SDRIX vs. SPY

Last updated Aug 4, 2026

SDRIX (Swan Defined Risk Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - SDRIX is a Options Trading fund managed by Swan, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, SDRIX returned 5.53%/yr vs 15.09%/yr for SPY. Their correlation of 0.92 means they have usually moved in the same direction. SDRIX charges 1.18%/yr vs 0.09%/yr for SPY.

Performance

SDRIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Swan Defined Risk Fund (SDRIX) 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, SDRIX achieves a 4.87% return, which is significantly lower than SPY's 11.70% return. Over the past 10 years, SDRIX has underperformed SPY with an annualized return of 5.53%, while SPY has yielded a comparatively higher 15.09% annualized return.

SDRIX

• 1D: 0.39%
• 1M: -0.45%
• 6M: 3.75%
• YTD: 4.87%
• 1Y: 12.90%
• 3Y*: 8.09%
• 5Y*: 4.72%
• 10Y*: 5.53%
• ALL TIME*: 5.47%

SPY

• 1D: 1.42%
• 1M: 1.73%
• 6M: 9.53%
• YTD: 11.70%
• 1Y: 23.22%
• 3Y*: 20.74%
• 5Y*: 13.05%
• 10Y*: 15.09%
• ALL TIME*: 10.83%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
SDRIX Swan Defined Risk Fund	$0.00	$0.00	$0.00
SPY State Street SPDR S&P 500 ETF	$38.19B	$36.17B	$39.59B

SDRIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SDRIX Swan Defined Risk Fund	4.87%	10.72%	4.91%	12.37%	-12.84%	17.41%	5.25%	12.75%	-8.85%	10.25%
SPY State Street SPDR S&P 500 ETF	11.70%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between SDRIX and SPY is 0.98 - they have historically moved very closely together. At this level, their price movements offset little of one another.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.98
Correlation (3Y) Balances recent behavior with more history.	0.97
Correlation (5Y) Shows whether the relationship held over a longer period.	0.95
Correlation (10Y) Provides a long-term view across more market conditions.	0.93
Correlation (All Time) Calculated using the full available price history since Jan 2, 2013	0.92

The correlation between SDRIX and SPY has been stable across timeframes, ranging from 0.92 to 0.98 - a consistent structural relationship.

Return for Risk

SDRIX vs. SPY — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

SDRIX

SDRIX Risk / Return Rank: 52
SDRIX Sharpe Ratio Rank: 47
SDRIX Sortino Ratio Rank: 44
SDRIX Omega Ratio Rank: 44
SDRIX Calmar Ratio Rank: 62
SDRIX Martin Ratio Rank: 65

SPY

SPY Risk / Return Rank: 78
SPY Sharpe Ratio Rank: 78
SPY Sortino Ratio Rank: 77
SPY Omega Ratio Rank: 77
SPY Calmar Ratio Rank: 74
SPY Martin Ratio Rank: 83

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

SDRIX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Swan Defined Risk Fund (SDRIX) 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.

	SDRIX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.42	1.82	-0.40
Sortino ratio: Return per unit of downside risk	1.99	2.50	-0.52
Omega ratio: Gain probability vs. loss probability	1.26	1.32	-0.07
Calmar ratio: Return relative to maximum drawdown	2.24	2.62	-0.39
Martin ratio: Return relative to average drawdown	8.79	11.20	-2.41

SDRIX vs. SPY - Sharpe Ratio Comparison

The current SDRIX Sharpe Ratio is 1.42, which is comparable to the SPY Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of SDRIX 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

SDRIX vs. SPY - Drawdown Comparison

The maximum SDRIX drawdown since its inception was -20.69%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SDRIX and SPY.

Drawdown Indicators

	SDRIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-20.69%	-55.19%	+34.50%
Max Drawdown (1Y) Largest decline over 1 year	-5.29%	-8.88%	+3.59%
Max Drawdown (3Y) Largest decline over 3 years	-14.16%	-18.76%	+4.60%
Max Drawdown (5Y) Largest decline over 5 years	-17.67%	-24.50%	+6.83%
Max Drawdown (10Y) Largest decline over 10 years	-20.69%	-33.72%	+13.03%
Current Drawdown Current decline from peak	-1.78%	0.00%	-1.78%
Average Drawdown Average peak-to-trough decline	-3.53%	-9.01%	+5.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.35%	2.08%	-0.73%

Volatility

SDRIX vs. SPY - Volatility Comparison

The current volatility for Swan Defined Risk Fund (SDRIX) is 2.48%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 3.84%. This indicates that SDRIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SDRIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.48%	3.84%	-1.36%
Volatility (6M) Calculated over the trailing 6-month period	6.72%	10.23%	-3.51%
Volatility (1Y) Calculated over the trailing 1-year period	8.35%	12.87%	-4.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.70%	17.19%	-7.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.76%	17.96%	-8.20%

SDRIX vs. SPY - Expense Ratio Comparison

SDRIX has a 1.18% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

SDRIX vs. SPY - Dividend Comparison

SDRIX's dividend yield for the trailing twelve months is around 10.06%, more than SPY's 0.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SDRIX Swan Defined Risk Fund	10.06%	10.55%	0.00%	12.37%	0.00%	0.00%	0.34%	1.21%	1.00%	0.76%	1.42%	0.78%
SPY State Street SPDR S&P 500 ETF	0.99%	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 SDRIX and SPY in my portfolio?

With a correlation of 0.98, SDRIX and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, SDRIX or SPY?

SPY has higher volatility (3.84%) compared to SDRIX (2.48%). In terms of maximum drawdown, SDRIX dropped -20.69% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.82 vs 1.42), 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.