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^IMUS vs. ^DJI
Performance
Return for Risk
Drawdowns
Volatility

Performance

^IMUS vs. ^DJI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Islamic Market U.S. Index (^IMUS) and Dow Jones Industrial Average (^DJI). The values are adjusted to include any dividend payments, if applicable.

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^IMUS vs. ^DJI - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
^IMUS
Dow Jones Islamic Market U.S. Index
-4.69%16.79%24.16%32.07%-25.45%27.79%28.19%31.43%-4.10%22.63%
^DJI
Dow Jones Industrial Average
-3.24%12.97%12.88%13.70%-8.78%18.73%7.25%22.34%-5.63%25.08%

Returns By Period

In the year-to-date period, ^IMUS achieves a -4.69% return, which is significantly lower than ^DJI's -3.24% return. Over the past 10 years, ^IMUS has outperformed ^DJI with an annualized return of 13.68%, while ^DJI has yielded a comparatively lower 10.12% annualized return.


^IMUS

1D
0.02%
1M
-3.53%
YTD
-4.69%
6M
-2.57%
1Y
19.58%
3Y*
17.76%
5Y*
10.65%
10Y*
13.68%

^DJI

1D
-0.13%
1M
-4.12%
YTD
-3.24%
6M
-0.03%
1Y
10.13%
3Y*
11.44%
5Y*
7.00%
10Y*
10.12%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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Return for Risk

^IMUS vs. ^DJI — Risk / Return Rank

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

^IMUS
^IMUS Risk / Return Rank: 5353
Overall Rank
^IMUS Sharpe Ratio Rank: 5151
Sharpe Ratio Rank
^IMUS Sortino Ratio Rank: 5656
Sortino Ratio Rank
^IMUS Omega Ratio Rank: 6969
Omega Ratio Rank
^IMUS Calmar Ratio Rank: 3838
Calmar Ratio Rank
^IMUS Martin Ratio Rank: 4949
Martin Ratio Rank

^DJI
^DJI Risk / Return Rank: 3636
Overall Rank
^DJI Sharpe Ratio Rank: 3636
Sharpe Ratio Rank
^DJI Sortino Ratio Rank: 3434
Sortino Ratio Rank
^DJI Omega Ratio Rank: 3636
Omega Ratio Rank
^DJI Calmar Ratio Rank: 3535
Calmar Ratio Rank
^DJI Martin Ratio Rank: 3939
Martin Ratio Rank
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.

^IMUS vs. ^DJI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market U.S. Index (^IMUS) and Dow Jones Industrial Average (^DJI). 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.


^IMUS^DJIDifference

Sharpe ratio

Return per unit of total volatility

0.86

0.61

+0.25

Sortino ratio

Return per unit of downside risk

1.36

0.99

+0.38

Omega ratio

Gain probability vs. loss probability

1.22

1.13

+0.08

Calmar ratio

Return relative to maximum drawdown

1.07

0.99

+0.08

Martin ratio

Return relative to average drawdown

4.33

3.51

+0.82

^IMUS vs. ^DJI - Sharpe Ratio Comparison

The current ^IMUS Sharpe Ratio is 0.86, which is higher than the ^DJI Sharpe Ratio of 0.61. The chart below compares the historical Sharpe Ratios of ^IMUS and ^DJI, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Sharpe Ratios by Period


^IMUS^DJIDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.86

0.61

+0.25

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.54

0.48

+0.07

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.70

0.58

+0.12

Sharpe Ratio (All Time)

Calculated using the full available price history

0.41

0.41

0.00

Correlation

The correlation between ^IMUS and ^DJI is 0.84, 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.


Drawdowns

^IMUS vs. ^DJI - Drawdown Comparison

The maximum ^IMUS drawdown since its inception was -47.72%, smaller than the maximum ^DJI drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for ^IMUS and ^DJI.


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Drawdown Indicators


^IMUS^DJIDifference

Max Drawdown

Largest peak-to-trough decline

-47.72%

-53.78%

+6.06%

Max Drawdown (1Y)

Largest decline over 1 year

-11.00%

-10.01%

-0.99%

Max Drawdown (5Y)

Largest decline over 5 years

-29.97%

-21.94%

-8.03%

Max Drawdown (10Y)

Largest decline over 10 years

-32.20%

-37.09%

+4.89%

Current Drawdown

Current decline from peak

-7.20%

-7.34%

+0.14%

Average Drawdown

Average peak-to-trough decline

-9.66%

-9.76%

+0.10%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.71%

3.06%

-0.35%

Volatility

^IMUS vs. ^DJI - Volatility Comparison

Dow Jones Islamic Market U.S. Index (^IMUS) has a higher volatility of 5.80% compared to Dow Jones Industrial Average (^DJI) at 4.91%. This indicates that ^IMUS's price experiences larger fluctuations and is considered to be riskier than ^DJI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


^IMUS^DJIDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.80%

4.91%

+0.89%

Volatility (6M)

Calculated over the trailing 6-month period

9.97%

9.29%

+0.68%

Volatility (1Y)

Calculated over the trailing 1-year period

18.87%

16.81%

+2.06%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

18.93%

14.76%

+4.17%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

19.32%

17.57%

+1.75%