MORN vs. SPY
Compare and contrast key facts about Morningstar, Inc. (MORN) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: MORN or SPY.
Key characteristics
| MORN | SPY | |
|---|---|---|
| YTD Return | 20.48% | 26.01% |
| 1Y Return | 28.27% | 33.73% |
| 3Y Return (Ann) | 3.53% | 9.91% |
| 5Y Return (Ann) | 17.89% | 15.54% |
| 10Y Return (Ann) | 18.42% | 13.25% |
| Sharpe Ratio | 1.32 | 2.82 |
| Sortino Ratio | 2.11 | 3.76 |
| Omega Ratio | 1.26 | 1.53 |
| Calmar Ratio | 1.30 | 4.05 |
| Martin Ratio | 6.42 | 18.33 |
| Ulcer Index | 4.34% | 1.86% |
| Daily Std Dev | 21.16% | 12.07% |
| Max Drawdown | -67.92% | -55.19% |
| Current Drawdown | -2.16% | -0.90% |
Correlation
The correlation between MORN and SPY is 0.54, 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
MORN vs. SPY - Performance Comparison
In the year-to-date period, MORN achieves a 20.48% return, which is significantly lower than SPY's 26.01% return. Over the past 10 years, MORN has outperformed SPY with an annualized return of 18.42%, while SPY has yielded a comparatively lower 13.25% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
MORN vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Morningstar, Inc. (MORN) 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.
Dividends
MORN vs. SPY - Dividend Comparison
MORN's dividend yield for the trailing twelve months is around 0.47%, less than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MORN Morningstar, Inc. | 0.47% | 0.52% | 0.66% | 0.28% | 0.65% | 0.74% | 0.91% | 0.95% | 1.20% | 0.95% | 1.05% | 0.48% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
MORN vs. SPY - Drawdown Comparison
The maximum MORN drawdown since its inception was -67.92%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MORN and SPY. For additional features, visit the drawdowns tool.
Volatility
MORN vs. SPY - Volatility Comparison
Morningstar, Inc. (MORN) has a higher volatility of 5.31% compared to SPDR S&P 500 ETF (SPY) at 3.84%. This indicates that MORN'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.