SDY vs. USMV
Compare and contrast key facts about SPDR S&P Dividend ETF (SDY) and iShares Edge MSCI Min Vol USA ETF (USMV).
SDY and USMV are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SDY is a passively managed fund by State Street that tracks the performance of the S&P High Yield Dividend Aristocrats Index. It was launched on Nov 15, 2005. USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011. Both SDY and USMV are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SDY or USMV.
Performance
SDY vs. USMV - Performance Comparison
Returns By Period
In the year-to-date period, SDY achieves a 13.77% return, which is significantly lower than USMV's 18.28% return. Over the past 10 years, SDY has underperformed USMV with an annualized return of 9.57%, while USMV has yielded a comparatively higher 10.65% annualized return.
SDY
13.77%
-2.68%
6.74%
21.72%
8.61%
9.57%
USMV
18.28%
-1.67%
9.30%
24.20%
9.17%
10.65%
Key characteristics
| SDY | USMV | |
|---|---|---|
| Sharpe Ratio | 2.14 | 2.86 |
| Sortino Ratio | 3.00 | 4.01 |
| Omega Ratio | 1.39 | 1.53 |
| Calmar Ratio | 2.35 | 4.84 |
| Martin Ratio | 12.33 | 18.65 |
| Ulcer Index | 1.76% | 1.30% |
| Daily Std Dev | 10.16% | 8.47% |
| Max Drawdown | -54.75% | -33.10% |
| Current Drawdown | -2.79% | -2.48% |
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SDY vs. USMV - Expense Ratio Comparison
SDY has a 0.35% expense ratio, which is higher than USMV's 0.15% expense ratio.
Correlation
The correlation between SDY and USMV is 0.85, 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.
Risk-Adjusted Performance
SDY vs. USMV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Dividend ETF (SDY) and iShares Edge MSCI Min Vol USA ETF (USMV). 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.
Dividends
SDY vs. USMV - Dividend Comparison
SDY's dividend yield for the trailing twelve months is around 2.95%, more than USMV's 1.64% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SDY SPDR S&P Dividend ETF | 2.95% | 2.64% | 2.55% | 2.63% | 2.85% | 2.45% | 2.73% | 4.69% | 3.30% | 6.20% | 4.74% | 3.95% |
USMV iShares Edge MSCI Min Vol USA ETF | 1.64% | 1.82% | 1.62% | 1.26% | 1.81% | 1.88% | 2.12% | 1.77% | 2.22% | 2.02% | 1.88% | 2.18% |
Drawdowns
SDY vs. USMV - Drawdown Comparison
The maximum SDY drawdown since its inception was -54.75%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for SDY and USMV. For additional features, visit the drawdowns tool.
Volatility
SDY vs. USMV - Volatility Comparison
The current volatility for SPDR S&P Dividend ETF (SDY) is 2.69%, while iShares Edge MSCI Min Vol USA ETF (USMV) has a volatility of 3.09%. This indicates that SDY experiences smaller price fluctuations and is considered to be less risky than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.