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VPN vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


VPNSPY
YTD Return19.55%27.04%
1Y Return35.44%39.75%
3Y Return (Ann)1.13%10.21%
Sharpe Ratio1.923.15
Sortino Ratio2.774.19
Omega Ratio1.331.59
Calmar Ratio1.264.60
Martin Ratio7.2620.85
Ulcer Index4.78%1.85%
Daily Std Dev18.06%12.29%
Max Drawdown-39.01%-55.19%
Current Drawdown-2.08%0.00%

Correlation

-0.50.00.51.00.7

The correlation between VPN and SPY is 0.68, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

VPN vs. SPY - Performance Comparison

In the year-to-date period, VPN achieves a 19.55% return, which is significantly lower than SPY's 27.04% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%20.00%40.00%60.00%80.00%JuneJulyAugustSeptemberOctoberNovember
22.95%
87.44%
VPN
SPY

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VPN vs. SPY - Expense Ratio Comparison

VPN has a 0.50% expense ratio, which is higher than SPY's 0.09% expense ratio.


VPN
Global X Data Center REITs & Digital Infrastructure ETF
Expense ratio chart for VPN: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

VPN vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Data Center REITs & Digital Infrastructure ETF (VPN) and SPDR S&P 500 ETF (SPY). 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.


VPN
Sharpe ratio
The chart of Sharpe ratio for VPN, currently valued at 1.93, compared to the broader market-2.000.002.004.006.001.93
Sortino ratio
The chart of Sortino ratio for VPN, currently valued at 2.77, compared to the broader market-2.000.002.004.006.008.0010.0012.002.77
Omega ratio
The chart of Omega ratio for VPN, currently valued at 1.34, compared to the broader market1.001.502.002.503.001.34
Calmar ratio
The chart of Calmar ratio for VPN, currently valued at 1.27, compared to the broader market0.005.0010.0015.001.27
Martin ratio
The chart of Martin ratio for VPN, currently valued at 7.28, compared to the broader market0.0020.0040.0060.0080.00100.007.28
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.15, compared to the broader market-2.000.002.004.006.003.15
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.19, compared to the broader market-2.000.002.004.006.008.0010.0012.004.19
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.59, compared to the broader market1.001.502.002.503.001.59
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.60, compared to the broader market0.005.0010.0015.004.60
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.85, compared to the broader market0.0020.0040.0060.0080.00100.0020.85

VPN vs. SPY - Sharpe Ratio Comparison

The current VPN Sharpe Ratio is 1.92, which is lower than the SPY Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of VPN and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
1.93
3.15
VPN
SPY

Dividends

VPN vs. SPY - Dividend Comparison

VPN's dividend yield for the trailing twelve months is around 1.17%, which matches SPY's 1.17% yield.


TTM20232022202120202019201820172016201520142013
VPN
Global X Data Center REITs & Digital Infrastructure ETF
1.17%1.18%2.57%0.85%0.30%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.17%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

VPN vs. SPY - Drawdown Comparison

The maximum VPN drawdown since its inception was -39.01%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for VPN and SPY. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.08%
0
VPN
SPY

Volatility

VPN vs. SPY - Volatility Comparison

Global X Data Center REITs & Digital Infrastructure ETF (VPN) has a higher volatility of 5.93% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that VPN's price experiences larger fluctuations and is considered to be riskier than SPY 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%7.00%JuneJulyAugustSeptemberOctoberNovember
5.93%
3.95%
VPN
SPY