^IMXL vs. SPY
Compare and contrast key facts about Dow Jones Islamic Market Titans 100 Index (^IMXL) 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: ^IMXL or SPY.
Key characteristics
| ^IMXL | SPY | |
|---|---|---|
| YTD Return | 26.19% | 26.83% |
| 1Y Return | 32.86% | 34.88% |
| 3Y Return (Ann) | 6.84% | 10.16% |
| 5Y Return (Ann) | 13.85% | 15.71% |
| 10Y Return (Ann) | 11.08% | 13.33% |
| Sharpe Ratio | 1.68 | 3.08 |
| Sortino Ratio | 2.34 | 4.10 |
| Omega Ratio | 1.34 | 1.58 |
| Calmar Ratio | 2.05 | 4.46 |
| Martin Ratio | 7.90 | 20.22 |
| Ulcer Index | 2.76% | 1.85% |
| Daily Std Dev | 12.13% | 12.18% |
| Max Drawdown | -48.36% | -55.19% |
| Current Drawdown | -0.94% | -0.26% |
Correlation
The correlation between ^IMXL and SPY 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. SPY - Performance Comparison
The year-to-date returns for both investments are quite close, with ^IMXL having a 26.19% return and SPY slightly higher at 26.83%. Over the past 10 years, ^IMXL has underperformed SPY with an annualized return of 11.08%, 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
^IMXL vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market Titans 100 Index (^IMXL) 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
^IMXL vs. SPY - Drawdown Comparison
The maximum ^IMXL drawdown since its inception was -48.36%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^IMXL and SPY. For additional features, visit the drawdowns tool.
Volatility
^IMXL vs. SPY - Volatility Comparison
Dow Jones Islamic Market Titans 100 Index (^IMXL) and SPDR S&P 500 ETF (SPY) have volatilities of 3.81% and 3.75%, 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.