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SDG vs. SPYX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SDG vs. SPYX

Last updated Jun 5, 2026

SDG (iShares MSCI Global Sustainable Development Goals ETF) and SPYX (State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF) are both exchange-traded funds - SDG is a Global Equities fund tracking the MSCI ACWI Sustainable Development Index, while SPYX is a S&P 500 fund tracking the S&P 500 Fossil Fuel Reserves Free Index. Both are passively managed. Over the past 10 years, SDG returned 8.52%/yr vs 15.56%/yr for SPYX. A 0.68 correlation means they provide meaningful diversification when combined. SDG charges 0.50%/yr vs 0.20%/yr for SPYX.

Performance

SDG vs. SPYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Global Sustainable Development Goals ETF (SDG) and State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

The year-to-date returns for both stocks are quite close, with SDG having a 10.59% return and SPYX slightly lower at 10.52%. Over the past 10 years, SDG has underperformed SPYX with an annualized return of 8.52%, while SPYX has yielded a comparatively higher 15.56% annualized return.

SDG

1D
0.64%
1M
4.06%
YTD
10.59%
6M
10.55%
1Y
25.38%
3Y*
7.92%
5Y*
0.79%
10Y*
8.52%

SPYX

1D
0.44%
1M
4.70%
YTD
10.52%
6M
10.53%
1Y
27.57%
3Y*
22.55%
5Y*
13.51%
10Y*
15.56%
*Multi-year figures are annualized to reflect compound growth (CAGR)

SDG vs. SPYX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
SDG
iShares MSCI Global Sustainable Development Goals ETF		10.59%20.19%-10.09%4.59%-11.51%-1.20%44.36%25.38%-8.32%27.28%
SPYX
State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF		10.52%17.87%25.46%26.38%-19.59%28.06%19.87%31.62%-4.26%23.25%

Correlation

The correlation between SDG and SPYX is 0.70, 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

0.70

Correlation (3Y)
Calculated over the trailing 3-year period

0.62

Correlation (5Y)
Calculated over the trailing 5-year period

0.67

Correlation (10Y)
Calculated over the trailing 10-year period

0.68

Correlation (All Time)
Calculated using the full available price history since Apr 25, 2016

0.68

The correlation between SDG and SPYX has been stable across timeframes, ranging from 0.62 to 0.70 - a consistent structural relationship.

Compare stocks, funds, or ETFs

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iShares MSCI Global Sustainable Development Goals ETF

State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF

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Often compared with SPYX:
SPYX vs. SPYSPYX vs. EFIVSPYX vs. QQQSPYX vs. SPYGSPYX vs. EFAXSPYX vs. USXFSPYX vs. SCHD

Return for Risk

SDG vs. SPYX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SDG
SDG Risk / Return Rank: 5555
Overall Rank
SDG Sharpe Ratio Rank: 5252
Sharpe Ratio Rank
SDG Sortino Ratio Rank: 5151
Sortino Ratio Rank
SDG Omega Ratio Rank: 5252
Omega Ratio Rank
SDG Calmar Ratio Rank: 6060
Calmar Ratio Rank
SDG Martin Ratio Rank: 6161
Martin Ratio Rank
SPYX
SPYX Risk / Return Rank: 6868
Overall Rank
SPYX Sharpe Ratio Rank: 7171
Sharpe Ratio Rank
SPYX Sortino Ratio Rank: 7070
Sortino Ratio Rank
SPYX Omega Ratio Rank: 7070
Omega Ratio Rank
SPYX Calmar Ratio Rank: 5858
Calmar Ratio Rank
SPYX Martin Ratio Rank: 7070
Martin Ratio Rank
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.

SDG vs. SPYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Global Sustainable Development Goals ETF (SDG) and State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX). 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.

SDGSPYXDifference
Sharpe ratioReturn per unit of total volatility
1.77
2.29

-0.52

Sortino ratioReturn per unit of downside risk
2.47
3.13

-0.66

Omega ratioGain probability vs. loss probability

1.32

1.41

-0.09

Calmar ratioReturn relative to maximum drawdown

2.94

2.81

+0.12

Martin ratioReturn relative to average drawdown

10.77

12.94

-2.17

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SDG vs. SPYX - Sharpe Ratio Comparison

The current SDG Sharpe Ratio is 1.77, which is comparable to the SPYX Sharpe Ratio of 2.29. The chart below compares the historical Sharpe Ratios of SDG and SPYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

SDGSPYXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.77

2.29

-0.52

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.05

0.80

-0.75

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.51

0.87

-0.35

Sharpe Ratio (All Time)

Calculated using the full available price history

0.52

0.83

-0.32

Drawdowns

SDG vs. SPYX - Drawdown Comparison

The maximum SDG drawdown since its inception was -30.35%, smaller than the maximum SPYX drawdown of -32.84%. Use the drawdown chart below to compare losses from any high point for SDG and SPYX.

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Drawdown Indicators

SDGSPYXDifference

Max Drawdown

Largest peak-to-trough decline

-30.35%

-32.84%

+2.49%

Max Drawdown (1Y)

Largest decline over 1 year

-8.68%

-9.84%

+1.16%

Max Drawdown (3Y)

Largest decline over 3 years

-22.92%

-18.74%

-4.18%

Max Drawdown (5Y)

Largest decline over 5 years

-30.35%

-26.14%

-4.21%

Max Drawdown (10Y)

Largest decline over 10 years

-30.35%

-32.84%

+2.49%

Current Drawdown

Current decline from peak

0.00%

-0.34%

+0.34%

Average Drawdown

Average peak-to-trough decline

-9.66%

-4.53%

-5.13%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.36%

2.14%

+0.22%

Volatility

SDG vs. SPYX - Volatility Comparison

iShares MSCI Global Sustainable Development Goals ETF (SDG) has a higher volatility of 5.27% compared to State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) at 2.96%. This indicates that SDG's price experiences larger fluctuations and is considered to be riskier than SPYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

SDGSPYXDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.27%

2.96%

+2.31%

Volatility (6M)

Calculated over the trailing 6-month period

11.08%

9.23%

+1.85%

Volatility (1Y)

Calculated over the trailing 1-year period

14.42%

12.11%

+2.31%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

15.63%

17.04%

-1.41%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

16.68%

18.00%

-1.32%

SDG vs. SPYX - Expense Ratio Comparison

SDG has a 0.50% expense ratio, which is higher than SPYX's 0.20% expense ratio.

Dividends

SDG vs. SPYX - Dividend Comparison

SDG's dividend yield for the trailing twelve months is around 1.81%, more than SPYX's 0.84% yield.

PositionTTM20252024202320222021202020192018201720162015
SDG
iShares MSCI Global Sustainable Development Goals ETF		1.81%2.00%1.95%1.77%1.82%1.66%0.97%1.39%2.47%2.54%1.34%0.00%
SPYX
State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF		0.84%0.91%1.05%1.21%1.41%1.04%1.33%1.56%1.92%1.68%1.91%0.16%

Frequently Asked Questions

SDG and SPYX have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SDG has higher volatility (5.27%) compared to SPYX (2.96%). In terms of maximum drawdown, SDG dropped -30.35% vs SPYX's -32.84%.

On 10-year performance, SPYX leads with 15.56% vs 8.52% for SDG. On fees, SPYX is cheaper at 0.20% per year. On volatility, SPYX has been the lower-risk option at 2.96%. The better choice depends on whether you care most about return, fees, risk, or income.

Over the 10-year period, SPYX has performed better with a 15.56% return vs 8.52%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

SPYX is cheaper with a 0.20% expense ratio, compared with 0.50% for SDG.

SDG has the higher dividend yield at 1.81%, compared with 0.84% for SPYX.

SDG is categorized as Global Equities, while SPYX is S&P 500. SDG tracks MSCI ACWI Sustainable Development Index, while SPYX tracks S&P 500 Fossil Fuel Reserves Free Index. They also come from different issuers: iShares and State Street. Their fees differ too: 0.50% for SDG and 0.20% for SPYX.

SPYX currently has the higher Sharpe Ratio (2.29 vs 1.77), 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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