PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
SPYX vs. SPYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPYX and SPYG is 0.93, 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.


-0.50.00.51.00.9

Performance

SPYX vs. SPYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and SPDR Portfolio S&P 500 Growth ETF (SPYG). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.98%
12.86%
SPYX
SPYG

Key characteristics

Sharpe Ratio

SPYX:

2.25

SPYG:

2.25

Sortino Ratio

SPYX:

3.01

SPYG:

2.89

Omega Ratio

SPYX:

1.42

SPYG:

1.41

Calmar Ratio

SPYX:

3.38

SPYG:

3.08

Martin Ratio

SPYX:

14.88

SPYG:

12.14

Ulcer Index

SPYX:

1.92%

SPYG:

3.24%

Daily Std Dev

SPYX:

12.67%

SPYG:

17.49%

Max Drawdown

SPYX:

-32.84%

SPYG:

-67.79%

Current Drawdown

SPYX:

-2.30%

SPYG:

-2.45%

Returns By Period

In the year-to-date period, SPYX achieves a 26.72% return, which is significantly lower than SPYG's 37.65% return.


SPYX

YTD

26.72%

1M

0.27%

6M

9.71%

1Y

26.95%

5Y*

14.67%

10Y*

N/A

SPYG

YTD

37.65%

1M

3.29%

6M

11.66%

1Y

37.77%

5Y*

17.47%

10Y*

15.23%

Compare stocks, funds, or ETFs

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


SPYX vs. SPYG - Expense Ratio Comparison

SPYX has a 0.20% expense ratio, which is higher than SPYG's 0.04% 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%.


SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
Expense ratio chart for SPYX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SPYG: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

SPYX vs. SPYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) and SPDR Portfolio S&P 500 Growth ETF (SPYG). 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 SPYX, currently valued at 2.25, compared to the broader market0.002.004.002.252.25
The chart of Sortino ratio for SPYX, currently valued at 3.01, compared to the broader market-2.000.002.004.006.008.0010.003.012.89
The chart of Omega ratio for SPYX, currently valued at 1.42, compared to the broader market0.501.001.502.002.503.001.421.41
The chart of Calmar ratio for SPYX, currently valued at 3.38, compared to the broader market0.005.0010.0015.003.383.08
The chart of Martin ratio for SPYX, currently valued at 14.88, compared to the broader market0.0020.0040.0060.0080.00100.0014.8812.14
SPYX
SPYG

The current SPYX Sharpe Ratio is 2.25, which is comparable to the SPYG Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of SPYX and SPYG, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.25
2.25
SPYX
SPYG

Dividends

SPYX vs. SPYG - Dividend Comparison

SPYX's dividend yield for the trailing twelve months is around 0.76%, more than SPYG's 0.40% yield.


TTM20232022202120202019201820172016201520142013
SPYX
SPDR S&P 500 Fossil Fuel Reserves Free ETF
0.76%1.21%1.41%1.04%1.33%1.56%1.92%1.68%1.91%0.49%0.00%0.00%
SPYG
SPDR Portfolio S&P 500 Growth ETF
0.40%1.15%1.03%0.62%0.90%1.36%1.51%1.41%1.55%1.57%1.37%1.42%

Drawdowns

SPYX vs. SPYG - Drawdown Comparison

The maximum SPYX drawdown since its inception was -32.84%, smaller than the maximum SPYG drawdown of -67.79%. Use the drawdown chart below to compare losses from any high point for SPYX and SPYG. For additional features, visit the drawdowns tool.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.30%
-2.45%
SPYX
SPYG

Volatility

SPYX vs. SPYG - Volatility Comparison

The current volatility for SPDR S&P 500 Fossil Fuel Reserves Free ETF (SPYX) is 3.78%, while SPDR Portfolio S&P 500 Growth ETF (SPYG) has a volatility of 4.80%. This indicates that SPYX experiences smaller price fluctuations and is considered to be less risky than SPYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.78%
4.80%
SPYX
SPYG
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


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.

Copyright © 2024 PortfoliosLab