SSEYX vs. HESGX

Last updated Jul 18, 2026

SSEYX (State Street Equity 500 Index II Portfolio) and HESGX (Horizon ESG Defensive Core Fund) are both Large Cap Blend Equities funds. Over the past 5 years, SSEYX returned 13.25%/yr vs 9.73%/yr for HESGX. With a 0.98 correlation, they move nearly in lockstep. SSEYX charges 0.02%/yr vs 1.02%/yr for HESGX.

Performance

SSEYX vs. HESGX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street Equity 500 Index II Portfolio (SSEYX) and Horizon ESG Defensive Core Fund (HESGX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SSEYX achieves a 10.74% return, which is significantly higher than HESGX's 8.43% return.

SSEYX

• 1D: -0.51%
• 1M: 1.59%
• 6M: 9.17%
• YTD: 10.74%
• 1Y: 20.72%
• 3Y*: 20.01%
• 5Y*: 13.25%
• 10Y*: 15.08%

HESGX

• 1D: -0.24%
• 1M: 2.56%
• 6M: 7.40%
• YTD: 8.43%
• 1Y: 19.29%
• 3Y*: 15.64%
• 5Y*: 9.73%
• 10Y*: —

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

SSEYX vs. HESGX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
SSEYX State Street Equity 500 Index II Portfolio	10.74%	17.52%	25.01%	26.29%	-18.18%	28.58%	18.28%	-0.33%
HESGX Horizon ESG Defensive Core Fund	8.43%	9.56%	22.41%	23.52%	-18.83%	27.45%	21.75%	-0.24%

Correlation

The correlation between SSEYX and HESGX 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	0.98
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 SSEYX and HESGX has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.

Return for Risk

SSEYX vs. HESGX — Risk / Return Rank

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

SSEYX

SSEYX Risk / Return Rank: 56
SSEYX Sharpe Ratio Rank: 53
SSEYX Sortino Ratio Rank: 50
SSEYX Omega Ratio Rank: 52
SSEYX Calmar Ratio Rank: 56
SSEYX Martin Ratio Rank: 69

HESGX

HESGX Risk / Return Rank: 47
HESGX Sharpe Ratio Rank: 48
HESGX Sortino Ratio Rank: 44
HESGX Omega Ratio Rank: 46
HESGX Calmar Ratio Rank: 43
HESGX Martin Ratio Rank: 52

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.

SSEYX vs. HESGX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street Equity 500 Index II Portfolio (SSEYX) and Horizon ESG Defensive Core Fund (HESGX). 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.

	SSEYX	HESGX	Difference
Sharpe ratio: Return per unit of total volatility	1.71	1.61	+0.10
Sortino ratio: Return per unit of downside risk	2.36	2.22	+0.14
Omega ratio: Gain probability vs. loss probability	1.31	1.29	+0.02
Calmar ratio: Return relative to maximum drawdown	2.42	2.13	+0.29
Martin ratio: Return relative to average drawdown	10.60	8.79	+1.81

SSEYX vs. HESGX - Sharpe Ratio Comparison

The current SSEYX Sharpe Ratio is 1.71, which is comparable to the HESGX Sharpe Ratio of 1.61. The chart below compares the historical Sharpe Ratios of SSEYX and HESGX, 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

SSEYX vs. HESGX - Drawdown Comparison

The maximum SSEYX drawdown since its inception was -33.75%, which is greater than HESGX's maximum drawdown of -24.43%. Use the drawdown chart below to compare losses from any high point for SSEYX and HESGX.

Drawdown Indicators

	SSEYX	HESGX	Difference
Max Drawdown Largest peak-to-trough decline	-33.75%	-24.43%	-9.32%
Max Drawdown (1Y) Largest decline over 1 year	-8.88%	-9.42%	+0.54%
Max Drawdown (3Y) Largest decline over 3 years	-18.74%	-18.79%	+0.05%
Max Drawdown (5Y) Largest decline over 5 years	-24.52%	-22.08%	-2.44%
Max Drawdown (10Y) Largest decline over 10 years	-33.75%	—	—
Current Drawdown Current decline from peak	-0.86%	-0.83%	-0.03%
Average Drawdown Average peak-to-trough decline	-4.07%	-6.02%	+1.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.02%	2.27%	-0.25%

Volatility

SSEYX vs. HESGX - Volatility Comparison

State Street Equity 500 Index II Portfolio (SSEYX) and Horizon ESG Defensive Core Fund (HESGX) have volatilities of 3.25% and 3.14%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SSEYX	HESGX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.25%	3.14%	+0.11%
Volatility (6M) Calculated over the trailing 6-month period	9.99%	9.77%	+0.22%
Volatility (1Y) Calculated over the trailing 1-year period	12.54%	12.43%	+0.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.02%	14.66%	+2.36%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.05%	16.18%	+1.87%

SSEYX vs. HESGX - Expense Ratio Comparison

SSEYX has a 0.02% expense ratio, which is lower than HESGX's 1.02% expense ratio.

Dividends

SSEYX vs. HESGX - Dividend Comparison

SSEYX's dividend yield for the trailing twelve months is around 1.25%, less than HESGX's 15.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HESGX Horizon ESG Defensive Core Fund	15.38%	16.68%	0.29%	0.61%	0.52%	2.51%	2.75%	0.00%	0.00%	0.00%	0.00%	0.00%
SSEYX State Street Equity 500 Index II Portfolio	1.25%	1.38%	1.93%	1.46%	1.57%	2.48%	3.63%	2.36%	5.91%	5.37%	2.29%	3.47%

Frequently Asked Questions

Can I hold both SSEYX and HESGX in my portfolio?

With a correlation of 0.99, SSEYX and HESGX 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, SSEYX or HESGX?

SSEYX has higher volatility (3.25%) compared to HESGX (3.14%). In terms of maximum drawdown, SSEYX dropped -33.75% vs HESGX's -24.43%.

Which has better risk-adjusted returns?

SSEYX currently has the higher Sharpe Ratio (1.71 vs 1.61), 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.