MRCC vs. SPY
Compare and contrast key facts about Monroe Capital Corporation (MRCC) 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: MRCC or SPY.
Key characteristics
| MRCC | SPY | |
|---|---|---|
| YTD Return | 28.84% | 26.83% |
| 1Y Return | 32.51% | 34.88% |
| 3Y Return (Ann) | 2.65% | 10.16% |
| 5Y Return (Ann) | 6.30% | 15.71% |
| 10Y Return (Ann) | 5.91% | 13.33% |
| Sharpe Ratio | 1.69 | 3.08 |
| Sortino Ratio | 2.29 | 4.10 |
| Omega Ratio | 1.29 | 1.58 |
| Calmar Ratio | 1.35 | 4.46 |
| Martin Ratio | 13.44 | 20.22 |
| Ulcer Index | 2.62% | 1.85% |
| Daily Std Dev | 20.82% | 12.18% |
| Max Drawdown | -57.63% | -55.19% |
| Current Drawdown | -1.55% | -0.26% |
Correlation
The correlation between MRCC and SPY is 0.24, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
MRCC vs. SPY - Performance Comparison
In the year-to-date period, MRCC achieves a 28.84% return, which is significantly higher than SPY's 26.83% return. Over the past 10 years, MRCC has underperformed SPY with an annualized return of 5.91%, while SPY has yielded a comparatively higher 13.33% 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
MRCC vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Monroe Capital Corporation (MRCC) 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
MRCC vs. SPY - Dividend Comparison
MRCC's dividend yield for the trailing twelve months is around 12.12%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MRCC Monroe Capital Corporation | 12.12% | 14.15% | 11.71% | 8.91% | 13.70% | 12.89% | 14.58% | 10.18% | 9.10% | 10.70% | 9.41% | 11.15% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
MRCC vs. SPY - Drawdown Comparison
The maximum MRCC drawdown since its inception was -57.63%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MRCC and SPY. For additional features, visit the drawdowns tool.
Volatility
MRCC vs. SPY - Volatility Comparison
Monroe Capital Corporation (MRCC) has a higher volatility of 6.85% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that MRCC'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.