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^DJUS vs. WPC
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJUS and WPC is 0.38, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

^DJUS vs. WPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Index (^DJUS) and W. P. Carey Inc. (WPC). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
9.42%
-0.03%
^DJUS
WPC

Key characteristics

Sharpe Ratio

^DJUS:

2.02

WPC:

-0.50

Sortino Ratio

^DJUS:

2.70

WPC:

-0.56

Omega Ratio

^DJUS:

1.38

WPC:

0.93

Calmar Ratio

^DJUS:

3.01

WPC:

-0.33

Martin Ratio

^DJUS:

12.85

WPC:

-0.85

Ulcer Index

^DJUS:

2.01%

WPC:

12.36%

Daily Std Dev

^DJUS:

12.76%

WPC:

21.07%

Max Drawdown

^DJUS:

-56.62%

WPC:

-52.45%

Current Drawdown

^DJUS:

-2.98%

WPC:

-28.88%

Returns By Period

In the year-to-date period, ^DJUS achieves a 23.89% return, which is significantly higher than WPC's -12.40% return. Over the past 10 years, ^DJUS has outperformed WPC with an annualized return of 10.76%, while WPC has yielded a comparatively lower 3.31% annualized return.


^DJUS

YTD

23.89%

1M

0.06%

6M

9.14%

1Y

24.47%

5Y*

12.63%

10Y*

10.76%

WPC

YTD

-12.40%

1M

-4.57%

6M

1.40%

1Y

-11.36%

5Y*

-0.94%

10Y*

3.31%

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Risk-Adjusted Performance

^DJUS vs. WPC - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Index (^DJUS) and W. P. Carey Inc. (WPC). 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.


Sharpe ratio
The chart of Sharpe ratio for ^DJUS, currently valued at 2.02, compared to the broader market0.001.002.002.02-0.50
The chart of Sortino ratio for ^DJUS, currently valued at 2.70, compared to the broader market-1.000.001.002.003.002.70-0.56
The chart of Omega ratio for ^DJUS, currently valued at 1.38, compared to the broader market0.901.001.101.201.301.401.380.93
The chart of Calmar ratio for ^DJUS, currently valued at 3.01, compared to the broader market0.001.002.003.003.01-0.33
The chart of Martin ratio for ^DJUS, currently valued at 12.85, compared to the broader market0.005.0010.0015.0020.0012.85-0.85
^DJUS
WPC

The current ^DJUS Sharpe Ratio is 2.02, which is higher than the WPC Sharpe Ratio of -0.50. The chart below compares the historical Sharpe Ratios of ^DJUS and WPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
2.02
-0.50
^DJUS
WPC

Drawdowns

^DJUS vs. WPC - Drawdown Comparison

The maximum ^DJUS drawdown since its inception was -56.62%, which is greater than WPC's maximum drawdown of -52.45%. Use the drawdown chart below to compare losses from any high point for ^DJUS and WPC. For additional features, visit the drawdowns tool.


-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.98%
-28.88%
^DJUS
WPC

Volatility

^DJUS vs. WPC - Volatility Comparison

The current volatility for Dow Jones U.S. Index (^DJUS) is 3.98%, while W. P. Carey Inc. (WPC) has a volatility of 6.05%. This indicates that ^DJUS experiences smaller price fluctuations and is considered to be less risky than WPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.98%
6.05%
^DJUS
WPC
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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