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

Performance

MDY vs. VBR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P MidCap 400 ETF (MDY) and Vanguard Small-Cap Value ETF (VBR). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.21%
10.39%
MDY
VBR

Returns By Period

The year-to-date returns for both investments are quite close, with MDY having a 16.80% return and VBR slightly higher at 17.04%. Both investments have delivered pretty close results over the past 10 years, with MDY having a 9.81% annualized return and VBR not far behind at 9.32%.


MDY

YTD

16.80%

1M

0.62%

6M

7.22%

1Y

28.27%

5Y (annualized)

11.51%

10Y (annualized)

9.81%

VBR

YTD

17.04%

1M

1.19%

6M

10.39%

1Y

29.74%

5Y (annualized)

11.65%

10Y (annualized)

9.32%

Key characteristics


MDYVBR
Sharpe Ratio1.841.87
Sortino Ratio2.602.66
Omega Ratio1.321.33
Calmar Ratio2.823.57
Martin Ratio10.5610.48
Ulcer Index2.78%2.97%
Daily Std Dev15.98%16.63%
Max Drawdown-55.33%-62.01%
Current Drawdown-3.30%-2.98%

Compare stocks, funds, or ETFs

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


MDY vs. VBR - Expense Ratio Comparison

MDY has a 0.23% expense ratio, which is higher than VBR's 0.07% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


MDY
SPDR S&P MidCap 400 ETF
Expense ratio chart for MDY: current value at 0.23% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.23%
Expense ratio chart for VBR: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.01.0

The correlation between MDY and VBR is 0.96, 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

MDY vs. VBR - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P MidCap 400 ETF (MDY) and Vanguard Small-Cap Value ETF (VBR). 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 MDY, currently valued at 1.84, compared to the broader market0.002.004.001.841.87
The chart of Sortino ratio for MDY, currently valued at 2.60, compared to the broader market-2.000.002.004.006.008.0010.002.602.66
The chart of Omega ratio for MDY, currently valued at 1.32, compared to the broader market0.501.001.502.002.503.001.321.33
The chart of Calmar ratio for MDY, currently valued at 2.82, compared to the broader market0.005.0010.0015.002.823.57
The chart of Martin ratio for MDY, currently valued at 10.56, compared to the broader market0.0020.0040.0060.0080.00100.0010.5610.48
MDY
VBR

The current MDY Sharpe Ratio is 1.84, which is comparable to the VBR Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of MDY and VBR, 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 Ratio0.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.84
1.87
MDY
VBR

Dividends

MDY vs. VBR - Dividend Comparison

MDY's dividend yield for the trailing twelve months is around 1.12%, less than VBR's 1.92% yield.


TTM20232022202120202019201820172016201520142013
MDY
SPDR S&P MidCap 400 ETF
1.12%1.21%1.37%0.96%1.12%1.34%1.39%1.18%1.31%1.35%1.17%1.07%
VBR
Vanguard Small-Cap Value ETF
1.92%2.12%2.03%1.75%1.68%2.06%2.35%1.79%1.77%1.99%1.77%1.87%

Drawdowns

MDY vs. VBR - Drawdown Comparison

The maximum MDY drawdown since its inception was -55.33%, smaller than the maximum VBR drawdown of -62.01%. Use the drawdown chart below to compare losses from any high point for MDY and VBR. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.30%
-2.98%
MDY
VBR

Volatility

MDY vs. VBR - Volatility Comparison

The current volatility for SPDR S&P MidCap 400 ETF (MDY) is 5.46%, while Vanguard Small-Cap Value ETF (VBR) has a volatility of 5.86%. This indicates that MDY experiences smaller price fluctuations and is considered to be less risky than VBR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.46%
5.86%
MDY
VBR