^DWCF vs. SPY
Compare and contrast key facts about Dow Jones U.S. Total Stock Market Index (^DWCF) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DWCF or SPY.
Key characteristics
| ^DWCF | SPY | |
|---|---|---|
| YTD Return | 23.87% | 26.83% |
| 1Y Return | 32.31% | 34.88% |
| 3Y Return (Ann) | 6.85% | 10.16% |
| 5Y Return (Ann) | 13.22% | 15.71% |
| 10Y Return (Ann) | 10.86% | 13.33% |
| Sharpe Ratio | 2.60 | 3.08 |
| Sortino Ratio | 3.48 | 4.10 |
| Omega Ratio | 1.48 | 1.58 |
| Calmar Ratio | 3.77 | 4.46 |
| Martin Ratio | 16.32 | 20.22 |
| Ulcer Index | 1.99% | 1.85% |
| Daily Std Dev | 12.53% | 12.18% |
| Max Drawdown | -35.14% | -55.19% |
| Current Drawdown | -1.14% | -0.26% |
Correlation
The correlation between ^DWCF and SPY is 0.99, 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.
Performance
^DWCF vs. SPY - Performance Comparison
In the year-to-date period, ^DWCF achieves a 23.87% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, ^DWCF has underperformed SPY with an annualized return of 10.86%, while SPY has yielded a comparatively higher 13.33% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^DWCF vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Total Stock Market Index (^DWCF) 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.
Drawdowns
^DWCF vs. SPY - Drawdown Comparison
The maximum ^DWCF drawdown since its inception was -35.14%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DWCF and SPY. For additional features, visit the drawdowns tool.
Volatility
^DWCF vs. SPY - Volatility Comparison
Dow Jones U.S. Total Stock Market Index (^DWCF) has a higher volatility of 4.03% compared to SPDR S&P 500 ETF (SPY) at 3.76%. This indicates that ^DWCF'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.