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USXF vs. SPYX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

USXF vs. SPYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares ESG Advanced MSCI USA ETF (USXF) and SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.04%
12.06%
USXF
SPYX

Returns By Period

In the year-to-date period, USXF achieves a 29.61% return, which is significantly higher than SPYX's 25.78% return.


USXF

YTD

29.61%

1M

0.77%

6M

14.04%

1Y

38.63%

5Y (annualized)

N/A

10Y (annualized)

N/A

SPYX

YTD

25.78%

1M

0.85%

6M

12.06%

1Y

32.01%

5Y (annualized)

15.41%

10Y (annualized)

N/A

Key characteristics


USXFSPYX
Sharpe Ratio2.452.67
Sortino Ratio3.283.58
Omega Ratio1.441.49
Calmar Ratio3.933.92
Martin Ratio15.2317.56
Ulcer Index2.63%1.89%
Daily Std Dev16.32%12.42%
Max Drawdown-29.54%-32.84%
Current Drawdown-1.95%-1.47%

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USXF vs. SPYX - Expense Ratio Comparison

USXF has a 0.10% expense ratio, which is lower than SPYX's 0.20% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
Expense ratio chart for SPYX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for USXF: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Correlation

-0.50.00.51.00.9

The correlation between USXF and SPYX is 0.93, 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.

Risk-Adjusted Performance

USXF vs. SPYX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares ESG Advanced MSCI USA ETF (USXF) and 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.


Sharpe ratio
The chart of Sharpe ratio for USXF, currently valued at 2.45, compared to the broader market0.002.004.006.002.452.67
The chart of Sortino ratio for USXF, currently valued at 3.28, compared to the broader market-2.000.002.004.006.008.0010.0012.003.283.58
The chart of Omega ratio for USXF, currently valued at 1.44, compared to the broader market0.501.001.502.002.503.001.441.49
The chart of Calmar ratio for USXF, currently valued at 3.93, compared to the broader market0.005.0010.0015.003.933.92
The chart of Martin ratio for USXF, currently valued at 15.23, compared to the broader market0.0020.0040.0060.0080.00100.00120.0015.2317.56
USXF
SPYX

The current USXF Sharpe Ratio is 2.45, which is comparable to the SPYX Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of USXF and SPYX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.45
2.67
USXF
SPYX

Dividends

USXF vs. SPYX - Dividend Comparison

USXF's dividend yield for the trailing twelve months is around 0.98%, less than SPYX's 1.02% yield.


TTM202320222021202020192018201720162015
USXF
iShares ESG Advanced MSCI USA ETF
0.98%1.21%1.39%0.85%0.58%0.00%0.00%0.00%0.00%0.00%
SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
1.02%1.21%1.41%1.04%1.33%1.56%1.92%1.68%1.91%0.49%

Drawdowns

USXF vs. SPYX - Drawdown Comparison

The maximum USXF drawdown since its inception was -29.54%, smaller than the maximum SPYX drawdown of -32.84%. Use the drawdown chart below to compare losses from any high point for USXF and SPYX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.95%
-1.47%
USXF
SPYX

Volatility

USXF vs. SPYX - Volatility Comparison

iShares ESG Advanced MSCI USA ETF (USXF) has a higher volatility of 4.57% compared to SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) at 4.29%. This indicates that USXF'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.


2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
4.57%
4.29%
USXF
SPYX