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

Key characteristics


SYLDSDY
YTD Return3.77%3.93%
1Y Return26.21%11.31%
3Y Return (Ann)4.70%3.72%
5Y Return (Ann)17.58%8.51%
10Y Return (Ann)11.85%9.44%
Sharpe Ratio1.670.87
Daily Std Dev15.31%11.60%
Max Drawdown-45.36%-54.75%
Current Drawdown-4.98%-2.49%

Correlation

-0.50.00.51.00.8

The correlation between SYLD and SDY is 0.85, 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

SYLD vs. SDY - Performance Comparison

The year-to-date returns for both investments are quite close, with SYLD having a 3.77% return and SDY slightly higher at 3.93%. Over the past 10 years, SYLD has outperformed SDY with an annualized return of 11.85%, while SDY has yielded a comparatively lower 9.44% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


160.00%180.00%200.00%220.00%240.00%260.00%280.00%December2024FebruaryMarchAprilMay
269.49%
176.56%
SYLD
SDY

Compare stocks, funds, or ETFs

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


Cambria Shareholder Yield ETF

SPDR S&P Dividend ETF

SYLD vs. SDY - Expense Ratio Comparison

SYLD has a 0.59% expense ratio, which is higher than SDY's 0.35% expense ratio.


SYLD
Cambria Shareholder Yield ETF
Expense ratio chart for SYLD: current value at 0.59% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.59%
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%

Risk-Adjusted Performance

SYLD vs. SDY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Cambria Shareholder Yield ETF (SYLD) 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.


SYLD
Sharpe ratio
The chart of Sharpe ratio for SYLD, currently valued at 1.67, compared to the broader market0.002.004.001.67
Sortino ratio
The chart of Sortino ratio for SYLD, currently valued at 2.53, compared to the broader market0.005.0010.002.53
Omega ratio
The chart of Omega ratio for SYLD, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.28
Calmar ratio
The chart of Calmar ratio for SYLD, currently valued at 1.54, compared to the broader market0.005.0010.0015.001.54
Martin ratio
The chart of Martin ratio for SYLD, currently valued at 7.48, compared to the broader market0.0020.0040.0060.0080.00100.007.48
SDY
Sharpe ratio
The chart of Sharpe ratio for SDY, currently valued at 0.87, compared to the broader market0.002.004.000.87
Sortino ratio
The chart of Sortino ratio for SDY, currently valued at 1.31, compared to the broader market0.005.0010.001.31
Omega ratio
The chart of Omega ratio for SDY, currently valued at 1.15, compared to the broader market0.501.001.502.002.503.001.15
Calmar ratio
The chart of Calmar ratio for SDY, currently valued at 0.67, compared to the broader market0.005.0010.0015.000.67
Martin ratio
The chart of Martin ratio for SDY, currently valued at 2.08, compared to the broader market0.0020.0040.0060.0080.00100.002.08

SYLD vs. SDY - Sharpe Ratio Comparison

The current SYLD Sharpe Ratio is 1.67, which is higher than the SDY Sharpe Ratio of 0.87. The chart below compares the 12-month rolling Sharpe Ratio of SYLD and SDY.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00December2024FebruaryMarchAprilMay
1.67
0.87
SYLD
SDY

Dividends

SYLD vs. SDY - Dividend Comparison

SYLD's dividend yield for the trailing twelve months is around 1.78%, less than SDY's 2.55% yield.


TTM20232022202120202019201820172016201520142013
SYLD
Cambria Shareholder Yield ETF
1.78%1.92%2.20%2.22%1.99%2.08%2.52%1.40%1.92%2.11%1.77%0.83%
SDY
SPDR S&P Dividend ETF
2.55%2.64%2.55%2.63%2.85%2.45%2.73%4.69%3.30%6.20%4.74%3.95%

Drawdowns

SYLD vs. SDY - Drawdown Comparison

The maximum SYLD drawdown since its inception was -45.36%, smaller than the maximum SDY drawdown of -54.75%. Use the drawdown chart below to compare losses from any high point for SYLD and SDY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-4.98%
-2.49%
SYLD
SDY

Volatility

SYLD vs. SDY - Volatility Comparison

Cambria Shareholder Yield ETF (SYLD) has a higher volatility of 3.60% compared to SPDR S&P Dividend ETF (SDY) at 2.68%. This indicates that SYLD'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%3.00%4.00%5.00%6.00%December2024FebruaryMarchAprilMay
3.60%
2.68%
SYLD
SDY