SPDR® S&P 500® ESG ETF

10-Year Study

EFIV.US · · US · ETF

Executive Summary: SPDR® S&P 500® ESG ETF has compounded at 16.4% annually over the last 10 years, with a maximum drawdown of 24.0% and an annualized volatility of 13.4%.

1Y CAGR
+25.3%
3Y CAGR
+20.7%
5Y CAGR
+13.3%
10Y CAGR
+16.4%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
24.0%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.84
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.49
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +31.7%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -17.8%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
83%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.8-1.0-5.47.6————————2.6%
20251.6-1.0-5.6-1.65.75.62.72.33.72.80.70.818.5%
20241.55.03.2-3.55.43.41.22.21.9-1.15.9-3.023.8%
20236.4-2.84.42.00.96.43.5-1.6-5.0-1.89.04.427.9%
2022-5.0-2.74.0-9.40.5-8.09.0-4.3-9.58.85.5-5.8-17.8%
2021-0.42.34.45.60.52.72.33.1-4.58.20.14.131.7%
2020———————8.3-4.2-3.310.73.414.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 13.4%. The dominant macroeconomic risk driver is VTI.US, accounting for 46.2% of variance. Idiosyncratic stock-specific factors contribute 0.9%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2020-07-0110000
2020-08-0110827.339271540699
2020-09-0110371.7082635153
2020-10-0110030.126113413882
2020-11-0111104.718229120734
2020-12-0111482.811535408766
2021-01-0111439.950612928831
2021-02-0111700.608519269777
2021-03-0112217.655877943382
2021-04-0112897.151424287857
2021-05-0112961.636828644503
2021-06-0113317.470676426492
2021-07-0113629.985007496252
2021-08-0114059.264485404357
2021-09-0113423.723432401446
2021-10-0114518.881735602787
2021-11-0114527.87723785166
2021-12-0115122.568127700855
2022-01-0114371.99047535056
2022-02-0113986.665490784018
2022-03-0114544.633565570157
2022-04-0113181.268189434693
2022-05-0113251.60948937296
2022-06-0112187.67087044713
2022-07-0113280.642031925214
2022-08-0112709.092512567244
2022-09-0111495.511067995414
2022-10-0112508.616280095246
2022-11-0113197.530646441486
2022-12-0112437.886938883497
2023-01-0113238.592468471648
2023-02-0112872.17567686745
2023-03-0113432.366169856246
2023-04-0113704.876973278066
2023-05-0113834.341652703062
2023-06-0114719.957668224712
2023-07-0115232.842402328248
2023-08-0114990.06967104683
2023-09-0114235.929094276391
2023-10-0113984.090307787283
2023-11-0115243.954493341565
2023-12-0115910.609401181764
2024-01-0116144.774671487785
2024-02-0116947.208748566893
2024-03-0117491.630655260607
2024-04-0116876.796895669813
2024-05-0117792.115706852455
2024-06-0118401.552165093923
2024-07-0118616.421201164125
2024-08-0119018.079195696268
2024-09-0119383.261310521208
2024-10-0119171.2143928036
2024-11-0120304.436017285476
2024-12-0119697.715847958374
2025-01-0120018.55542816827
2025-02-0119819.772466707822
2025-03-0118715.265896463534
2025-04-0118407.443337154953
2025-05-0119460.410970985096
2025-06-0120545.303818678894
2025-07-0121097.980421553926
2025-08-0121580.456830408322
2025-09-0122371.778816474114
2025-10-0122994.47923097275
2025-11-0123152.80007055296
2025-12-0123335.39112796543
2026-01-0123758.708880853686
2026-02-0123525.884116765144
2026-03-0122252.403210159628
2026-04-0123935.091277890464
Annual Return Matrix
YearAnnual Return
20210.31697433865115854
2022-0.17752812658186512
20230.27920518005689443
20240.23802397201048264
20250.18467497998678328
20260.02569916855631127
Total Factor Risk
0.1342552880821274
VTI.US Exposure
0.46166904224847966
VEA.US Exposure
-0.03882599692550903
VWO.US Exposure
0.021814226843246725
QQQ.US Exposure
0.1383490560222741
VTV.US Exposure
0.12962655629080058
IJR.US Exposure
-0.042707402806134956
QUAL.US Exposure
0.10017018813061289
SHV.US Exposure
0.23620337765874783
TLT.US Exposure
-0.0038378888291273204
LQD.US Exposure
-0.008596689238955554
HYG.US Exposure
0.03125766164038447
GLD.US Exposure
0.002258511249297996
USO.US Exposure
0.0026029597323937014
VNQ.US Exposure
-0.038969994364412626
BTC-USD.CC Exposure
0.0008842822853389558
CPER.US Exposure
-0.009283614361910733
VIX.INDX Exposure
-0.007266177089568082
UUP.US Exposure
0.006417473792754966
TIP.US Exposure
0.008808623134366872
Idiosyncratic Exposure
0.009425804586919584
Value Score
42.2
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
12.2
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
13.4%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →19.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.02%
Market Cap$488.4B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$58
Avg Yield on Cost
0.58%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$57.50.58%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+3.5%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.1%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.1% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.99
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is SPDR® S&P 500® ESG ETF a high-risk investment?

SPDR® S&P 500® ESG ETF (EFIV.US) has an annualized volatility of 13.4% and experienced a maximum drawdown of 24.0% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of EFIV.US?

Over the past 10 years, EFIV.US has generated a Compound Annual Growth Rate (CAGR) of 16.4%. It has had a positive return in 83% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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