NIE vs. SPY

Last updated Jun 26, 2026

NIE (Virtus Equity & Convertible Income Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - NIE is a Derivative Income fund actively managed by Virtus, while SPY is a S&P 500 fund tracking the S&P 500 Index. NIE is actively managed, while SPY is passively managed. Over the past 10 years, NIE returned 14.37%/yr vs 15.75%/yr for SPY. A 0.76 correlation means they provide meaningful diversification when combined. NIE charges 1.12%/yr vs 0.09%/yr for SPY.

Performance

NIE vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus Equity & Convertible Income Fund (NIE) 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, NIE achieves a 9.73% return, which is significantly higher than SPY's 8.25% return. Over the past 10 years, NIE has underperformed SPY with an annualized return of 14.37%, while SPY has yielded a comparatively higher 15.75% annualized return.

NIE

• 1D: 0.08%
• 1M: 0.50%
• YTD: 9.73%
• 6M: 9.66%
• 1Y: 24.34%
• 3Y*: 19.63%
• 5Y*: 9.94%
• 10Y*: 14.37%

SPY

• 1D: 0.14%
• 1M: -1.92%
• YTD: 8.25%
• 6M: 6.93%
• 1Y: 22.29%
• 3Y*: 20.89%
• 5Y*: 12.99%
• 10Y*: 15.75%

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

NIE vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NIE Virtus Equity & Convertible Income Fund	9.73%	12.15%	28.64%	26.71%	-26.73%	18.89%	33.78%	31.09%	-5.69%	23.68%
SPY State Street SPDR S&P 500 ETF	8.25%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between NIE and SPY is 0.80, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.80
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.80
Correlation (All Time) Calculated using the full available price history since Feb 23, 2007	0.76

The correlation between NIE and SPY has been stable across timeframes, ranging from 0.76 to 0.83 - a consistent structural relationship.

Return for Risk

NIE vs. SPY — Risk / Return Rank

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

NIE

NIE Risk / Return Rank: 69
NIE Sharpe Ratio Rank: 71
NIE Sortino Ratio Rank: 69
NIE Omega Ratio Rank: 67
NIE Calmar Ratio Rank: 68
NIE Martin Ratio Rank: 70

SPY

SPY Risk / Return Rank: 63
SPY Sharpe Ratio Rank: 63
SPY Sortino Ratio Rank: 61
SPY Omega Ratio Rank: 63
SPY Calmar Ratio Rank: 59
SPY Martin Ratio Rank: 70

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.

NIE vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus Equity & Convertible Income Fund (NIE) 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.

	NIE	SPY	Difference
Sharpe ratio: Return per unit of total volatility	2.02	1.80	+0.22
Sortino ratio: Return per unit of downside risk	2.84	2.46	+0.38
Omega ratio: Gain probability vs. loss probability	1.37	1.33	+0.04
Calmar ratio: Return relative to maximum drawdown	2.72	2.52	+0.20
Martin ratio: Return relative to average drawdown	11.17	11.15	+0.02

NIE vs. SPY - Sharpe Ratio Comparison

The current NIE Sharpe Ratio is 2.02, which is comparable to the SPY Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of NIE 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.

Drawdowns

NIE vs. SPY - Drawdown Comparison

The maximum NIE drawdown since its inception was -57.90%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for NIE and SPY.

Drawdown Indicators

	NIE	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-57.90%	-55.19%	-2.71%
Max Drawdown (1Y) Largest decline over 1 year	-8.99%	-8.88%	-0.11%
Max Drawdown (3Y) Largest decline over 3 years	-20.79%	-18.76%	-2.03%
Max Drawdown (5Y) Largest decline over 5 years	-31.04%	-24.50%	-6.54%
Max Drawdown (10Y) Largest decline over 10 years	-38.99%	-33.72%	-5.27%
Current Drawdown Current decline from peak	-1.20%	-3.08%	+1.88%
Average Drawdown Average peak-to-trough decline	-7.99%	-9.03%	+1.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.18%	2.00%	+0.18%

Volatility

NIE vs. SPY - Volatility Comparison

Virtus Equity & Convertible Income Fund (NIE) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 4.93% and 4.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NIE	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.93%	4.79%	+0.14%
Volatility (6M) Calculated over the trailing 6-month period	9.86%	9.80%	+0.06%
Volatility (1Y) Calculated over the trailing 1-year period	12.11%	12.43%	-0.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.65%	17.15%	+0.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.80%	17.95%	+1.85%

NIE vs. SPY - Expense Ratio Comparison

NIE has a 1.12% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

NIE vs. SPY - Dividend Comparison

NIE's dividend yield for the trailing twelve months is around 9.95%, more than SPY's 1.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
NIE Virtus Equity & Convertible Income Fund	9.95%	10.14%	8.11%	9.56%	21.81%	10.86%	5.37%	6.71%	8.20%	7.19%	8.25%	8.46%
SPY State Street SPDR S&P 500 ETF	1.02%	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 NIE and SPY in my portfolio?

NIE and SPY have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NIE or SPY?

NIE has higher volatility (4.93%) compared to SPY (4.79%). In terms of maximum drawdown, NIE dropped -57.90% vs SPY's -55.19%.

Which has better risk-adjusted returns?

NIE currently has the higher Sharpe Ratio (2.02 vs 1.80), 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.