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SDIV vs. VYM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SDIV and VYM is 0.76, 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.


-0.50.00.51.00.8

Performance

SDIV vs. VYM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X SuperDividend ETF (SDIV) and Vanguard High Dividend Yield ETF (VYM). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
-15.01%
340.16%
SDIV
VYM

Key characteristics

Sharpe Ratio

SDIV:

0.22

VYM:

1.80

Sortino Ratio

SDIV:

0.38

VYM:

2.54

Omega Ratio

SDIV:

1.05

VYM:

1.33

Calmar Ratio

SDIV:

0.07

VYM:

3.24

Martin Ratio

SDIV:

0.73

VYM:

10.75

Ulcer Index

SDIV:

4.31%

VYM:

1.80%

Daily Std Dev

SDIV:

14.37%

VYM:

10.78%

Max Drawdown

SDIV:

-56.90%

VYM:

-56.98%

Current Drawdown

SDIV:

-40.63%

VYM:

-4.93%

Returns By Period

In the year-to-date period, SDIV achieves a 0.52% return, which is significantly lower than VYM's 17.16% return. Over the past 10 years, SDIV has underperformed VYM with an annualized return of -3.42%, while VYM has yielded a comparatively higher 9.60% annualized return.


SDIV

YTD

0.52%

1M

-3.90%

6M

-1.48%

1Y

1.18%

5Y*

-8.38%

10Y*

-3.42%

VYM

YTD

17.16%

1M

-3.32%

6M

8.47%

1Y

17.88%

5Y*

9.71%

10Y*

9.60%

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SDIV vs. VYM - Expense Ratio Comparison

SDIV has a 0.58% expense ratio, which is higher than VYM's 0.06% expense ratio.


SDIV
Global X SuperDividend ETF
Expense ratio chart for SDIV: current value at 0.58% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.58%
Expense ratio chart for VYM: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

SDIV vs. VYM - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X SuperDividend ETF (SDIV) and Vanguard High Dividend Yield ETF (VYM). 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.


Sharpe ratio
The chart of Sharpe ratio for SDIV, currently valued at 0.22, compared to the broader market0.002.004.000.221.80
The chart of Sortino ratio for SDIV, currently valued at 0.38, compared to the broader market-2.000.002.004.006.008.0010.000.382.54
The chart of Omega ratio for SDIV, currently valued at 1.05, compared to the broader market0.501.001.502.002.503.001.051.33
The chart of Calmar ratio for SDIV, currently valued at 0.07, compared to the broader market0.005.0010.0015.000.073.24
The chart of Martin ratio for SDIV, currently valued at 0.73, compared to the broader market0.0020.0040.0060.0080.00100.000.7310.75
SDIV
VYM

The current SDIV Sharpe Ratio is 0.22, which is lower than the VYM Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of SDIV and VYM, 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 Ratio0.000.501.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.22
1.80
SDIV
VYM

Dividends

SDIV vs. VYM - Dividend Comparison

SDIV's dividend yield for the trailing twelve months is around 11.43%, more than VYM's 2.75% yield.


TTM20232022202120202019201820172016201520142013
SDIV
Global X SuperDividend ETF
11.43%11.73%14.17%8.95%7.96%8.74%9.22%6.66%6.95%7.33%6.45%6.89%
VYM
Vanguard High Dividend Yield ETF
2.75%3.12%3.01%2.76%3.18%3.03%3.40%2.80%2.91%3.22%2.78%2.81%

Drawdowns

SDIV vs. VYM - Drawdown Comparison

The maximum SDIV drawdown since its inception was -56.90%, roughly equal to the maximum VYM drawdown of -56.98%. Use the drawdown chart below to compare losses from any high point for SDIV and VYM. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-40.63%
-4.93%
SDIV
VYM

Volatility

SDIV vs. VYM - Volatility Comparison

The current volatility for Global X SuperDividend ETF (SDIV) is 3.73%, while Vanguard High Dividend Yield ETF (VYM) has a volatility of 3.96%. This indicates that SDIV experiences smaller price fluctuations and is considered to be less risky than VYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.73%
3.96%
SDIV
VYM
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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