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

Correlation

The correlation between SPDG and SPY is 0.82, 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

SPDG vs. SPY - 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 SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

SPDG:

0.69

SPY:

0.50

Sortino Ratio

SPDG:

1.12

SPY:

0.88

Omega Ratio

SPDG:

1.15

SPY:

1.13

Calmar Ratio

SPDG:

0.80

SPY:

0.56

Martin Ratio

SPDG:

3.16

SPY:

2.17

Ulcer Index

SPDG:

3.99%

SPY:

4.85%

Daily Std Dev

SPDG:

17.06%

SPY:

20.02%

Max Drawdown

SPDG:

-15.67%

SPY:

-55.19%

Current Drawdown

SPDG:

-7.31%

SPY:

-7.65%

Returns By Period

In the year-to-date period, SPDG achieves a -1.89% return, which is significantly higher than SPY's -3.42% return.


SPDG

YTD

-1.89%

1M

2.81%

6M

-4.05%

1Y

11.62%

5Y*

N/A

10Y*

N/A

SPY

YTD

-3.42%

1M

2.87%

6M

-5.06%

1Y

9.87%

5Y*

15.76%

10Y*

12.35%

*Annualized

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SPDG vs. SPY - Expense Ratio Comparison

SPDG has a 0.05% expense ratio, which is lower than SPY's 0.09% expense ratio. Despite the difference, 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. SPY — 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

SPY
The Risk-Adjusted Performance Rank of SPY is 6262
Overall Rank
The Sharpe Ratio Rank of SPY is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6161
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6666
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6464
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. SPY - 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 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.


The current SPDG Sharpe Ratio is 0.69, which is higher than the SPY Sharpe Ratio of 0.50. The chart below compares the historical Sharpe Ratios of SPDG and SPY, 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. SPY - Dividend Comparison

SPDG's dividend yield for the trailing twelve months is around 2.86%, more than SPY's 1.27% 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%
SPY
SPDR S&P 500 ETF
1.27%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%

Drawdowns

SPDG vs. SPY - Drawdown Comparison

The maximum SPDG drawdown since its inception was -15.67%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SPDG and SPY. For additional features, visit the drawdowns tool.


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Volatility

SPDG vs. SPY - Volatility Comparison


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