MSDL vs. SPY

Last updated Jun 4, 2026

MSDL (Morgan Stanley Direct Lending Fund) is a stock, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past year, MSDL returned -13.06% vs 27.98% for SPY. At a 0.30 correlation, their price movements are largely independent.

Performance

MSDL vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Direct Lending Fund (MSDL) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MSDL achieves a -5.04% return, which is significantly lower than SPY's 10.91% return.

MSDL

• 1D: -2.88%
• 1M: -3.81%
• YTD: -5.04%
• 6M: -7.33%
• 1Y: -13.06%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

*Multi-year figures are annualized to reflect compound growth (CAGR)

MSDL vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024
MSDL Morgan Stanley Direct Lending Fund	-5.04%	-10.85%	10.95%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	22.29%

Correlation

The correlation between MSDL and SPY is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (All Time) Calculated using the full available price history since Jan 25, 2024	0.30

Return for Risk

MSDL vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

MSDL

MSDL Risk / Return Rank: 17
MSDL Sharpe Ratio Rank: 13
MSDL Sortino Ratio Rank: 13
MSDL Omega Ratio Rank: 15
MSDL Calmar Ratio Rank: 22
MSDL Martin Ratio Rank: 21

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

MSDL vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Direct Lending Fund (MSDL) and State Street 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.

	MSDL	SPY	Difference
Sharpe ratio: Return per unit of total volatility	-0.66	2.38	-3.04
Sortino ratio: Return per unit of downside risk	-0.85	3.24	-4.09
Omega ratio: Gain probability vs. loss probability	0.90	1.43	-0.53
Calmar ratio: Return relative to maximum drawdown	-0.53	3.16	-3.69
Martin ratio: Return relative to average drawdown	-0.98	14.72	-15.69
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MSDL vs. SPY - Sharpe Ratio Comparison

The current MSDL Sharpe Ratio is -0.66, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of MSDL and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	MSDL	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.66	2.38	-3.04
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.82	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	-0.11	0.59	-0.70

Drawdowns

MSDL vs. SPY - Drawdown Comparison

The maximum MSDL drawdown since its inception was -29.68%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MSDL and SPY.

Drawdown Indicators

	MSDL	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-29.68%	-55.19%	+25.51%
Max Drawdown (1Y) Largest decline over 1 year	-24.80%	-8.88%	-15.92%
Max Drawdown (3Y) Largest decline over 3 years	—	-18.76%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-21.45%	-0.70%	-20.75%
Average Drawdown Average peak-to-trough decline	-12.04%	-9.05%	-2.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	13.37%	1.91%	+11.46%

Volatility

MSDL vs. SPY - Volatility Comparison

Morgan Stanley Direct Lending Fund (MSDL) has a higher volatility of 5.77% compared to State Street SPDR S&P 500 ETF (SPY) at 2.84%. This indicates that MSDL'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.

Volatility by Period

	MSDL	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.77%	2.84%	+2.93%
Volatility (6M) Calculated over the trailing 6-month period	16.16%	8.90%	+7.26%
Volatility (1Y) Calculated over the trailing 1-year period	19.93%	11.83%	+8.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.16%	17.05%	+6.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.16%	17.94%	+5.22%

Dividends

MSDL vs. SPY - Dividend Comparison

MSDL's dividend yield for the trailing twelve months is around 12.87%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
MSDL Morgan Stanley Direct Lending Fund	12.87%	12.14%	10.65%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.98%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both MSDL and SPY in my portfolio?

MSDL and SPY have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MSDL or SPY?

MSDL has higher volatility (5.77%) compared to SPY (2.84%). In terms of maximum drawdown, MSDL dropped -29.68% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs -0.66), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.