PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MA vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between MA and SPY is 0.64, 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.


-0.50.00.51.00.6

Performance

MA vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Mastercard Inc (MA) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

0.00%2,000.00%4,000.00%6,000.00%8,000.00%10,000.00%12,000.00%JulyAugustSeptemberOctoberNovemberDecember
12,459.58%
557.83%
MA
SPY

Key characteristics

Sharpe Ratio

MA:

1.69

SPY:

2.21

Sortino Ratio

MA:

2.28

SPY:

2.93

Omega Ratio

MA:

1.31

SPY:

1.41

Calmar Ratio

MA:

2.25

SPY:

3.26

Martin Ratio

MA:

5.58

SPY:

14.43

Ulcer Index

MA:

4.77%

SPY:

1.90%

Daily Std Dev

MA:

15.78%

SPY:

12.41%

Max Drawdown

MA:

-62.67%

SPY:

-55.19%

Current Drawdown

MA:

-1.20%

SPY:

-2.74%

Returns By Period

The year-to-date returns for both investments are quite close, with MA having a 24.52% return and SPY slightly higher at 25.54%. Over the past 10 years, MA has outperformed SPY with an annualized return of 20.46%, while SPY has yielded a comparatively lower 12.97% annualized return.


MA

YTD

24.52%

1M

3.02%

6M

16.42%

1Y

25.42%

5Y*

12.73%

10Y*

20.46%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

MA vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Mastercard Inc (MA) 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.


Sharpe ratio
The chart of Sharpe ratio for MA, currently valued at 1.69, compared to the broader market-4.00-2.000.002.001.692.21
The chart of Sortino ratio for MA, currently valued at 2.28, compared to the broader market-4.00-2.000.002.004.002.282.93
The chart of Omega ratio for MA, currently valued at 1.31, compared to the broader market0.501.001.502.001.311.41
The chart of Calmar ratio for MA, currently valued at 2.25, compared to the broader market0.002.004.006.002.253.26
The chart of Martin ratio for MA, currently valued at 5.58, compared to the broader market-5.000.005.0010.0015.0020.0025.005.5814.43
MA
SPY

The current MA Sharpe Ratio is 1.69, which is comparable to the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of MA and SPY, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.69
2.21
MA
SPY

Dividends

MA vs. SPY - Dividend Comparison

MA's dividend yield for the trailing twelve months is around 0.50%, less than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
MA
Mastercard Inc
0.50%0.53%0.56%0.49%0.45%0.44%0.53%0.58%0.74%0.66%0.51%0.25%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

MA vs. SPY - Drawdown Comparison

The maximum MA drawdown since its inception was -62.67%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MA and SPY. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-1.20%
-2.74%
MA
SPY

Volatility

MA vs. SPY - Volatility Comparison

Mastercard Inc (MA) has a higher volatility of 4.08% compared to SPDR S&P 500 ETF (SPY) at 3.72%. This indicates that MA'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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
4.08%
3.72%
MA
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab