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SPDG vs. BND
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPDG and BND is 0.20, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


Performance

SPDG vs. BND - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio S&P Sector Neutral Dividend ETF (SPDG) and Vanguard Total Bond Market ETF (BND). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SPDG:

0.69

BND:

1.00

Sortino Ratio

SPDG:

1.12

BND:

1.45

Omega Ratio

SPDG:

1.15

BND:

1.17

Calmar Ratio

SPDG:

0.80

BND:

0.42

Martin Ratio

SPDG:

3.16

BND:

2.54

Ulcer Index

SPDG:

3.99%

BND:

2.07%

Daily Std Dev

SPDG:

17.06%

BND:

5.30%

Max Drawdown

SPDG:

-15.67%

BND:

-18.84%

Current Drawdown

SPDG:

-7.31%

BND:

-7.35%

Returns By Period

In the year-to-date period, SPDG achieves a -1.89% return, which is significantly lower than BND's 2.21% return.


SPDG

YTD

-1.89%

1M

2.81%

6M

-4.05%

1Y

11.62%

5Y*

N/A

10Y*

N/A

BND

YTD

2.21%

1M

0.17%

6M

1.19%

1Y

5.24%

5Y*

-0.84%

10Y*

1.51%

*Annualized

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SPDG vs. BND - Expense Ratio Comparison

SPDG has a 0.05% expense ratio, which is higher than BND's 0.03% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Risk-Adjusted Performance

SPDG vs. BND — Risk-Adjusted Performance Rank

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

SPDG
The Risk-Adjusted Performance Rank of SPDG is 7474
Overall Rank
The Sharpe Ratio Rank of SPDG is 7070
Sharpe Ratio Rank
The Sortino Ratio Rank of SPDG is 7373
Sortino Ratio Rank
The Omega Ratio Rank of SPDG is 7171
Omega Ratio Rank
The Calmar Ratio Rank of SPDG is 7878
Calmar Ratio Rank
The Martin Ratio Rank of SPDG is 7676
Martin Ratio Rank

BND
The Risk-Adjusted Performance Rank of BND is 7373
Overall Rank
The Sharpe Ratio Rank of BND is 8282
Sharpe Ratio Rank
The Sortino Ratio Rank of BND is 8282
Sortino Ratio Rank
The Omega Ratio Rank of BND is 7676
Omega Ratio Rank
The Calmar Ratio Rank of BND is 5555
Calmar Ratio Rank
The Martin Ratio Rank of BND is 7070
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

SPDG vs. BND - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P Sector Neutral Dividend ETF (SPDG) and Vanguard Total Bond Market ETF (BND). 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.


The current SPDG Sharpe Ratio is 0.69, which is lower than the BND Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of SPDG and BND, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

SPDG vs. BND - Dividend Comparison

SPDG's dividend yield for the trailing twelve months is around 2.86%, less than BND's 3.75% yield.


TTM20242023202220212020201920182017201620152014
SPDG
SPDR Portfolio S&P Sector Neutral Dividend ETF
2.86%2.61%0.90%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BND
Vanguard Total Bond Market ETF
3.75%3.67%3.09%2.60%1.97%2.22%2.72%2.81%2.54%2.51%2.57%2.79%

Drawdowns

SPDG vs. BND - Drawdown Comparison

The maximum SPDG drawdown since its inception was -15.67%, smaller than the maximum BND drawdown of -18.84%. Use the drawdown chart below to compare losses from any high point for SPDG and BND. For additional features, visit the drawdowns tool.


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Volatility

SPDG vs. BND - Volatility Comparison


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