MSDL vs. SPYI

Last updated Jun 4, 2026

MSDL (Morgan Stanley Direct Lending Fund) is a stock, while SPYI (NEOS S&P 500 High Income ETF) is Derivative Income fund actively managed by Neos. Over the past year, MSDL returned -13.06% vs 22.76% for SPYI. At a 0.30 correlation, their price movements are largely independent.

Performance

MSDL vs. SPYI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Morgan Stanley Direct Lending Fund (MSDL) and NEOS S&P 500 High Income ETF (SPYI). 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 SPYI's 7.72% return.

MSDL

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

SPYI

• 1D: -0.50%
• 1M: 3.71%
• YTD: 7.72%
• 6M: 8.37%
• 1Y: 22.76%
• 3Y*: 16.41%
• 5Y*: —
• 10Y*: —

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

MSDL vs. SPYI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
MSDL Morgan Stanley Direct Lending Fund	-5.04%	-10.85%	10.95%
SPYI NEOS S&P 500 High Income ETF	7.72%	16.67%	16.88%

Correlation

The correlation between MSDL and SPYI 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 25, 2024	0.30

Return for Risk

MSDL vs. SPYI — 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

SPYI

SPYI Risk / Return Rank: 71
SPYI Sharpe Ratio Rank: 71
SPYI Sortino Ratio Rank: 70
SPYI Omega Ratio Rank: 76
SPYI Calmar Ratio Rank: 58
SPYI Martin Ratio Rank: 78

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. SPYI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Morgan Stanley Direct Lending Fund (MSDL) and NEOS S&P 500 High Income ETF (SPYI). 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	SPYI	Difference
Sharpe ratio: Return per unit of total volatility	-0.66	2.38	-3.03
Sortino ratio: Return per unit of downside risk	-0.85	3.26	-4.11
Omega ratio: Gain probability vs. loss probability	0.90	1.47	-0.56
Calmar ratio: Return relative to maximum drawdown	-0.53	2.96	-3.49
Martin ratio: Return relative to average drawdown	-0.98	15.43	-16.41
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. SPYI - Sharpe Ratio Comparison

The current MSDL Sharpe Ratio is -0.66, which is lower than the SPYI Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of MSDL and SPYI, 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	SPYI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.66	2.38	-3.03
Sharpe Ratio (All Time) Calculated using the full available price history	-0.11	1.21	-1.33

Drawdowns

MSDL vs. SPYI - Drawdown Comparison

The maximum MSDL drawdown since its inception was -29.68%, which is greater than SPYI's maximum drawdown of -16.47%. Use the drawdown chart below to compare losses from any high point for MSDL and SPYI.

Drawdown Indicators

	MSDL	SPYI	Difference
Max Drawdown Largest peak-to-trough decline	-29.68%	-16.47%	-13.21%
Max Drawdown (1Y) Largest decline over 1 year	-24.80%	-7.72%	-17.08%
Max Drawdown (3Y) Largest decline over 3 years	—	-16.47%	—
Current Drawdown Current decline from peak	-21.45%	-0.50%	-20.95%
Average Drawdown Average peak-to-trough decline	-12.04%	-1.80%	-10.24%
Ulcer Index Depth and duration of drawdowns from previous peaks	13.37%	1.48%	+11.89%

Volatility

MSDL vs. SPYI - Volatility Comparison

Morgan Stanley Direct Lending Fund (MSDL) has a higher volatility of 5.77% compared to NEOS S&P 500 High Income ETF (SPYI) at 1.82%. This indicates that MSDL's price experiences larger fluctuations and is considered to be riskier than SPYI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MSDL	SPYI	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.77%	1.82%	+3.95%
Volatility (6M) Calculated over the trailing 6-month period	16.16%	7.41%	+8.75%
Volatility (1Y) Calculated over the trailing 1-year period	19.93%	9.63%	+10.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.16%	12.92%	+10.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.16%	12.92%	+10.24%

Dividends

MSDL vs. SPYI - Dividend Comparison

MSDL's dividend yield for the trailing twelve months is around 12.87%, more than SPYI's 11.64% yield.

Position	TTM	2025	2024	2023	2022
MSDL Morgan Stanley Direct Lending Fund	12.87%	12.14%	10.65%	0.00%	0.00%
SPYI NEOS S&P 500 High Income ETF	11.64%	11.70%	12.04%	12.01%	4.10%

Frequently Asked Questions

Can I hold both MSDL and SPYI in my portfolio?

MSDL and SPYI 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.

Which is riskier, MSDL or SPYI?

MSDL has higher volatility (5.77%) compared to SPYI (1.82%). In terms of maximum drawdown, MSDL dropped -29.68% vs SPYI's -16.47%.

Which has better risk-adjusted returns?

SPYI 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.