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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Dow Jones Global ex-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.
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Returns By Period
Dow Jones Global ex-U.S. Index (^W2DOW) has returned 0.27% so far this year and 23.90% over the past 12 months. Over the last ten years, ^W2DOW has returned 6.09% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Dow Jones Global ex-U.S. Index
- 1D
- 1.55%
- 1M
- -9.80%
- YTD
- 0.27%
- 6M
- 4.57%
- 1Y
- 23.90%
- 3Y*
- 12.20%
- 5Y*
- 4.29%
- 10Y*
- 6.09%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Oct 28, 1998, ^W2DOW's average daily return is +0.13%, while the average monthly return is +0.42%. At this rate, your investment would double in approximately 13.8 years.
Historically, 58% of months were positive and 42% were negative. The best month was Nov 2020 with a return of +13.3%, while the worst month was Oct 2008 at -21.9%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^W2DOW closed higher 52% of trading days. The best single day was Mar 23, 2001 with a return of +884.5%, while the worst single day was Mar 22, 2001 at -90.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.93% | 4.94% | -9.80% | 0.27% | |||||||||
| 2025 | 3.43% | 0.89% | -0.58% | 3.29% | 4.32% | 3.35% | -0.27% | 3.48% | 3.11% | 1.65% | -0.07% | 2.67% | 28.20% |
| 2024 | -1.08% | 2.39% | 2.60% | -2.17% | 2.63% | -0.52% | 2.40% | 2.23% | 2.85% | -4.89% | -0.78% | -2.19% | 3.13% |
| 2023 | 7.53% | -3.50% | 1.63% | 1.37% | -3.70% | 4.15% | 4.01% | -4.48% | -3.48% | -4.21% | 8.83% | 4.84% | 12.35% |
| 2022 | -4.11% | -2.04% | -0.34% | -6.80% | 0.28% | -8.85% | 3.56% | -3.35% | -10.48% | 2.96% | 11.27% | -0.55% | -18.59% |
| 2021 | 0.09% | 2.06% | 0.87% | 2.76% | 2.72% | -0.68% | -1.53% | 1.78% | -3.32% | 1.92% | -4.60% | 3.84% | 5.68% |
Benchmark Metrics
Dow Jones Global ex-U.S. Index has an annualized alpha of 32.01%, beta of 0.58, and R² of 0.00 versus S&P 500 Index. Calculated based on daily prices since October 29, 1998.
- This index participated in 99.78% of S&P 500 Index downside but only 77.98% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.58 may look defensive, but with R² of 0.00 this index is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R² of 0.00 means this index moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 32.01%
- Beta
- 0.58
- R²
- 0.00
- Upside Capture
- 77.98%
- Downside Capture
- 99.78%
Return for Risk
Risk / Return Rank
^W2DOW ranks 89 for risk / return — in the top 89% of indices on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Dow Jones Global ex-U.S. Index (^W2DOW) and compare them to a chosen benchmark (S&P 500 Index).
| ^W2DOW | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.58 | 0.90 | +0.69 |
Sortino ratioReturn per unit of downside risk | 2.03 | 1.39 | +0.65 |
Omega ratioGain probability vs. loss probability | 1.33 | 1.21 | +0.12 |
Calmar ratioReturn relative to maximum drawdown | 2.62 | 1.40 | +1.23 |
Martin ratioReturn relative to average drawdown | 11.27 | 6.61 | +4.66 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^W2DOW risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Dow Jones Global ex-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 Global ex-U.S. Index was 93.05%, occurring on Mar 22, 2001. Recovery took 1222 trading sessions.
The current Dow Jones Global ex-U.S. Index drawdown is 9.80%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -93.05% | Jan 4, 2000 | 314 | Mar 22, 2001 | 1222 | Dec 12, 2005 | 1536 |
| -61.6% | Nov 1, 2007 | 351 | Mar 9, 2009 | 3154 | Feb 16, 2020 | 3505 |
| -43.58% | Feb 18, 2020 | 30 | Mar 23, 2020 | 346 | May 7, 2021 | 376 |
| -32.21% | Jun 16, 2021 | 348 | Oct 13, 2022 | 677 | May 19, 2025 | 1025 |
| -15.95% | May 10, 2006 | 25 | Jun 13, 2006 | 121 | Nov 29, 2006 | 146 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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