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

Key characteristics


MDYVOO
YTD Return18.85%26.94%
1Y Return30.82%35.06%
3Y Return (Ann)5.50%10.23%
5Y Return (Ann)11.84%15.77%
10Y Return (Ann)10.10%13.41%
Sharpe Ratio2.193.08
Sortino Ratio3.104.09
Omega Ratio1.381.58
Calmar Ratio3.224.46
Martin Ratio13.0120.36
Ulcer Index2.76%1.85%
Daily Std Dev16.38%12.23%
Max Drawdown-55.33%-33.99%
Current Drawdown-1.61%-0.25%

Correlation

-0.50.00.51.00.9

The correlation between MDY and VOO is 0.88, 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. VOO - Performance Comparison

In the year-to-date period, MDY achieves a 18.85% return, which is significantly lower than VOO's 26.94% return. Over the past 10 years, MDY has underperformed VOO with an annualized return of 10.10%, while VOO has yielded a comparatively higher 13.41% annualized return. 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
8.21%
13.51%
MDY
VOO

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MDY vs. VOO - Expense Ratio Comparison

MDY has a 0.23% expense ratio, which is higher than VOO's 0.03% 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 VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

MDY vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P MidCap 400 ETF (MDY) and Vanguard S&P 500 ETF (VOO). 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 2.19, compared to the broader market-2.000.002.004.006.002.19
Sortino ratio
The chart of Sortino ratio for MDY, currently valued at 3.10, compared to the broader market-2.000.002.004.006.008.0010.0012.003.10
Omega ratio
The chart of Omega ratio for MDY, currently valued at 1.38, compared to the broader market1.001.502.002.503.001.38
Calmar ratio
The chart of Calmar ratio for MDY, currently valued at 3.22, compared to the broader market0.005.0010.0015.003.22
Martin ratio
The chart of Martin ratio for MDY, currently valued at 13.01, compared to the broader market0.0020.0040.0060.0080.00100.00120.0013.01
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 3.08, compared to the broader market-2.000.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 4.09, compared to the broader market-2.000.002.004.006.008.0010.0012.004.09
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.58, compared to the broader market1.001.502.002.503.001.58
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 4.46, compared to the broader market0.005.0010.0015.004.46
Martin ratio
The chart of Martin ratio for VOO, currently valued at 20.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.36

MDY vs. VOO - Sharpe Ratio Comparison

The current MDY Sharpe Ratio is 2.19, which is comparable to the VOO Sharpe Ratio of 3.08. The chart below compares the historical Sharpe Ratios of MDY and VOO, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.19
3.08
MDY
VOO

Dividends

MDY vs. VOO - Dividend Comparison

MDY's dividend yield for the trailing twelve months is around 1.10%, less than VOO's 1.23% yield.


TTM20232022202120202019201820172016201520142013
MDY
SPDR S&P MidCap 400 ETF
1.10%1.21%1.37%0.96%1.12%1.34%1.39%1.18%1.31%1.35%1.17%1.07%
VOO
Vanguard S&P 500 ETF
1.23%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

MDY vs. VOO - Drawdown Comparison

The maximum MDY drawdown since its inception was -55.33%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for MDY and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.61%
-0.25%
MDY
VOO

Volatility

MDY vs. VOO - Volatility Comparison

SPDR S&P MidCap 400 ETF (MDY) has a higher volatility of 5.28% compared to Vanguard S&P 500 ETF (VOO) at 3.78%. This indicates that MDY's price experiences larger fluctuations and is considered to be riskier than VOO 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
5.28%
3.78%
MDY
VOO