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SPY.AX vs. ESGI.AX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

SPY.AX vs. ESGI.AX

Last updated Jul 16, 2026
Documentation

SPY.AX (SPDR ETFs Australia - State Stree SPDR S&P 500 ETF) and ESGI.AX (VanEck MSCI International Sustainable Equity ETF) are both Global Equities funds - SPY.AX tracks the SPDR Index while ESGI.AX tracks the MSCI World ex Australia ex Fossil Fuel Select SRI and Low Carbon Capped Index. Both are passively managed. Over the past 5 years, SPY.AX returned 14.45%/yr vs 10.39%/yr for ESGI.AX. A 0.70 correlation means they provide meaningful diversification when combined.

Performance

SPY.AX vs. ESGI.AX - Performance Comparison

The chart below illustrates the hypothetical performance of a A$10,000 investment in SPDR ETFs Australia - State Stree SPDR S&P 500 ETF (SPY.AX) and VanEck MSCI International Sustainable Equity ETF (ESGI.AX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, SPY.AX achieves a 5.81% return, which is significantly lower than ESGI.AX's 6.43% return.

SPY.AX

1D
0.05%
1M
2.03%
6M
4.83%
YTD
5.81%
1Y
14.05%
3Y*
19.36%
5Y*
14.45%
10Y*
15.99%

ESGI.AX

1D
-0.45%
1M
4.59%
6M
4.93%
YTD
6.43%
1Y
8.19%
3Y*
14.32%
5Y*
10.39%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

SPY.AX vs. ESGI.AX - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
SPY.AX
SPDR ETFs Australia - State Stree SPDR S&P 500 ETF		5.81%9.61%37.31%25.27%-12.58%37.11%7.02%32.40%4.01%
ESGI.AX
VanEck MSCI International Sustainable Equity ETF		6.43%6.29%23.14%16.95%-7.32%24.77%4.97%28.97%-2.79%

Correlation

The correlation between SPY.AX and ESGI.AX is 0.58, 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

0.58

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

0.71

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

0.75

Correlation (All Time)
Calculated using the full available price history since Mar 6, 2018

0.70

The correlation between SPY.AX and ESGI.AX shifts across timeframes, from 0.58 (1 year) to 0.75 (5 years), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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SPDR ETFs Australia - State Stree SPDR S&P 500 ETF

VanEck MSCI International Sustainable Equity ETF

Return for Risk

SPY.AX vs. ESGI.AX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
SPY.AX
SPY.AX Risk / Return Rank: 4040
Overall Rank
SPY.AX Sharpe Ratio Rank: 4848
Sharpe Ratio Rank
SPY.AX Sortino Ratio Rank: 4545
Sortino Ratio Rank
SPY.AX Omega Ratio Rank: 4747
Omega Ratio Rank
SPY.AX Calmar Ratio Rank: 3030
Calmar Ratio Rank
SPY.AX Martin Ratio Rank: 3030
Martin Ratio Rank
ESGI.AX
ESGI.AX Risk / Return Rank: 1919
Overall Rank
ESGI.AX Sharpe Ratio Rank: 2121
Sharpe Ratio Rank
ESGI.AX Sortino Ratio Rank: 2121
Sortino Ratio Rank
ESGI.AX Omega Ratio Rank: 2020
Omega Ratio Rank
ESGI.AX Calmar Ratio Rank: 1717
Calmar Ratio Rank
ESGI.AX Martin Ratio Rank: 1717
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.

SPY.AX vs. ESGI.AX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR ETFs Australia - State Stree SPDR S&P 500 ETF (SPY.AX) and VanEck MSCI International Sustainable Equity ETF (ESGI.AX). 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.

SPY.AXESGI.AXDifference
Sharpe ratioReturn per unit of total volatility
1.39
0.62

+0.76

Sortino ratioReturn per unit of downside risk
1.92
0.98

+0.94

Omega ratioGain probability vs. loss probability

1.25

1.12

+0.13

Calmar ratioReturn relative to maximum drawdown

1.26

0.60

+0.66

Martin ratioReturn relative to average drawdown

3.39

1.38

+2.02

SPY.AX vs. ESGI.AX - Sharpe Ratio Comparison

The current SPY.AX Sharpe Ratio is 1.39, which is higher than the ESGI.AX Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of SPY.AX and ESGI.AX, 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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Drawdowns

SPY.AX vs. ESGI.AX - Drawdown Comparison

The maximum SPY.AX drawdown since its inception was -23.49%, roughly equal to the maximum ESGI.AX drawdown of -22.88%. Use the drawdown chart below to compare losses from any high point for SPY.AX and ESGI.AX.

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Drawdown Indicators

SPY.AXESGI.AXDifference

Max Drawdown

Largest peak-to-trough decline

-23.49%

-22.88%

-0.61%

Max Drawdown (1Y)

Largest decline over 1 year

-11.39%

-14.92%

+3.53%

Max Drawdown (3Y)

Largest decline over 3 years

-17.35%

-14.92%

-2.43%

Max Drawdown (5Y)

Largest decline over 5 years

-20.45%

-19.38%

-1.07%

Max Drawdown (10Y)

Largest decline over 10 years

-23.49%

—

—

Current Drawdown

Current decline from peak

-0.35%

-1.00%

+0.65%

Average Drawdown

Average peak-to-trough decline

-3.92%

-4.51%

+0.59%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.26%

6.53%

-2.27%

Volatility

SPY.AX vs. ESGI.AX - Volatility Comparison

The current volatility for SPDR ETFs Australia - State Stree SPDR S&P 500 ETF (SPY.AX) is 2.44%, while VanEck MSCI International Sustainable Equity ETF (ESGI.AX) has a volatility of 3.61%. This indicates that SPY.AX experiences smaller price fluctuations and is considered to be less risky than ESGI.AX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

SPY.AXESGI.AXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.44%

3.61%

-1.17%

Volatility (6M)

Calculated over the trailing 6-month period

7.79%

12.18%

-4.39%

Volatility (1Y)

Calculated over the trailing 1-year period

10.35%

14.33%

-3.98%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

13.94%

13.00%

+0.94%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

14.76%

13.86%

+0.90%

Dividends

SPY.AX vs. ESGI.AX - Dividend Comparison

SPY.AX's dividend yield for the trailing twelve months is around 1.00%, less than ESGI.AX's 2.71% yield.

PositionTTM20252024202320222021202020192018201720162015
ESGI.AX
VanEck MSCI International Sustainable Equity ETF		2.71%6.43%6.58%3.35%2.39%1.42%1.50%1.55%0.52%0.00%0.00%0.00%
SPY.AX
SPDR ETFs Australia - State Stree SPDR S&P 500 ETF		1.00%1.04%1.15%1.35%1.50%1.03%1.60%1.64%1.80%1.72%1.71%1.80%

Frequently Asked Questions

SPY.AX and ESGI.AX have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

SPY.AX tracks SPDR Index, while ESGI.AX tracks MSCI World ex Australia ex Fossil Fuel Select SRI and Low Carbon Capped Index. They also come from different issuers: SPDR and VanEck.

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