^IMUS vs. ^IMXL
Compare and contrast key facts about Dow Jones Islamic Market U.S. Index (^IMUS) and Dow Jones Islamic Market Titans 100 Index (^IMXL).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IMUS or ^IMXL.
Key characteristics
| ^IMUS | ^IMXL | |
|---|---|---|
| YTD Return | 25.62% | 27.00% |
| 1Y Return | 35.79% | 35.95% |
| 3Y Return (Ann) | 6.55% | 7.04% |
| 5Y Return (Ann) | 14.56% | 14.13% |
| 10Y Return (Ann) | 11.90% | 11.16% |
| Sharpe Ratio | 1.90 | 1.83 |
| Sortino Ratio | 2.59 | 2.52 |
| Omega Ratio | 1.39 | 1.37 |
| Calmar Ratio | 2.57 | 2.23 |
| Martin Ratio | 9.87 | 8.61 |
| Ulcer Index | 2.65% | 2.76% |
| Daily Std Dev | 13.11% | 12.20% |
| Max Drawdown | -47.72% | -48.36% |
| Current Drawdown | -0.17% | -0.31% |
Correlation
The correlation between ^IMUS and ^IMXL is 0.89, 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
^IMUS vs. ^IMXL - Performance Comparison
In the year-to-date period, ^IMUS achieves a 25.62% return, which is significantly lower than ^IMXL's 27.00% return. Over the past 10 years, ^IMUS has outperformed ^IMXL with an annualized return of 11.90%, while ^IMXL has yielded a comparatively lower 11.16% 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
^IMUS vs. ^IMXL - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market U.S. Index (^IMUS) and Dow Jones Islamic Market Titans 100 Index (^IMXL). 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
^IMUS vs. ^IMXL - Drawdown Comparison
The maximum ^IMUS drawdown since its inception was -47.72%, roughly equal to the maximum ^IMXL drawdown of -48.36%. Use the drawdown chart below to compare losses from any high point for ^IMUS and ^IMXL. For additional features, visit the drawdowns tool.
Volatility
^IMUS vs. ^IMXL - Volatility Comparison
Dow Jones Islamic Market U.S. Index (^IMUS) has a higher volatility of 4.10% compared to Dow Jones Islamic Market Titans 100 Index (^IMXL) at 3.77%. This indicates that ^IMUS's price experiences larger fluctuations and is considered to be riskier than ^IMXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.