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SPYD vs. SDY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

SPYD vs. SDY - Performance Comparison

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

90.00%100.00%110.00%120.00%130.00%140.00%150.00%JuneJulyAugustSeptemberOctoberNovember
128.05%
145.11%
SPYD
SDY

Returns By Period

In the year-to-date period, SPYD achieves a 20.15% return, which is significantly higher than SDY's 13.77% return.


SPYD

YTD

20.15%

1M

-1.32%

6M

12.60%

1Y

33.94%

5Y (annualized)

8.08%

10Y (annualized)

N/A

SDY

YTD

13.77%

1M

-2.68%

6M

6.74%

1Y

21.72%

5Y (annualized)

8.61%

10Y (annualized)

9.57%

Key characteristics


SPYDSDY
Sharpe Ratio2.552.14
Sortino Ratio3.553.00
Omega Ratio1.451.39
Calmar Ratio2.072.35
Martin Ratio16.9112.33
Ulcer Index1.96%1.76%
Daily Std Dev13.04%10.16%
Max Drawdown-46.42%-54.75%
Current Drawdown-1.32%-2.79%

Compare stocks, funds, or ETFs

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SPYD vs. SDY - Expense Ratio Comparison

SPYD has a 0.07% expense ratio, which is lower than SDY's 0.35% expense ratio.


SDY
SPDR S&P Dividend ETF
Expense ratio chart for SDY: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for SPYD: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.00.9

The correlation between SPYD and SDY is 0.91, 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

SPYD vs. SDY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 500 High Dividend ETF (SPYD) and SPDR S&P Dividend ETF (SDY). 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 SPYD, currently valued at 2.54, compared to the broader market0.002.004.006.002.552.14
The chart of Sortino ratio for SPYD, currently valued at 3.55, compared to the broader market-2.000.002.004.006.008.0010.0012.003.553.00
The chart of Omega ratio for SPYD, currently valued at 1.45, compared to the broader market0.501.001.502.002.503.001.451.39
The chart of Calmar ratio for SPYD, currently valued at 2.07, compared to the broader market0.005.0010.0015.002.072.35
The chart of Martin ratio for SPYD, currently valued at 16.91, compared to the broader market0.0020.0040.0060.0080.00100.0016.9112.33
SPYD
SDY

The current SPYD Sharpe Ratio is 2.55, which is comparable to the SDY Sharpe Ratio of 2.14. The chart below compares the historical Sharpe Ratios of SPYD and SDY, 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 Ratio0.501.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.55
2.14
SPYD
SDY

Dividends

SPYD vs. SDY - Dividend Comparison

SPYD's dividend yield for the trailing twelve months is around 4.06%, more than SDY's 2.95% yield.


TTM20232022202120202019201820172016201520142013
SPYD
SPDR Portfolio S&P 500 High Dividend ETF
4.06%4.66%5.01%3.69%4.96%4.42%4.75%4.64%4.34%1.13%0.00%0.00%
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%

Drawdowns

SPYD vs. SDY - Drawdown Comparison

The maximum SPYD drawdown since its inception was -46.42%, smaller than the maximum SDY drawdown of -54.75%. Use the drawdown chart below to compare losses from any high point for SPYD and SDY. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.32%
-2.79%
SPYD
SDY

Volatility

SPYD vs. SDY - Volatility Comparison

SPDR Portfolio S&P 500 High Dividend ETF (SPYD) has a higher volatility of 3.42% compared to SPDR S&P Dividend ETF (SDY) at 2.69%. This indicates that SPYD's price experiences larger fluctuations and is considered to be riskier than SDY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%JuneJulyAugustSeptemberOctoberNovember
3.42%
2.69%
SPYD
SDY