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

Key characteristics


MSCISPY
YTD Return-10.12%11.74%
1Y Return8.23%28.12%
3Y Return (Ann)4.67%10.36%
5Y Return (Ann)18.72%14.97%
10Y Return (Ann)29.88%12.97%
Sharpe Ratio0.382.56
Daily Std Dev28.32%11.48%
Max Drawdown-69.06%-55.19%
Current Drawdown-23.15%-0.06%

Correlation

-0.50.00.51.00.6

The correlation between MSCI and SPY is 0.63, 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

MSCI vs. SPY - Performance Comparison

In the year-to-date period, MSCI achieves a -10.12% return, which is significantly lower than SPY's 11.74% return. Over the past 10 years, MSCI has outperformed SPY with an annualized return of 29.88%, while SPY has yielded a comparatively lower 12.97% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


500.00%1,000.00%1,500.00%2,000.00%2,500.00%December2024FebruaryMarchAprilMay
2,153.68%
399.97%
MSCI
SPY

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MSCI Inc.

SPDR S&P 500 ETF

Risk-Adjusted Performance

MSCI vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for MSCI Inc. (MSCI) 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.


MSCI
Sharpe ratio
The chart of Sharpe ratio for MSCI, currently valued at 0.38, compared to the broader market-2.00-1.000.001.002.003.004.000.38
Sortino ratio
The chart of Sortino ratio for MSCI, currently valued at 0.72, compared to the broader market-4.00-2.000.002.004.006.000.72
Omega ratio
The chart of Omega ratio for MSCI, currently valued at 1.10, compared to the broader market0.501.001.502.001.10
Calmar ratio
The chart of Calmar ratio for MSCI, currently valued at 0.33, compared to the broader market0.002.004.006.000.33
Martin ratio
The chart of Martin ratio for MSCI, currently valued at 1.27, compared to the broader market-10.000.0010.0020.0030.001.27
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.56, compared to the broader market-2.00-1.000.001.002.003.004.002.56
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.60, compared to the broader market-4.00-2.000.002.004.006.003.60
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.45, compared to the broader market0.501.001.502.001.45
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 2.40, compared to the broader market0.002.004.006.002.40
Martin ratio
The chart of Martin ratio for SPY, currently valued at 10.14, compared to the broader market-10.000.0010.0020.0030.0010.14

MSCI vs. SPY - Sharpe Ratio Comparison

The current MSCI Sharpe Ratio is 0.38, which is lower than the SPY Sharpe Ratio of 2.56. The chart below compares the 12-month rolling Sharpe Ratio of MSCI and SPY.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2024FebruaryMarchAprilMay
0.38
2.56
MSCI
SPY

Dividends

MSCI vs. SPY - Dividend Comparison

MSCI's dividend yield for the trailing twelve months is around 1.18%, less than SPY's 1.27% yield.


TTM20232022202120202019201820172016201520142013
MSCI
MSCI Inc.
1.18%0.98%0.98%0.59%0.65%0.98%1.30%1.04%1.27%1.11%0.38%0.00%
SPY
SPDR S&P 500 ETF
1.27%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

MSCI vs. SPY - Drawdown Comparison

The maximum MSCI drawdown since its inception was -69.06%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MSCI and SPY. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-23.15%
-0.06%
MSCI
SPY

Volatility

MSCI vs. SPY - Volatility Comparison

MSCI Inc. (MSCI) has a higher volatility of 16.45% compared to SPDR S&P 500 ETF (SPY) at 3.37%. This indicates that MSCI'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%December2024FebruaryMarchAprilMay
16.45%
3.37%
MSCI
SPY