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^DJUSL vs. SPY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJUSL and SPY is 0.98, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

^DJUSL vs. SPY - Performance Comparison

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

200.00%300.00%400.00%500.00%600.00%JulyAugustSeptemberOctoberNovemberDecember
296.02%
581.23%
^DJUSL
SPY

Key characteristics

Sharpe Ratio

^DJUSL:

2.77

SPY:

2.92

Sortino Ratio

^DJUSL:

3.62

SPY:

3.86

Omega Ratio

^DJUSL:

1.51

SPY:

1.54

Calmar Ratio

^DJUSL:

3.86

SPY:

4.22

Martin Ratio

^DJUSL:

17.26

SPY:

18.99

Ulcer Index

^DJUSL:

2.09%

SPY:

1.87%

Daily Std Dev

^DJUSL:

13.07%

SPY:

12.13%

Max Drawdown

^DJUSL:

-60.82%

SPY:

-55.19%

Current Drawdown

^DJUSL:

0.00%

SPY:

0.00%

Returns By Period

The year-to-date returns for both stocks are quite close, with ^DJUSL having a 30.10% return and SPY slightly lower at 29.08%. Over the past 10 years, ^DJUSL has underperformed SPY with an annualized return of 12.28%, while SPY has yielded a comparatively higher 13.55% annualized return.


^DJUSL

YTD

30.10%

1M

1.81%

6M

14.02%

1Y

34.33%

5Y (annualized)

15.32%

10Y (annualized)

12.28%

SPY

YTD

29.08%

1M

1.61%

6M

14.54%

1Y

33.86%

5Y (annualized)

15.99%

10Y (annualized)

13.55%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^DJUSL vs. SPY - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for ^DJUSL, currently valued at 2.77, compared to the broader market-1.000.001.002.002.772.92
The chart of Sortino ratio for ^DJUSL, currently valued at 3.62, compared to the broader market-1.000.001.002.003.004.003.623.86
The chart of Omega ratio for ^DJUSL, currently valued at 1.51, compared to the broader market1.001.201.401.601.511.54
The chart of Calmar ratio for ^DJUSL, currently valued at 3.86, compared to the broader market0.001.002.003.004.005.003.864.22
The chart of Martin ratio for ^DJUSL, currently valued at 17.26, compared to the broader market0.005.0010.0015.0020.0017.2618.99
^DJUSL
SPY

The current ^DJUSL Sharpe Ratio is 2.77, which is comparable to the SPY Sharpe Ratio of 2.92. The chart below compares the historical Sharpe Ratios of ^DJUSL and SPY, 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.77
2.92
^DJUSL
SPY

Drawdowns

^DJUSL vs. SPY - Drawdown Comparison

The maximum ^DJUSL drawdown since its inception was -60.82%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DJUSL and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember00
^DJUSL
SPY

Volatility

^DJUSL vs. SPY - Volatility Comparison

Dow Jones U.S. Large-Cap Index (^DJUSL) has a higher volatility of 2.49% compared to SPDR S&P 500 ETF (SPY) at 2.20%. This indicates that ^DJUSL'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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
2.49%
2.20%
^DJUSL
SPY
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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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