SPYX vs. ESG
Compare and contrast key facts about State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and FlexShares STOXX US ESG Select Index Fund (ESG).
SPYX and ESG are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPYX is a passively managed fund by State Street that tracks the performance of the S&P 500 Fossil Fuel Reserves Free Index. It was launched on Nov 30, 2015. ESG is a passively managed fund by Northern Trust that tracks the performance of the STOXX USA ESG Select KPIs Index. It was launched on Jul 13, 2016. Both SPYX and ESG are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Performance
SPYX vs. ESG - Performance Comparison
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SPYX vs. ESG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SPYX State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF | -5.39% | 17.87% | 25.46% | 26.38% | -19.59% | 28.06% | 19.87% | 31.62% | -4.26% | 23.25% |
ESG FlexShares STOXX US ESG Select Index Fund | -3.94% | 16.04% | 20.22% | 27.86% | -19.89% | 28.48% | 20.75% | 31.74% | -5.17% | 22.78% |
Returns By Period
In the year-to-date period, SPYX achieves a -5.39% return, which is significantly lower than ESG's -3.94% return.
SPYX
- 1D
- 2.99%
- 1M
- -5.43%
- YTD
- -5.39%
- 6M
- -2.85%
- 1Y
- 17.05%
- 3Y*
- 18.16%
- 5Y*
- 11.21%
- 10Y*
- 14.02%
ESG
- 1D
- 2.39%
- 1M
- -4.95%
- YTD
- -3.94%
- 6M
- -1.14%
- 1Y
- 14.10%
- 3Y*
- 16.48%
- 5Y*
- 10.34%
- 10Y*
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SPYX vs. ESG - Expense Ratio Comparison
SPYX has a 0.20% expense ratio, which is lower than ESG's 0.32% expense ratio.
Return for Risk
SPYX vs. ESG — Risk / Return Rank
SPYX
ESG
SPYX vs. ESG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and FlexShares STOXX US ESG Select Index Fund (ESG). 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.
| SPYX | ESG | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.92 | 0.81 | +0.11 |
Sortino ratioReturn per unit of downside risk | 1.43 | 1.27 | +0.16 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.19 | +0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.49 | 1.19 | +0.30 |
Martin ratioReturn relative to average drawdown | 6.70 | 5.61 | +1.09 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SPYX | ESG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.92 | 0.81 | +0.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 0.62 | +0.04 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.78 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.75 | 0.74 | +0.01 |
Correlation
The correlation between SPYX and ESG is 0.89, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
SPYX vs. ESG - Dividend Comparison
SPYX's dividend yield for the trailing twelve months is around 0.98%, less than ESG's 1.01% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPYX State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF | 0.98% | 0.91% | 1.05% | 1.21% | 1.41% | 1.04% | 1.33% | 1.56% | 1.92% | 1.68% | 1.91% | 0.16% |
ESG FlexShares STOXX US ESG Select Index Fund | 1.01% | 0.96% | 1.18% | 1.10% | 1.38% | 1.03% | 1.33% | 1.51% | 1.72% | 1.52% | 0.92% | 0.00% |
Drawdowns
SPYX vs. ESG - Drawdown Comparison
The maximum SPYX drawdown since its inception was -32.84%, roughly equal to the maximum ESG drawdown of -32.53%. Use the drawdown chart below to compare losses from any high point for SPYX and ESG.
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Drawdown Indicators
| SPYX | ESG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.84% | -32.53% | -0.31% |
Max Drawdown (1Y)Largest decline over 1 year | -11.82% | -12.29% | +0.47% |
Max Drawdown (5Y)Largest decline over 5 years | -26.14% | -26.04% | -0.10% |
Max Drawdown (10Y)Largest decline over 10 years | -32.84% | — | — |
Current DrawdownCurrent decline from peak | -7.14% | -6.49% | -0.65% |
Average DrawdownAverage peak-to-trough decline | -4.59% | -5.14% | +0.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.63% | 2.61% | +0.02% |
Volatility
SPYX vs. ESG - Volatility Comparison
State Street SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) has a higher volatility of 5.52% compared to FlexShares STOXX US ESG Select Index Fund (ESG) at 4.75%. This indicates that SPYX's price experiences larger fluctuations and is considered to be riskier than ESG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SPYX | ESG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.52% | 4.75% | +0.77% |
Volatility (6M)Calculated over the trailing 6-month period | 9.71% | 8.67% | +1.04% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.63% | 17.43% | +1.20% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.05% | 16.75% | +0.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.99% | 18.46% | -0.47% |