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META vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


METASPY
YTD Return37.33%10.41%
1Y Return136.72%34.16%
3Y Return (Ann)18.70%11.38%
5Y Return (Ann)23.91%14.99%
10Y Return (Ann)23.26%12.96%
Sharpe Ratio3.912.93
Daily Std Dev36.38%11.54%
Max Drawdown-76.74%-55.19%
Current Drawdown-5.20%0.00%

Correlation

0.55
-1.001.00

The correlation between META and SPY is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

META vs. SPY - Performance Comparison

In the year-to-date period, META achieves a 37.33% return, which is significantly higher than SPY's 10.41% return. Over the past 10 years, META has outperformed SPY with an annualized return of 23.26%, while SPY has yielded a comparatively lower 12.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


200.00%400.00%600.00%800.00%1,000.00%1,200.00%OctoberNovemberDecember2024FebruaryMarch
1,171.44%
403.20%
META
SPY

Compare stocks, funds, or ETFs


Meta Platforms, Inc.

SPDR S&P 500 ETF

Risk-Adjusted Performance

META vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Meta Platforms, Inc. (META) and SPDR S&P 500 ETF (SPY). 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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
META
Meta Platforms, Inc.
3.91
SPY
SPDR S&P 500 ETF
2.96

META vs. SPY - Sharpe Ratio Comparison

The current META Sharpe Ratio is 3.91, which is higher than the SPY Sharpe Ratio of 2.96. The chart below compares the 12-month rolling Sharpe Ratio of META and SPY.


Rolling 12-month Sharpe Ratio1.002.003.004.005.006.00OctoberNovemberDecember2024FebruaryMarch
3.91
2.96
META
SPY

Dividends

META vs. SPY - Dividend Comparison

META's dividend yield for the trailing twelve months is around 0.10%, less than SPY's 1.28% yield.


TTM20232022202120202019201820172016201520142013
META
Meta Platforms, Inc.
0.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.28%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

META vs. SPY - Drawdown Comparison

The maximum META drawdown since its inception was -76.74%, which is greater than SPY's maximum drawdown of -55.19%. The drawdown chart below compares losses from any high point along the way for META and SPY


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-5.20%
0
META
SPY

Volatility

META vs. SPY - Volatility Comparison

Meta Platforms, Inc. (META) has a higher volatility of 8.96% compared to SPDR S&P 500 ETF (SPY) at 2.74%. This indicates that META's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%OctoberNovemberDecember2024FebruaryMarch
8.96%
2.74%
META
SPY