CODI vs. SPY
Compare and contrast key facts about Compass Diversified (CODI) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: CODI or SPY.
Key characteristics
| CODI | SPY | |
|---|---|---|
| YTD Return | 8.41% | 26.77% |
| 1Y Return | 32.21% | 37.43% |
| 3Y Return (Ann) | -4.60% | 10.15% |
| 5Y Return (Ann) | 7.36% | 15.86% |
| 10Y Return (Ann) | 10.96% | 13.33% |
| Sharpe Ratio | 1.07 | 3.06 |
| Sortino Ratio | 1.57 | 4.08 |
| Omega Ratio | 1.21 | 1.58 |
| Calmar Ratio | 0.81 | 4.44 |
| Martin Ratio | 4.01 | 20.11 |
| Ulcer Index | 7.78% | 1.85% |
| Daily Std Dev | 29.26% | 12.18% |
| Max Drawdown | -56.83% | -55.19% |
| Current Drawdown | -18.63% | -0.31% |
Correlation
The correlation between CODI and SPY is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
CODI vs. SPY - Performance Comparison
In the year-to-date period, CODI achieves a 8.41% return, which is significantly lower than SPY's 26.77% return. Over the past 10 years, CODI has underperformed SPY with an annualized return of 10.96%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
CODI vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Compass Diversified (CODI) and SPDR S&P 500 ETF (SPY). 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.
Dividends
CODI vs. SPY - Dividend Comparison
CODI's dividend yield for the trailing twelve months is around 4.30%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CODI Compass Diversified | 4.30% | 4.45% | 5.49% | 7.59% | 7.40% | 5.79% | 11.57% | 8.50% | 8.04% | 9.06% | 8.86% | 7.34% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
CODI vs. SPY - Drawdown Comparison
The maximum CODI drawdown since its inception was -56.83%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CODI and SPY. For additional features, visit the drawdowns tool.
Volatility
CODI vs. SPY - Volatility Comparison
Compass Diversified (CODI) has a higher volatility of 11.24% compared to SPDR S&P 500 ETF (SPY) at 3.88%. This indicates that CODI's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.