McKay is an incredibly mediocre director. Vice is an awful film which only works at all because Christian Bale and to a lesser extent Amy Adam's do fantastic work in it
The Big Short meanwhile is fine, barely, but it's far too caught up in its own shtick. A movie which is way too impressed by itself.
The rise of Adam McKay "serious director" is proof that Hollywood cares way more about movies having "important" subject matter than it does about quality or those movies actually having anything to say.
McKays best work is still his work with Ferrell, by a pretty significant margin.
For what it's worth also, Ferrell has done strong dramatic work on several occasions. He's terrific in Stranger Than Fiction and again in Everything Must Go. It's a shame he's had such a struggle finding strong scripts in recent years.