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

Performance

MDY vs. XMVM - Performance Comparison

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

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
11.02%
14.09%
MDY
XMVM

Returns By Period

The year-to-date returns for both investments are quite close, with MDY having a 19.40% return and XMVM slightly higher at 20.34%. Both investments have delivered pretty close results over the past 10 years, with MDY having a 9.97% annualized return and XMVM not far ahead at 10.29%.


MDY

YTD

19.40%

1M

4.74%

6M

12.00%

1Y

30.43%

5Y (annualized)

12.10%

10Y (annualized)

9.97%

XMVM

YTD

20.34%

1M

7.00%

6M

15.00%

1Y

31.70%

5Y (annualized)

13.97%

10Y (annualized)

10.29%

Key characteristics


MDYXMVM
Sharpe Ratio1.951.76
Sortino Ratio2.742.55
Omega Ratio1.341.31
Calmar Ratio3.053.55
Martin Ratio11.159.57
Ulcer Index2.80%3.42%
Daily Std Dev16.01%18.60%
Max Drawdown-55.33%-62.83%
Current Drawdown-1.15%-1.15%

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MDY vs. XMVM - Expense Ratio Comparison

MDY has a 0.23% expense ratio, which is lower than XMVM's 0.39% expense ratio.


XMVM
Invesco S&P MidCap Value with Momentum ETF
Expense ratio chart for XMVM: current value at 0.39% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.39%
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%

Correlation

-0.50.00.51.00.9

The correlation between MDY and XMVM is 0.89, 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. XMVM - 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 Value with Momentum ETF (XMVM). 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 1.95, compared to the broader market0.002.004.001.951.76
The chart of Sortino ratio for MDY, currently valued at 2.74, compared to the broader market-2.000.002.004.006.008.0010.0012.002.742.55
The chart of Omega ratio for MDY, currently valued at 1.34, compared to the broader market0.501.001.502.002.503.001.341.31
The chart of Calmar ratio for MDY, currently valued at 3.05, compared to the broader market0.005.0010.0015.003.053.55
The chart of Martin ratio for MDY, currently valued at 11.15, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.159.57
MDY
XMVM

The current MDY Sharpe Ratio is 1.95, which is comparable to the XMVM Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of MDY and XMVM, 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
1.95
1.76
MDY
XMVM

Dividends

MDY vs. XMVM - Dividend Comparison

MDY's dividend yield for the trailing twelve months is around 1.09%, less than XMVM's 1.26% 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%
XMVM
Invesco S&P MidCap Value with Momentum ETF
1.26%1.57%1.76%1.10%1.37%1.73%2.87%2.22%2.27%2.58%1.52%1.39%

Drawdowns

MDY vs. XMVM - Drawdown Comparison

The maximum MDY drawdown since its inception was -55.33%, smaller than the maximum XMVM drawdown of -62.83%. Use the drawdown chart below to compare losses from any high point for MDY and XMVM. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.15%
-1.15%
MDY
XMVM

Volatility

MDY vs. XMVM - Volatility Comparison

The current volatility for SPDR S&P MidCap 400 ETF (MDY) is 5.40%, while Invesco S&P MidCap Value with Momentum ETF (XMVM) has a volatility of 8.07%. This indicates that MDY experiences smaller price fluctuations and is considered to be less risky than XMVM 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
5.40%
8.07%
MDY
XMVM