PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ONEO vs. ONEY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


ONEOONEY
YTD Return14.04%12.24%
1Y Return27.38%24.37%
3Y Return (Ann)5.28%7.13%
5Y Return (Ann)11.15%11.80%
Sharpe Ratio2.532.02
Sortino Ratio3.512.94
Omega Ratio1.431.35
Calmar Ratio2.672.37
Martin Ratio12.9211.44
Ulcer Index2.64%2.32%
Daily Std Dev13.22%13.04%
Max Drawdown-40.86%-46.80%
Current Drawdown-2.91%-2.76%

Correlation

-0.50.00.51.00.8

The correlation between ONEO and ONEY is 0.81, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

ONEO vs. ONEY - Performance Comparison

In the year-to-date period, ONEO achieves a 14.04% return, which is significantly higher than ONEY's 12.24% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
7.02%
6.53%
ONEO
ONEY

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ONEO vs. ONEY - Expense Ratio Comparison

Both ONEO and ONEY have an expense ratio of 0.20%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


ONEO
SPDR Russell 1000 Momentum Focus ETF
Expense ratio chart for ONEO: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for ONEY: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

ONEO vs. ONEY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Russell 1000 Momentum Focus ETF (ONEO) and SPDR Russell 1000 Yield Focus ETF (ONEY). 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.


ONEO
Sharpe ratio
The chart of Sharpe ratio for ONEO, currently valued at 2.24, compared to the broader market0.002.004.006.002.24
Sortino ratio
The chart of Sortino ratio for ONEO, currently valued at 3.12, compared to the broader market0.005.0010.003.12
Omega ratio
The chart of Omega ratio for ONEO, currently valued at 1.38, compared to the broader market1.001.502.002.503.003.501.38
Calmar ratio
The chart of Calmar ratio for ONEO, currently valued at 2.69, compared to the broader market0.005.0010.0015.0020.002.69
Martin ratio
The chart of Martin ratio for ONEO, currently valued at 11.24, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.24
ONEY
Sharpe ratio
The chart of Sharpe ratio for ONEY, currently valued at 2.02, compared to the broader market0.002.004.006.002.02
Sortino ratio
The chart of Sortino ratio for ONEY, currently valued at 2.94, compared to the broader market0.005.0010.002.94
Omega ratio
The chart of Omega ratio for ONEY, currently valued at 1.35, compared to the broader market1.001.502.002.503.003.501.35
Calmar ratio
The chart of Calmar ratio for ONEY, currently valued at 2.37, compared to the broader market0.005.0010.0015.0020.002.37
Martin ratio
The chart of Martin ratio for ONEY, currently valued at 11.44, compared to the broader market0.0020.0040.0060.0080.00100.00120.0011.44

ONEO vs. ONEY - Sharpe Ratio Comparison

The current ONEO Sharpe Ratio is 2.53, which is comparable to the ONEY Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of ONEO and ONEY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
2.24
2.02
ONEO
ONEY

Dividends

ONEO vs. ONEY - Dividend Comparison

ONEO's dividend yield for the trailing twelve months is around 1.27%, less than ONEY's 3.10% yield.


TTM202320222021202020192018201720162015
ONEO
SPDR Russell 1000 Momentum Focus ETF
1.27%1.56%1.73%1.19%1.28%1.64%1.72%7.69%1.82%0.10%
ONEY
SPDR Russell 1000 Yield Focus ETF
3.10%3.14%3.17%2.46%2.74%3.17%3.72%10.73%3.19%0.29%

Drawdowns

ONEO vs. ONEY - Drawdown Comparison

The maximum ONEO drawdown since its inception was -40.86%, smaller than the maximum ONEY drawdown of -46.80%. Use the drawdown chart below to compare losses from any high point for ONEO and ONEY. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.91%
-2.76%
ONEO
ONEY

Volatility

ONEO vs. ONEY - Volatility Comparison

SPDR Russell 1000 Momentum Focus ETF (ONEO) and SPDR Russell 1000 Yield Focus ETF (ONEY) have volatilities of 2.82% and 2.69%, 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.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.82%
2.69%
ONEO
ONEY