^DJTMDI vs. SPY

Last updated Jun 3, 2026

^DJTMDI (Dow Jones Media Titans 30 Index) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^DJTMDI returned 3.26%/yr vs 15.49%/yr for SPY. A 0.71 correlation means they provide meaningful diversification when combined.

Performance

^DJTMDI vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Media Titans 30 Index (^DJTMDI) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^DJTMDI achieves a -7.28% return, which is significantly lower than SPY's 10.91% return. Over the past 10 years, ^DJTMDI has underperformed SPY with an annualized return of 3.26%, while SPY has yielded a comparatively higher 15.49% annualized return.

^DJTMDI

• 1D: 0.03%
• 1M: 0.72%
• YTD: -7.28%
• 6M: -2.61%
• 1Y: -9.13%
• 3Y*: 8.45%
• 5Y*: -3.43%
• 10Y*: 3.26%

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^DJTMDI vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^DJTMDI Dow Jones Media Titans 30 Index	-7.28%	4.63%	21.15%	20.46%	-37.69%	1.83%	18.90%	26.69%	-8.55%	9.45%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between ^DJTMDI and SPY is 0.46, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.46
Correlation (3Y) Calculated over the trailing 3-year period	0.61
Correlation (5Y) Calculated over the trailing 5-year period	0.69
Correlation (10Y) Calculated over the trailing 10-year period	0.69
Correlation (All Time) Calculated using the full available price history since Apr 8, 2013	0.71

Over the past year, the correlation between ^DJTMDI and SPY has dropped to 0.46 - well below their long-term average of 0.71, suggesting their price drivers have been diverging.

Return for Risk

^DJTMDI vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^DJTMDI

^DJTMDI Risk / Return Rank: 1
^DJTMDI Sharpe Ratio Rank: 2
^DJTMDI Sortino Ratio Rank: 2
^DJTMDI Omega Ratio Rank: 2
^DJTMDI Calmar Ratio Rank: 0
^DJTMDI Martin Ratio Rank: 1

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^DJTMDI vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Media Titans 30 Index (^DJTMDI) and State Street 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.

	^DJTMDI	SPY	Difference
Sharpe ratio Return per unit of total volatility	-0.59	2.38	-2.97
Sortino ratio Return per unit of downside risk	-0.75	3.24	-3.99
Omega ratio Gain probability vs. loss probability	0.91	1.43	-0.52
Calmar ratio Return relative to maximum drawdown	-0.60	3.16	-3.76
Martin ratio Return relative to average drawdown	-1.05	14.72	-15.77
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^DJTMDI vs. SPY - Sharpe Ratio Comparison

The current ^DJTMDI Sharpe Ratio is -0.59, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of ^DJTMDI and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^DJTMDI	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.59	2.38	-2.97
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.17	0.82	-0.98
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.14	0.87	-0.72
Sharpe Ratio (All Time) Calculated using the full available price history	0.23	0.59	-0.35

Drawdowns

^DJTMDI vs. SPY - Drawdown Comparison

The maximum ^DJTMDI drawdown since its inception was -50.37%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DJTMDI and SPY.

Drawdown Indicators

	^DJTMDI	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-50.37%	-55.19%	+4.82%
Max Drawdown (1Y) Largest decline over 1 year	-18.96%	-8.88%	-10.08%
Max Drawdown (3Y) Largest decline over 3 years	-21.57%	-18.76%	-2.81%
Max Drawdown (5Y) Largest decline over 5 years	-49.71%	-24.50%	-25.21%
Max Drawdown (10Y) Largest decline over 10 years	-50.37%	-33.72%	-16.65%
Current Drawdown Current decline from peak	-21.99%	-0.70%	-21.29%
Average Drawdown Average peak-to-trough decline	-14.62%	-9.05%	-5.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	10.78%	1.91%	+8.87%

Volatility

^DJTMDI vs. SPY - Volatility Comparison

Dow Jones Media Titans 30 Index (^DJTMDI) has a higher volatility of 4.10% compared to State Street SPDR S&P 500 ETF (SPY) at 2.84%. This indicates that ^DJTMDI'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.

Volatility by Period

	^DJTMDI	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.10%	2.84%	+1.26%
Volatility (6M) Calculated over the trailing 6-month period	11.15%	8.90%	+2.25%
Volatility (1Y) Calculated over the trailing 1-year period	15.19%	11.83%	+3.36%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.91%	17.05%	+2.86%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.17%	17.94%	+4.23%

Frequently Asked Questions

Can I hold both ^DJTMDI and SPY in my portfolio?

^DJTMDI and SPY have a correlation of 0.46, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^DJTMDI or SPY?

^DJTMDI has higher volatility (4.10%) compared to SPY (2.84%). In terms of maximum drawdown, ^DJTMDI dropped -50.37% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs -0.59), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.