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MDY vs. VO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MDYVO
YTD Return19.51%20.77%
1Y Return36.70%36.78%
3Y Return (Ann)5.71%4.01%
5Y Return (Ann)12.08%11.85%
10Y Return (Ann)10.17%10.32%
Sharpe Ratio2.232.89
Sortino Ratio3.144.01
Omega Ratio1.391.51
Calmar Ratio2.611.97
Martin Ratio13.2217.87
Ulcer Index2.76%2.04%
Daily Std Dev16.37%12.64%
Max Drawdown-55.33%-58.89%
Current Drawdown-1.05%-0.68%

Correlation

-0.50.00.51.01.0

The correlation between MDY and VO 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.

Performance

MDY vs. VO - Performance Comparison

In the year-to-date period, MDY achieves a 19.51% return, which is significantly lower than VO's 20.77% return. Both investments have delivered pretty close results over the past 10 years, with MDY having a 10.17% annualized return and VO not far ahead at 10.32%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
8.82%
12.40%
MDY
VO

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MDY vs. VO - Expense Ratio Comparison

MDY has a 0.23% expense ratio, which is higher than VO's 0.04% 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 VO: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

MDY vs. VO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P MidCap 400 ETF (MDY) and Vanguard Mid-Cap ETF (VO). 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.


MDY
Sharpe ratio
The chart of Sharpe ratio for MDY, currently valued at 2.23, compared to the broader market-2.000.002.004.002.23
Sortino ratio
The chart of Sortino ratio for MDY, currently valued at 3.14, compared to the broader market-2.000.002.004.006.008.0010.0012.003.14
Omega ratio
The chart of Omega ratio for MDY, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for MDY, currently valued at 2.61, compared to the broader market0.005.0010.0015.002.61
Martin ratio
The chart of Martin ratio for MDY, currently valued at 13.22, compared to the broader market0.0020.0040.0060.0080.00100.0013.22
VO
Sharpe ratio
The chart of Sharpe ratio for VO, currently valued at 2.89, compared to the broader market-2.000.002.004.002.89
Sortino ratio
The chart of Sortino ratio for VO, currently valued at 4.01, compared to the broader market-2.000.002.004.006.008.0010.0012.004.01
Omega ratio
The chart of Omega ratio for VO, currently valued at 1.51, compared to the broader market1.001.502.002.503.001.51
Calmar ratio
The chart of Calmar ratio for VO, currently valued at 1.97, compared to the broader market0.005.0010.0015.001.97
Martin ratio
The chart of Martin ratio for VO, currently valued at 17.87, compared to the broader market0.0020.0040.0060.0080.00100.0017.87

MDY vs. VO - Sharpe Ratio Comparison

The current MDY Sharpe Ratio is 2.23, which is comparable to the VO Sharpe Ratio of 2.89. The chart below compares the historical Sharpe Ratios of MDY and VO, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.23
2.89
MDY
VO

Dividends

MDY vs. VO - Dividend Comparison

MDY's dividend yield for the trailing twelve months is around 1.09%, less than VO's 1.80% yield.


TTM20232022202120202019201820172016201520142013
MDY
SPDR S&P MidCap 400 ETF
1.09%1.21%1.37%0.96%1.12%1.34%1.39%1.18%1.31%1.35%1.17%1.07%
VO
Vanguard Mid-Cap ETF
1.80%1.52%1.60%1.12%1.45%1.48%1.82%1.35%1.45%1.47%1.29%1.18%

Drawdowns

MDY vs. VO - Drawdown Comparison

The maximum MDY drawdown since its inception was -55.33%, smaller than the maximum VO drawdown of -58.89%. Use the drawdown chart below to compare losses from any high point for MDY and VO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.05%
-0.68%
MDY
VO

Volatility

MDY vs. VO - Volatility Comparison

SPDR S&P MidCap 400 ETF (MDY) has a higher volatility of 5.25% compared to Vanguard Mid-Cap ETF (VO) at 3.85%. This indicates that MDY's price experiences larger fluctuations and is considered to be riskier than VO 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%JuneJulyAugustSeptemberOctoberNovember
5.25%
3.85%
MDY
VO