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

Key characteristics


SPYGSPLG
YTD Return9.83%6.30%
1Y Return28.99%23.53%
3Y Return (Ann)6.61%8.13%
5Y Return (Ann)14.73%13.60%
10Y Return (Ann)14.28%12.70%
Sharpe Ratio2.152.06
Daily Std Dev13.45%11.64%
Max Drawdown-67.79%-54.50%
Current Drawdown-3.23%-3.75%

Correlation

-0.50.00.51.00.8

The correlation between SPYG and SPLG is 0.83, 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

SPYG vs. SPLG - Performance Comparison

In the year-to-date period, SPYG achieves a 9.83% return, which is significantly higher than SPLG's 6.30% return. Over the past 10 years, SPYG has outperformed SPLG with an annualized return of 14.28%, while SPLG has yielded a comparatively lower 12.70% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
17.71%
16.34%
SPYG
SPLG

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SPDR Portfolio S&P 500 Growth ETF

SPDR Portfolio S&P 500 ETF

SPYG vs. SPLG - Expense Ratio Comparison

SPYG has a 0.04% expense ratio, which is higher than SPLG's 0.03% expense ratio.

SPYG
SPDR Portfolio S&P 500 Growth ETF
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SPYG vs. SPLG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 500 Growth ETF (SPYG) 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.


SPYG
Sharpe ratio
The chart of Sharpe ratio for SPYG, currently valued at 2.15, compared to the broader market-1.000.001.002.003.004.005.002.15
Sortino ratio
The chart of Sortino ratio for SPYG, currently valued at 3.12, compared to the broader market-2.000.002.004.006.008.0010.003.12
Omega ratio
The chart of Omega ratio for SPYG, currently valued at 1.38, compared to the broader market1.001.502.002.501.38
Calmar ratio
The chart of Calmar ratio for SPYG, currently valued at 1.18, compared to the broader market0.002.004.006.008.0010.0012.001.18
Martin ratio
The chart of Martin ratio for SPYG, currently valued at 12.02, compared to the broader market0.0020.0040.0060.0080.0012.02
SPLG
Sharpe ratio
The chart of Sharpe ratio for SPLG, currently valued at 2.06, compared to the broader market-1.000.001.002.003.004.005.002.06
Sortino ratio
The chart of Sortino ratio for SPLG, currently valued at 2.96, compared to the broader market-2.000.002.004.006.008.0010.002.96
Omega ratio
The chart of Omega ratio for SPLG, currently valued at 1.36, compared to the broader market1.001.502.002.501.36
Calmar ratio
The chart of Calmar ratio for SPLG, currently valued at 1.76, compared to the broader market0.002.004.006.008.0010.0012.001.76
Martin ratio
The chart of Martin ratio for SPLG, currently valued at 8.71, compared to the broader market0.0020.0040.0060.0080.008.71

SPYG vs. SPLG - Sharpe Ratio Comparison

The current SPYG Sharpe Ratio is 2.15, which roughly equals the SPLG Sharpe Ratio of 2.06. The chart below compares the 12-month rolling Sharpe Ratio of SPYG and SPLG.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
2.15
2.06
SPYG
SPLG

Dividends

SPYG vs. SPLG - Dividend Comparison

SPYG's dividend yield for the trailing twelve months is around 0.95%, less than SPLG's 1.39% yield.


TTM20232022202120202019201820172016201520142013
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.95%1.15%1.03%0.62%0.90%1.37%1.51%1.41%1.55%1.57%1.37%1.42%
SPLG
SPDR Portfolio S&P 500 ETF
1.39%1.44%1.69%1.25%1.54%1.79%2.23%1.75%1.97%1.98%1.79%1.71%

Drawdowns

SPYG vs. SPLG - Drawdown Comparison

The maximum SPYG drawdown since its inception was -67.79%, which is greater than SPLG's maximum drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for SPYG and SPLG. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.23%
-3.75%
SPYG
SPLG

Volatility

SPYG vs. SPLG - Volatility Comparison

SPDR Portfolio S&P 500 Growth ETF (SPYG) has a higher volatility of 4.17% compared to SPDR Portfolio S&P 500 ETF (SPLG) at 3.35%. This indicates that SPYG'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%NovemberDecember2024FebruaryMarchApril
4.17%
3.35%
SPYG
SPLG