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

Key characteristics


MDYXMHQ
YTD Return20.79%25.99%
1Y Return37.93%40.22%
3Y Return (Ann)6.09%11.37%
5Y Return (Ann)12.37%18.01%
10Y Return (Ann)10.29%12.61%
Sharpe Ratio2.422.35
Sortino Ratio3.383.29
Omega Ratio1.421.39
Calmar Ratio2.844.14
Martin Ratio14.3610.18
Ulcer Index2.76%4.19%
Daily Std Dev16.36%18.13%
Max Drawdown-55.33%-58.19%
Current Drawdown0.00%0.00%

Correlation

-0.50.00.51.00.8

The correlation between MDY and XMHQ is 0.84, 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. XMHQ - Performance Comparison

In the year-to-date period, MDY achieves a 20.79% return, which is significantly lower than XMHQ's 25.99% return. Over the past 10 years, MDY has underperformed XMHQ with an annualized return of 10.29%, while XMHQ has yielded a comparatively higher 12.61% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.85%
3.47%
MDY
XMHQ

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MDY vs. XMHQ - Expense Ratio Comparison

MDY has a 0.23% expense ratio, which is lower than XMHQ's 0.25% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


XMHQ
Invesco S&P MidCap Quality ETF
Expense ratio chart for XMHQ: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
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%

Risk-Adjusted Performance

MDY vs. XMHQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P MidCap 400 ETF (MDY) and Invesco S&P MidCap Quality ETF (XMHQ). 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 2.42, compared to the broader market-2.000.002.004.006.002.42
Sortino ratio
The chart of Sortino ratio for MDY, currently valued at 3.38, compared to the broader market0.005.0010.003.38
Omega ratio
The chart of Omega ratio for MDY, currently valued at 1.42, compared to the broader market1.001.502.002.503.001.42
Calmar ratio
The chart of Calmar ratio for MDY, currently valued at 2.84, compared to the broader market0.005.0010.0015.002.84
Martin ratio
The chart of Martin ratio for MDY, currently valued at 14.36, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.36
XMHQ
Sharpe ratio
The chart of Sharpe ratio for XMHQ, currently valued at 2.35, compared to the broader market-2.000.002.004.006.002.35
Sortino ratio
The chart of Sortino ratio for XMHQ, currently valued at 3.29, compared to the broader market0.005.0010.003.29
Omega ratio
The chart of Omega ratio for XMHQ, currently valued at 1.39, compared to the broader market1.001.502.002.503.001.39
Calmar ratio
The chart of Calmar ratio for XMHQ, currently valued at 4.14, compared to the broader market0.005.0010.0015.004.14
Martin ratio
The chart of Martin ratio for XMHQ, currently valued at 10.18, compared to the broader market0.0020.0040.0060.0080.00100.00120.0010.18

MDY vs. XMHQ - Sharpe Ratio Comparison

The current MDY Sharpe Ratio is 2.42, which is comparable to the XMHQ Sharpe Ratio of 2.35. The chart below compares the historical Sharpe Ratios of MDY and XMHQ, 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
2.42
2.35
MDY
XMHQ

Dividends

MDY vs. XMHQ - Dividend Comparison

MDY's dividend yield for the trailing twelve months is around 1.08%, less than XMHQ's 4.78% yield.


TTM20232022202120202019201820172016201520142013
MDY
SPDR S&P MidCap 400 ETF
1.08%1.21%1.37%0.96%1.12%1.34%1.39%1.18%1.31%1.35%1.17%1.07%
XMHQ
Invesco S&P MidCap Quality ETF
4.78%0.73%1.72%1.00%1.12%1.22%1.59%1.06%1.64%1.34%1.25%1.11%

Drawdowns

MDY vs. XMHQ - Drawdown Comparison

The maximum MDY drawdown since its inception was -55.33%, roughly equal to the maximum XMHQ drawdown of -58.19%. Use the drawdown chart below to compare losses from any high point for MDY and XMHQ. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
MDY
XMHQ

Volatility

MDY vs. XMHQ - Volatility Comparison

The current volatility for SPDR S&P MidCap 400 ETF (MDY) is 5.10%, while Invesco S&P MidCap Quality ETF (XMHQ) has a volatility of 5.51%. This indicates that MDY experiences smaller price fluctuations and is considered to be less risky than XMHQ 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%9.00%JuneJulyAugustSeptemberOctoberNovember
5.10%
5.51%
MDY
XMHQ