^IMXL vs. ^IMUS
Compare and contrast key facts about Dow Jones Islamic Market Titans 100 Index (^IMXL) and Dow Jones Islamic Market U.S. Index (^IMUS).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IMXL or ^IMUS.
Key characteristics
| ^IMXL | ^IMUS | |
|---|---|---|
| YTD Return | 26.44% | 25.39% |
| 1Y Return | 35.33% | 35.64% |
| 3Y Return (Ann) | 6.90% | 6.49% |
| 5Y Return (Ann) | 14.06% | 14.51% |
| 10Y Return (Ann) | 11.11% | 11.88% |
| Sharpe Ratio | 1.73 | 1.78 |
| Sortino Ratio | 2.39 | 2.44 |
| Omega Ratio | 1.35 | 1.37 |
| Calmar Ratio | 2.10 | 2.41 |
| Martin Ratio | 8.11 | 9.23 |
| Ulcer Index | 2.76% | 2.65% |
| Daily Std Dev | 12.21% | 13.11% |
| Max Drawdown | -48.36% | -47.72% |
| Current Drawdown | -0.74% | -0.35% |
Correlation
The correlation between ^IMXL and ^IMUS 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
^IMXL vs. ^IMUS - Performance Comparison
The year-to-date returns for both stocks are quite close, with ^IMXL having a 26.44% return and ^IMUS slightly lower at 25.39%. Over the past 10 years, ^IMXL has underperformed ^IMUS with an annualized return of 11.11%, while ^IMUS has yielded a comparatively higher 11.88% 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
^IMXL vs. ^IMUS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market Titans 100 Index (^IMXL) and Dow Jones Islamic Market U.S. Index (^IMUS). 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. ^IMUS - Drawdown Comparison
The maximum ^IMXL drawdown since its inception was -48.36%, roughly equal to the maximum ^IMUS drawdown of -47.72%. Use the drawdown chart below to compare losses from any high point for ^IMXL and ^IMUS. For additional features, visit the drawdowns tool.
Volatility
^IMXL vs. ^IMUS - Volatility Comparison
The current volatility for Dow Jones Islamic Market Titans 100 Index (^IMXL) is 3.80%, while Dow Jones Islamic Market U.S. Index (^IMUS) has a volatility of 4.11%. This indicates that ^IMXL experiences smaller price fluctuations and is considered to be less risky than ^IMUS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.