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

Correlation

The correlation between SPSM and SPLG is 0.77, 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

SPSM vs. SPLG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio S&P 600 Small Cap ETF (SPSM) and SPDR Portfolio S&P 500 ETF (SPLG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
10.74%
9.90%
SPSM
SPLG

Key characteristics

Sharpe Ratio

SPSM:

0.46

SPLG:

2.22

Sortino Ratio

SPSM:

0.79

SPLG:

2.95

Omega Ratio

SPSM:

1.09

SPLG:

1.42

Calmar Ratio

SPSM:

0.76

SPLG:

3.26

Martin Ratio

SPSM:

2.40

SPLG:

14.44

Ulcer Index

SPSM:

3.74%

SPLG:

1.91%

Daily Std Dev

SPSM:

19.69%

SPLG:

12.40%

Max Drawdown

SPSM:

-42.89%

SPLG:

-54.50%

Current Drawdown

SPSM:

-8.88%

SPLG:

-1.85%

Returns By Period

In the year-to-date period, SPSM achieves a 8.43% return, which is significantly lower than SPLG's 26.85% return. Over the past 10 years, SPSM has underperformed SPLG with an annualized return of 8.28%, while SPLG has yielded a comparatively higher 13.18% annualized return.


SPSM

YTD

8.43%

1M

-7.12%

6M

9.91%

1Y

8.38%

5Y*

8.21%

10Y*

8.28%

SPLG

YTD

26.85%

1M

0.21%

6M

10.33%

1Y

27.33%

5Y*

14.99%

10Y*

13.18%

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Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SPSM vs. SPLG - Expense Ratio Comparison

SPSM 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%.


SPSM
SPDR Portfolio S&P 600 Small Cap ETF
Expense ratio chart for SPSM: 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

SPSM vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 600 Small Cap ETF (SPSM) 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.


Sharpe ratio
The chart of Sharpe ratio for SPSM, currently valued at 0.46, compared to the broader market0.002.004.000.462.22
The chart of Sortino ratio for SPSM, currently valued at 0.79, compared to the broader market-2.000.002.004.006.008.0010.000.792.95
The chart of Omega ratio for SPSM, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.42
The chart of Calmar ratio for SPSM, currently valued at 0.76, compared to the broader market0.005.0010.0015.000.763.26
The chart of Martin ratio for SPSM, currently valued at 2.40, compared to the broader market0.0020.0040.0060.0080.00100.002.4014.44
SPSM
SPLG

The current SPSM Sharpe Ratio is 0.46, which is lower than the SPLG Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of SPSM 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
0.46
2.22
SPSM
SPLG

Dividends

SPSM vs. SPLG - Dividend Comparison

SPSM's dividend yield for the trailing twelve months is around 1.21%, more than SPLG's 0.91% yield.


TTM20232022202120202019201820172016201520142013
SPSM
SPDR Portfolio S&P 600 Small Cap ETF
1.21%1.61%1.38%1.41%1.17%1.58%1.82%1.51%1.49%2.37%1.70%0.68%
SPLG
SPDR Portfolio S&P 500 ETF
0.91%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

SPSM vs. SPLG - Drawdown Comparison

The maximum SPSM drawdown since its inception was -42.89%, smaller than the maximum SPLG drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for SPSM and SPLG. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.88%
-1.85%
SPSM
SPLG

Volatility

SPSM vs. SPLG - Volatility Comparison

SPDR Portfolio S&P 600 Small Cap ETF (SPSM) has a higher volatility of 5.62% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.83%. This indicates that SPSM'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%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.62%
3.83%
SPSM
SPLG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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