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SPMD vs. SPLG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPMD and SPLG is 0.78, 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

SPMD vs. SPLG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio S&P 400 Mid Cap ETF (SPMD) and SPDR Portfolio S&P 500 ETF (SPLG). The values are adjusted to include any dividend payments, if applicable.

400.00%450.00%500.00%550.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
464.45%
599.46%
SPMD
SPLG

Key characteristics

Sharpe Ratio

SPMD:

0.99

SPLG:

2.26

Sortino Ratio

SPMD:

1.46

SPLG:

3.00

Omega Ratio

SPMD:

1.18

SPLG:

1.42

Calmar Ratio

SPMD:

1.88

SPLG:

3.32

Martin Ratio

SPMD:

5.34

SPLG:

14.73

Ulcer Index

SPMD:

2.95%

SPLG:

1.90%

Daily Std Dev

SPMD:

15.91%

SPLG:

12.40%

Max Drawdown

SPMD:

-57.62%

SPLG:

-54.50%

Current Drawdown

SPMD:

-7.74%

SPLG:

-2.50%

Returns By Period

In the year-to-date period, SPMD achieves a 14.02% return, which is significantly lower than SPLG's 26.00% return. Over the past 10 years, SPMD has underperformed SPLG with an annualized return of 9.27%, while SPLG has yielded a comparatively higher 13.11% annualized return.


SPMD

YTD

14.02%

1M

-4.72%

6M

7.52%

1Y

13.81%

5Y*

10.34%

10Y*

9.27%

SPLG

YTD

26.00%

1M

-0.14%

6M

9.34%

1Y

26.48%

5Y*

14.82%

10Y*

13.11%

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SPMD vs. SPLG - Expense Ratio Comparison

SPMD has a 0.05% expense ratio, which is higher than SPLG'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%.


Expense ratio chart for SPMD: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%
Expense ratio chart for SPLG: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SPMD vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 400 Mid Cap ETF (SPMD) and SPDR Portfolio S&P 500 ETF (SPLG). 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 chart of Sharpe ratio for SPMD, currently valued at 0.99, compared to the broader market0.002.004.000.992.26
The chart of Sortino ratio for SPMD, currently valued at 1.46, compared to the broader market-2.000.002.004.006.008.0010.001.463.00
The chart of Omega ratio for SPMD, currently valued at 1.18, compared to the broader market0.501.001.502.002.503.001.181.42
The chart of Calmar ratio for SPMD, currently valued at 1.88, compared to the broader market0.005.0010.0015.001.883.32
The chart of Martin ratio for SPMD, currently valued at 5.34, compared to the broader market0.0020.0040.0060.0080.00100.005.3414.73
SPMD
SPLG

The current SPMD Sharpe Ratio is 0.99, which is lower than the SPLG Sharpe Ratio of 2.26. The chart below compares the historical Sharpe Ratios of SPMD and SPLG, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.99
2.26
SPMD
SPLG

Dividends

SPMD vs. SPLG - Dividend Comparison

SPMD's dividend yield for the trailing twelve months is around 1.03%, more than SPLG's 0.92% yield.


TTM20232022202120202019201820172016201520142013
SPMD
SPDR Portfolio S&P 400 Mid Cap ETF
1.03%1.47%1.64%1.24%1.30%1.57%1.85%1.97%2.13%5.33%5.71%10.67%
SPLG
SPDR Portfolio S&P 500 ETF
0.92%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

SPMD vs. SPLG - Drawdown Comparison

The maximum SPMD drawdown since its inception was -57.62%, which is greater than SPLG's maximum drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for SPMD and SPLG. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.74%
-2.50%
SPMD
SPLG

Volatility

SPMD vs. SPLG - Volatility Comparison

SPDR Portfolio S&P 400 Mid Cap ETF (SPMD) has a higher volatility of 5.39% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.81%. This indicates that SPMD's price experiences larger fluctuations and is considered to be riskier than SPLG 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%7.00%JulyAugustSeptemberOctoberNovemberDecember
5.39%
3.81%
SPMD
SPLG