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Dow Jones Islamic Market U.S. Index (^IMUS)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Popular comparisons: ^IMUS vs. ^IMXL, ^IMUS vs. SPUS, ^IMUS vs. VOO, ^IMUS vs. UMMA, ^IMUS vs. HLAL, ^IMUS vs. ^DJI, ^IMUS vs. ^GSPC

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Dow Jones Islamic Market U.S. Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
6.41%
7.53%
^IMUS (Dow Jones Islamic Market U.S. Index)
Benchmark (^GSPC)

Returns By Period

Dow Jones Islamic Market U.S. Index had a return of 17.48% year-to-date (YTD) and 26.55% in the last 12 months. Over the past 10 years, Dow Jones Islamic Market U.S. Index had an annualized return of 11.38%, while the S&P 500 benchmark had an annualized return of 10.85%, indicating that Dow Jones Islamic Market U.S. Index performed slightly bigger than the benchmark.


PeriodReturnBenchmark
Year-To-Date17.48%17.79%
1 month-0.73%0.18%
6 months6.41%7.53%
1 year26.55%26.42%
5 years (annualized)13.98%13.48%
10 years (annualized)11.38%10.85%

Monthly Returns

The table below presents the monthly returns of ^IMUS, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.56%6.35%2.40%-4.35%5.00%4.82%-0.18%1.80%17.48%
20237.02%-1.90%6.19%0.96%2.45%6.77%3.06%-1.38%-5.31%-2.75%9.46%4.70%32.07%
2022-7.72%-3.88%3.84%-9.81%-1.85%-8.27%10.83%-5.02%-9.35%6.15%5.37%-6.62%-25.45%
2021-0.33%0.85%2.87%5.46%-0.57%4.73%3.72%2.82%-5.58%8.01%0.41%3.04%27.79%
20200.62%-7.46%-10.65%13.94%6.30%2.88%6.13%8.73%-3.93%-2.94%10.57%3.94%28.19%
20197.42%4.21%2.66%3.33%-7.06%7.51%1.69%-1.55%1.10%2.22%3.73%3.22%31.43%
20185.29%-3.98%-2.01%0.26%3.79%0.60%3.51%3.81%0.72%-8.01%1.53%-8.51%-4.10%
20172.20%3.88%0.67%1.50%1.83%-0.25%1.92%0.82%1.84%2.84%2.58%0.82%22.63%
2016-5.14%-0.58%6.98%-0.38%1.73%-0.33%4.50%-0.35%0.36%-2.75%1.60%0.80%6.07%
2015-2.48%5.81%-1.82%0.68%0.93%-2.33%1.33%-6.00%-2.85%8.53%0.24%-2.08%-0.89%
2014-3.23%5.33%-0.39%0.50%2.00%2.13%-1.62%4.01%-1.89%2.32%2.15%-0.65%10.82%
20135.90%1.03%2.45%1.08%3.54%-3.15%5.31%-2.22%3.35%4.21%2.83%2.53%29.93%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^IMUS is 69, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^IMUS is 6969
^IMUS (Dow Jones Islamic Market U.S. Index)
The Sharpe Ratio Rank of ^IMUS is 6161Sharpe Ratio Rank
The Sortino Ratio Rank of ^IMUS is 6161Sortino Ratio Rank
The Omega Ratio Rank of ^IMUS is 7373Omega Ratio Rank
The Calmar Ratio Rank of ^IMUS is 8686Calmar Ratio Rank
The Martin Ratio Rank of ^IMUS is 6161Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Dow Jones Islamic Market U.S. Index (^IMUS) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^IMUS
Sharpe ratio
The chart of Sharpe ratio for ^IMUS, currently valued at 1.75, compared to the broader market-1.000.001.002.001.75
Sortino ratio
The chart of Sortino ratio for ^IMUS, currently valued at 2.40, compared to the broader market-1.000.001.002.003.002.40
Omega ratio
The chart of Omega ratio for ^IMUS, currently valued at 1.36, compared to the broader market1.001.201.401.36
Calmar ratio
The chart of Calmar ratio for ^IMUS, currently valued at 2.29, compared to the broader market0.001.002.003.004.005.002.29
Martin ratio
The chart of Martin ratio for ^IMUS, currently valued at 8.77, compared to the broader market0.005.0010.0015.0020.008.77
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.06, compared to the broader market-1.000.001.002.002.06
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market-1.000.001.002.003.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market1.001.201.401.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.85, compared to the broader market0.001.002.003.004.005.001.85
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.09, compared to the broader market0.005.0010.0015.0020.0011.09

Sharpe Ratio

The current Dow Jones Islamic Market U.S. Index Sharpe ratio is 1.75. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Dow Jones Islamic Market U.S. Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.75
2.06
^IMUS (Dow Jones Islamic Market U.S. Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-2.85%
-0.86%
^IMUS (Dow Jones Islamic Market U.S. Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Dow Jones Islamic Market U.S. Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Dow Jones Islamic Market U.S. Index was 47.72%, occurring on Mar 9, 2009. Recovery took 542 trading sessions.

The current Dow Jones Islamic Market U.S. Index drawdown is 2.85%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.72%Nov 1, 2007339Mar 9, 2009542Apr 29, 2011881
-42.69%May 22, 2001346Oct 9, 20021033Nov 14, 20061379
-32.2%Feb 20, 202023Mar 23, 202072Jul 6, 202095
-29.97%Dec 28, 2021234Oct 14, 2022384Jan 23, 2024618
-20.39%Oct 2, 201858Dec 24, 201876Apr 12, 2019134

Volatility

Volatility Chart

The current Dow Jones Islamic Market U.S. Index volatility is 4.38%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
4.38%
3.99%
^IMUS (Dow Jones Islamic Market U.S. Index)
Benchmark (^GSPC)