PortfoliosLab logoPortfoliosLab logo

Documentation

Upgrade your plan
DAX vs. SPY
Performance
Return for Risk
Drawdowns
Volatility
Dividends

DAX vs. SPY

Last updated Apr 16, 2026

DAX (Global X DAX Germany ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds — DAX is a Europe Equities fund tracking the DAX Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, DAX returned 8.95%/yr vs 14.77%/yr for SPY. A 0.66 correlation means they provide meaningful diversification when combined. DAX charges 0.20%/yr vs 0.09%/yr for SPY.

Performance

DAX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X DAX Germany ETF (DAX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Loading graphics...

Returns By Period

In the year-to-date period, DAX achieves a -1.18% return, which is significantly lower than SPY's 2.92% return. Over the past 10 years, DAX has underperformed SPY with an annualized return of 8.95%, while SPY has yielded a comparatively higher 14.77% annualized return.

DAX

1D
0.33%
1M
4.79%
YTD
-1.18%
6M
0.99%
1Y
17.76%
3Y*
16.92%
5Y*
8.15%
10Y*
8.95%

SPY

1D
0.79%
1M
4.91%
YTD
2.92%
6M
5.83%
1Y
31.69%
3Y*
20.82%
5Y*
12.43%
10Y*
14.77%
*Multi-year figures are annualized to reflect compound growth (CAGR)

DAX vs. SPY - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
DAX
Global X DAX Germany ETF		-1.18%39.00%10.55%23.62%-18.47%7.73%12.27%22.11%-22.92%28.23%
SPY
State Street SPDR S&P 500 ETF		2.92%17.72%24.89%26.18%-18.18%28.73%18.33%31.22%-4.57%21.71%

Correlation

The correlation between DAX and SPY is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.69

Correlation (3Y)
Calculated over the trailing 3-year period

0.64

Correlation (5Y)
Calculated over the trailing 5-year period

0.69

Correlation (All Time)
Calculated using the full available price history since Oct 24, 2014

0.66

The correlation between DAX and SPY has been stable across timeframes, ranging from 0.64 to 0.69 — a consistent structural relationship.

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Global X DAX Germany ETF

State Street SPDR S&P 500 ETF

Often compared with DAX:
DAX vs. ^NIFTY500DAX vs. CACDAX vs. BMW.DEDAX vs. ^FCHIDAX vs. VOODAX vs. QQQDAX vs. VGK
Often compared with SPY:
SPY vs. QQQSPY vs. VOOSPY vs. BRK-BSPY vs. RSPSPY vs. VTISPY vs. SCHDSPY vs. GLD

Return for Risk

DAX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
DAX
DAX Risk / Return Rank: 2121
Overall Rank
DAX Sharpe Ratio Rank: 2222
Sharpe Ratio Rank
DAX Sortino Ratio Rank: 2121
Sortino Ratio Rank
DAX Omega Ratio Rank: 2020
Omega Ratio Rank
DAX Calmar Ratio Rank: 1919
Calmar Ratio Rank
DAX Martin Ratio Rank: 2222
Martin Ratio Rank
SPY
SPY Risk / Return Rank: 6767
Overall Rank
SPY Sharpe Ratio Rank: 6767
Sharpe Ratio Rank
SPY Sortino Ratio Rank: 6666
Sortino Ratio Rank
SPY Omega Ratio Rank: 6969
Omega Ratio Rank
SPY Calmar Ratio Rank: 5858
Calmar Ratio Rank
SPY Martin Ratio Rank: 7373
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

DAX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X DAX Germany ETF (DAX) and State Street 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.

DAXSPYDifference

Sharpe ratio

Return per unit of total volatility

1.05

2.41

-1.36

Sortino ratio

Return per unit of downside risk

1.54

3.33

-1.78

Omega ratio

Gain probability vs. loss probability

1.19

1.45

-0.26

Calmar ratio

Return relative to maximum drawdown

1.36

3.67

-2.30

Martin ratio

Return relative to average drawdown

4.69

16.64

-11.95

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DAX vs. SPY - Sharpe Ratio Comparison

The current DAX Sharpe Ratio is 1.05, which is lower than the SPY Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of DAX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Loading graphics...

Sharpe Ratios by Period

DAXSPYDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.05

2.41

-1.36

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.40

0.73

-0.33

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.42

0.83

-0.40

Sharpe Ratio (All Time)

Calculated using the full available price history

0.35

0.57

-0.22

Drawdowns

DAX vs. SPY - Drawdown Comparison

The maximum DAX drawdown since its inception was -45.58%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DAX and SPY.

Loading graphics...

Drawdown Indicators

DAXSPYDifference

Max Drawdown

Largest peak-to-trough decline

-45.58%

-55.19%

+9.61%

Max Drawdown (1Y)

Largest decline over 1 year

-14.82%

-8.88%

-5.94%

Max Drawdown (5Y)

Largest decline over 5 years

-39.96%

-24.50%

-15.46%

Max Drawdown (10Y)

Largest decline over 10 years

-45.58%

-33.72%

-11.86%

Current Drawdown

Current decline from peak

-5.13%

0.00%

-5.13%

Average Drawdown

Average peak-to-trough decline

-10.57%

-9.08%

-1.49%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.31%

1.96%

+2.35%

Volatility

DAX vs. SPY - Volatility Comparison

Global X DAX Germany ETF (DAX) has a higher volatility of 8.82% compared to State Street SPDR S&P 500 ETF (SPY) at 5.58%. This indicates that DAX'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.

Loading graphics...

Volatility by Period

DAXSPYDifference

Volatility (1M)

Calculated over the trailing 1-month period

8.82%

5.58%

+3.24%

Volatility (6M)

Calculated over the trailing 6-month period

13.34%

9.44%

+3.90%

Volatility (1Y)

Calculated over the trailing 1-year period

17.06%

13.28%

+3.78%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.28%

17.09%

+3.19%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.22%

17.93%

+3.29%

DAX vs. SPY - Expense Ratio Comparison

DAX has a 0.20% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

DAX vs. SPY - Dividend Comparison

DAX's dividend yield for the trailing twelve months is around 1.49%, more than SPY's 1.05% yield.

TTM20252024202320222021202020192018201720162015
DAX
Global X DAX Germany ETF		1.49%1.47%2.24%2.48%2.80%2.65%2.25%2.47%3.33%1.73%1.78%1.41%
SPY
State Street SPDR S&P 500 ETF		1.05%1.07%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%