ADJEX vs. SPY
Compare and contrast key facts about Azzad Ethical Fund (ADJEX) and SPDR S&P 500 ETF (SPY).
ADJEX is managed by Azzad Fund. It was launched on Dec 22, 2000. 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: ADJEX or SPY.
Key characteristics
| ADJEX | SPY | |
|---|---|---|
| YTD Return | 3.07% | 21.01% |
| 1Y Return | 20.09% | 32.86% |
| 3Y Return (Ann) | -3.55% | 8.37% |
| 5Y Return (Ann) | 8.24% | 14.97% |
| 10Y Return (Ann) | 7.98% | 12.86% |
| Sharpe Ratio | 1.29 | 2.83 |
| Sortino Ratio | 1.86 | 3.76 |
| Omega Ratio | 1.22 | 1.53 |
| Calmar Ratio | 0.82 | 4.05 |
| Martin Ratio | 5.13 | 18.38 |
| Ulcer Index | 4.39% | 1.85% |
| Daily Std Dev | 17.45% | 12.02% |
| Max Drawdown | -55.91% | -55.19% |
| Current Drawdown | -11.55% | -2.53% |
Correlation
The correlation between ADJEX and SPY is 0.86, 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
ADJEX vs. SPY - Performance Comparison
In the year-to-date period, ADJEX achieves a 3.07% return, which is significantly lower than SPY's 21.01% return. Over the past 10 years, ADJEX has underperformed SPY with an annualized return of 7.98%, while SPY has yielded a comparatively higher 12.86% 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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ADJEX vs. SPY - Expense Ratio Comparison
ADJEX has a 0.99% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
ADJEX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Azzad Ethical Fund (ADJEX) 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.
Dividends
ADJEX vs. SPY - Dividend Comparison
ADJEX's dividend yield for the trailing twelve months is around 2.45%, more than SPY's 1.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ADJEX Azzad Ethical Fund | 2.45% | 2.53% | 0.06% | 12.81% | 5.62% | 6.35% | 6.37% | 14.98% | 0.09% | 0.69% | 9.18% | 11.64% |
SPY SPDR S&P 500 ETF | 1.23% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ADJEX vs. SPY - Drawdown Comparison
The maximum ADJEX drawdown since its inception was -55.91%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ADJEX and SPY. For additional features, visit the drawdowns tool.
Volatility
ADJEX vs. SPY - Volatility Comparison
Azzad Ethical Fund (ADJEX) has a higher volatility of 4.02% compared to SPDR S&P 500 ETF (SPY) at 3.15%. This indicates that ADJEX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.