdown since its inception was -15.99%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NATO and SPY.

Drawdown Indicators

	NATO	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-15.99%	-55.19%	+39.20%
Max Drawdown (1Y) Largest decline over 1 year	-15.99%	-8.88%	-7.11%
Max Drawdown (3Y) Largest decline over 3 years	—	-18.76%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-10.63%	0.00%	-10.63%
Average Drawdown Average peak-to-trough decline	-3.69%	-9.05%	+5.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.12%	1.91%	+4.21%

Volatility

NATO vs. SPY - Volatility Comparison

Themes Transatlantic Defense ETF (NATO) has a higher volatility of 7.82% compared to State Street SPDR S&P 500 ETF (SPY) at 2.75%. This indicates that NATO's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NATO	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.82%	2.75%	+5.07%
Volatility (6M) Calculated over the trailing 6-month period	17.74%	8.89%	+8.85%
Volatility (1Y) Calculated over the trailing 1-year period	20.66%	11.81%	+8.85%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.59%	17.05%	+5.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.59%	17.94%	+4.65%

NATO vs. SPY - Expense Ratio Comparison

NATO has a 0.35% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

NATO vs. SPY - Dividend Comparison

NATO's dividend yield for the trailing twelve months is around 0.44%, less than SPY's 0.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NATO Themes Transatlantic Defense ETF	0.44%	0.45%	0.08%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.97%	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 NATO and SPY in my portfolio?

NATO and SPY have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NATO or SPY?

NATO has higher volatility (7.82%) compared to SPY (2.75%). In terms of maximum drawdown, NATO dropped -15.99% vs SPY's -55.19%.

Which ETF is better, NATO or SPY?

On 1-year performance, SPY leads with 29.62% vs 16.17% for NATO. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 2.75%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, NATO or SPY?

Over the 1-year period, SPY has performed better with a 29.62% return vs 16.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, NATO or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.35% for NATO.

Which ETF pays a higher dividend yield, NATO or SPY?

SPY has the higher dividend yield at 0.97%, compared with 0.44% for NATO.

What is the main difference between NATO and SPY?

NATO is categorized as Aerospace & Defense, while SPY is S&P 500. NATO tracks Solactive Transatlantic Aerospace and Defense Index, while SPY tracks S&P 500 Index. They also come from different issuers: Themes and State Street. Their fees differ too: 0.35% for NATO and 0.09% for SPY.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.52 vs 0.79), 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.