^IMXL vs. ^GSPC
Compare and contrast key facts about Dow Jones Islamic Market Titans 100 Index (^IMXL) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IMXL or ^GSPC.
Key characteristics
| ^IMXL | ^GSPC | |
|---|---|---|
| YTD Return | 26.44% | 25.45% |
| 1Y Return | 35.33% | 35.64% |
| 3Y Return (Ann) | 6.90% | 8.55% |
| 5Y Return (Ann) | 14.06% | 14.13% |
| 10Y Return (Ann) | 11.11% | 11.39% |
| Sharpe Ratio | 1.73 | 2.90 |
| Sortino Ratio | 2.39 | 3.87 |
| Omega Ratio | 1.35 | 1.54 |
| Calmar Ratio | 2.10 | 4.19 |
| Martin Ratio | 8.11 | 18.72 |
| Ulcer Index | 2.76% | 1.90% |
| Daily Std Dev | 12.21% | 12.27% |
| Max Drawdown | -48.36% | -56.78% |
| Current Drawdown | -0.74% | -0.29% |
Correlation
The correlation between ^IMXL and ^GSPC is 0.85, 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
^IMXL vs. ^GSPC - Performance Comparison
The year-to-date returns for both stocks are quite close, with ^IMXL having a 26.44% return and ^GSPC slightly lower at 25.45%. Both investments have delivered pretty close results over the past 10 years, with ^IMXL having a 11.11% annualized return and ^GSPC not far ahead at 11.39%. 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
^IMXL vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market Titans 100 Index (^IMXL) and S&P 500 (^GSPC). 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
^IMXL vs. ^GSPC - Drawdown Comparison
The maximum ^IMXL drawdown since its inception was -48.36%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^IMXL and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^IMXL vs. ^GSPC - Volatility Comparison
Dow Jones Islamic Market Titans 100 Index (^IMXL) and S&P 500 (^GSPC) have volatilities of 3.80% and 3.73%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.