^SP500TR vs. VYM
^SP500TR (S&P 500 Total Return) is an index, while VYM (Vanguard High Dividend Yield ETF) is Dividend fund tracking the FTSE High Dividend Yield Index. Over the past 10 years, ^SP500TR returned 15.64%/yr vs 11.98%/yr for VYM. Their correlation of 0.89 suggests significant overlap in exposure.
Performance
^SP500TR vs. VYM - Performance Comparison
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Returns By Period
In the year-to-date period, ^SP500TR achieves a 8.22% return, which is significantly lower than VYM's 11.51% return. Over the past 10 years, ^SP500TR has outperformed VYM with an annualized return of 15.64%, while VYM has yielded a comparatively lower 11.98% annualized return.
^SP500TR
- 1D
- -1.44%
- 1M
- -1.34%
- YTD
- 8.22%
- 6M
- 7.24%
- 1Y
- 23.73%
- 3Y*
- 20.82%
- 5Y*
- 13.16%
- 10Y*
- 15.64%
VYM
- 1D
- -0.16%
- 1M
- 0.26%
- YTD
- 11.51%
- 6M
- 10.83%
- 1Y
- 24.08%
- 3Y*
- 18.41%
- 5Y*
- 11.88%
- 10Y*
- 11.98%
^SP500TR vs. VYM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^SP500TR S&P 500 Total Return | 8.22% | 17.88% | 25.02% | 26.29% | -18.11% | 28.71% | 18.40% | 31.49% | -4.38% | 21.83% |
VYM Vanguard High Dividend Yield ETF | 11.51% | 15.42% | 17.60% | 6.57% | -0.43% | 26.20% | 1.15% | 24.06% | -5.92% | 16.42% |
Correlation
The correlation between ^SP500TR and VYM is 0.69, 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 | 0.69 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.73 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.79 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Nov 16, 2006 | 0.89 |
Over the past year, the correlation between ^SP500TR and VYM has dropped to 0.69 - well below their long-term average of 0.89, suggesting their price drivers have been diverging.
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Return for Risk
^SP500TR vs. VYM — Risk / Return Rank
^SP500TR
VYM
^SP500TR vs. VYM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and Vanguard High Dividend Yield ETF (VYM). 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.
| ^SP500TR | VYM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.43 | ||
| Sortino ratioReturn per unit of downside risk | -0.74 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.42 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 2.68 | 3.61 | -0.93 |
| Martin ratioReturn relative to average drawdown | 12.05 | 13.43 | -1.38 |
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Drawdowns
^SP500TR vs. VYM - Drawdown Comparison
The maximum ^SP500TR drawdown since its inception was -55.25%, roughly equal to the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for ^SP500TR and VYM.
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Drawdown Indicators
| ^SP500TR | VYM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.25% | -56.98% | +1.73% |
Max Drawdown (1Y)Largest decline over 1 year | -8.89% | -6.69% | -2.20% |
Max Drawdown (3Y)Largest decline over 3 years | -18.75% | -14.46% | -4.29% |
Max Drawdown (5Y)Largest decline over 5 years | -24.49% | -15.84% | -8.65% |
Max Drawdown (10Y)Largest decline over 10 years | -33.79% | -35.21% | +1.42% |
Current DrawdownCurrent decline from peak | -3.13% | -1.28% | -1.85% |
Average DrawdownAverage peak-to-trough decline | -8.16% | -7.18% | -0.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 1.80% | +0.17% |
Volatility
^SP500TR vs. VYM - Volatility Comparison
S&P 500 Total Return (^SP500TR) has a higher volatility of 4.90% compared to Vanguard High Dividend Yield ETF (VYM) at 3.02%. This indicates that ^SP500TR's price experiences larger fluctuations and is considered to be riskier than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^SP500TR | VYM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.90% | 3.02% | +1.88% |
Volatility (6M)Calculated over the trailing 6-month period | 9.93% | 7.64% | +2.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.57% | 10.39% | +2.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.00% | 13.93% | +3.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.08% | 16.32% | +1.76% |
Frequently Asked Questions
^SP500TR and VYM have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^SP500TR has higher volatility (4.90%) compared to VYM (3.02%). In terms of maximum drawdown, ^SP500TR dropped -55.25% vs VYM's -56.98%.
VYM currently has the higher Sharpe Ratio (2.33 vs 1.90), 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.
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