MSDL vs. SPY
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 -8.48% vs 21.60% for SPY. At a 0.30 correlation, their price movements are largely independent.
Performance
MSDL vs. SPY - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, MSDL achieves a 1.64% return, which is significantly lower than SPY's 10.67% return.
MSDL
- 1D
- 0.77%
- 1M
- 4.15%
- 6M
- -0.65%
- YTD
- 1.64%
- 1Y
- -8.48%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
SPY
- 1D
- -0.54%
- 1M
- 0.31%
- 6M
- 9.02%
- YTD
- 10.67%
- 1Y
- 21.60%
- 3Y*
- 20.01%
- 5Y*
- 13.24%
- 10Y*
- 15.08%
MSDL vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
MSDL Morgan Stanley Direct Lending Fund | 1.64% | -10.85% | 11.98% |
SPY State Street SPDR S&P 500 ETF | 10.67% | 17.72% | 22.43% |
Correlation
The correlation between MSDL and SPY is 0.38, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.38 |
Correlation (All Time) Calculated using the full available price history since Jan 24, 2024 | 0.30 |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
MSDL vs. SPY — Risk / Return Rank
MSDL
SPY
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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| MSDL | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.13 | ||
| Sortino ratioReturn per unit of downside risk | -2.84 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.31 | -0.36 |
| Calmar ratioReturn relative to maximum drawdown | -0.34 | 2.44 | -2.78 |
| Martin ratioReturn relative to average drawdown | -0.60 | 10.63 | -11.23 |
Loading charts...
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.
Loading charts...
Drawdown Indicators
| MSDL | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest 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 DrawdownCurrent decline from peak | -15.92% | -0.91% | -15.01% |
Average DrawdownAverage peak-to-trough decline | -12.37% | -9.02% | -3.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 14.18% | 2.04% | +12.14% |
Volatility
MSDL vs. SPY - Volatility Comparison
Morgan Stanley Direct Lending Fund (MSDL) has a higher volatility of 6.19% compared to State Street SPDR S&P 500 ETF (SPY) at 3.58%. 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.
Loading charts...
Volatility by Period
| MSDL | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.19% | 3.58% | +2.61% |
Volatility (6M)Calculated over the trailing 6-month period | 16.29% | 10.02% | +6.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.77% | 12.58% | +8.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.05% | 17.17% | +5.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.05% | 17.93% | +5.12% |
Dividends
MSDL vs. SPY - Dividend Comparison
MSDL's dividend yield for the trailing twelve months is around 12.06%, more than SPY's 1.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MSDL Morgan Stanley Direct Lending Fund | 12.06% | 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 | 1.00% | 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
MSDL and SPY have a correlation of 0.38, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MSDL has higher volatility (6.19%) compared to SPY (3.58%). In terms of maximum drawdown, MSDL dropped -29.68% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.72 vs -0.41), 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.
Find the right allocation for MSDL and SPY
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer