^DJUS vs. SPY

Last updated Jun 3, 2026

^DJUS (Dow Jones U.S. 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, ^DJUS returned 13.44%/yr vs 15.49%/yr for SPY. With a 0.98 correlation, they move nearly in lockstep.

Performance

^DJUS vs. SPY - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with ^DJUS having a 11.30% return and SPY slightly lower at 10.91%. Over the past 10 years, ^DJUS has underperformed SPY with an annualized return of 13.44%, while SPY has yielded a comparatively higher 15.49% annualized return.

^DJUS

• 1D: 0.22%
• 1M: 5.33%
• YTD: 11.30%
• 6M: 11.51%
• 1Y: 27.98%
• 3Y*: 20.99%
• 5Y*: 11.91%
• 10Y*: 13.44%

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)

^DJUS vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^DJUS Dow Jones U.S. Index	11.30%	15.89%	22.77%	24.51%	-20.68%	24.80%	18.31%	28.62%	-6.76%	19.16%
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 ^DJUS and SPY is 0.99 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.99
Correlation (3Y) Calculated over the trailing 3-year period	1.00
Correlation (5Y) Calculated over the trailing 5-year period	1.00
Correlation (10Y) Calculated over the trailing 10-year period	0.99
Correlation (All Time) Calculated using the full available price history since Feb 15, 2000	0.98

The correlation between ^DJUS and SPY has been stable across timeframes, ranging from 0.98 to 1.00 - a consistent structural relationship.

Return for Risk

^DJUS vs. SPY — Risk / Return Rank

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

^DJUS

^DJUS Risk / Return Rank: 76
^DJUS Sharpe Ratio Rank: 73
^DJUS Sortino Ratio Rank: 73
^DJUS Omega Ratio Rank: 73
^DJUS Calmar Ratio Rank: 76
^DJUS Martin Ratio Rank: 84

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.

^DJUS vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Index (^DJUS) 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.

	^DJUS	SPY	Difference
Sharpe ratio Return per unit of total volatility	2.33	2.38	-0.05
Sortino ratio Return per unit of downside risk	3.18	3.24	-0.06
Omega ratio Gain probability vs. loss probability	1.42	1.43	-0.01
Calmar ratio Return relative to maximum drawdown	3.13	3.16	-0.03
Martin ratio Return relative to average drawdown	14.33	14.72	-0.39
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^DJUS vs. SPY - Sharpe Ratio Comparison

The current ^DJUS Sharpe Ratio is 2.33, which is comparable to the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of ^DJUS 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

	^DJUS	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.33	2.38	-0.05
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.69	0.82	-0.12
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.68	0.87	-0.19
Sharpe Ratio (All Time) Calculated using the full available price history	0.34	0.59	-0.25

Drawdowns

^DJUS vs. SPY - Drawdown Comparison

The maximum ^DJUS drawdown since its inception was -56.62%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DJUS and SPY.

Drawdown Indicators

	^DJUS	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-56.62%	-55.19%	-1.43%
Max Drawdown (1Y) Largest decline over 1 year	-9.09%	-8.88%	-0.21%
Max Drawdown (3Y) Largest decline over 3 years	-19.40%	-18.76%	-0.64%
Max Drawdown (5Y) Largest decline over 5 years	-26.24%	-24.50%	-1.74%
Max Drawdown (10Y) Largest decline over 10 years	-45.22%	-33.72%	-11.50%
Current Drawdown Current decline from peak	0.00%	-0.70%	+0.70%
Average Drawdown Average peak-to-trough decline	-13.34%	-9.05%	-4.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.99%	1.91%	+0.08%

Volatility

^DJUS vs. SPY - Volatility Comparison

Dow Jones U.S. Index (^DJUS) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 2.89% and 2.84%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^DJUS	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.89%	2.84%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	9.10%	8.90%	+0.20%
Volatility (1Y) Calculated over the trailing 1-year period	12.06%	11.83%	+0.23%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.27%	17.05%	+0.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.00%	17.94%	+2.06%

Frequently Asked Questions

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

With a correlation of 0.99, ^DJUS and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ^DJUS or SPY?

^DJUS has higher volatility (2.89%) compared to SPY (2.84%). In terms of maximum drawdown, ^DJUS dropped -56.62% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs 2.33), 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.