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DAX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DAX and SPY is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

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 SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%250.00%JulyAugustSeptemberOctoberNovemberDecember
68.11%
261.74%
DAX
SPY

Key characteristics

Sharpe Ratio

DAX:

0.90

SPY:

2.21

Sortino Ratio

DAX:

1.31

SPY:

2.93

Omega Ratio

DAX:

1.16

SPY:

1.41

Calmar Ratio

DAX:

1.61

SPY:

3.26

Martin Ratio

DAX:

4.12

SPY:

14.43

Ulcer Index

DAX:

3.22%

SPY:

1.90%

Daily Std Dev

DAX:

14.70%

SPY:

12.41%

Max Drawdown

DAX:

-45.58%

SPY:

-55.19%

Current Drawdown

DAX:

-4.10%

SPY:

-2.74%

Returns By Period

In the year-to-date period, DAX achieves a 11.44% return, which is significantly lower than SPY's 25.54% return. Over the past 10 years, DAX has underperformed SPY with an annualized return of 4.84%, while SPY has yielded a comparatively higher 12.97% annualized return.


DAX

YTD

11.44%

1M

3.00%

6M

6.37%

1Y

12.03%

5Y*

6.44%

10Y*

4.84%

SPY

YTD

25.54%

1M

-0.42%

6M

8.90%

1Y

25.98%

5Y*

14.66%

10Y*

12.97%

Compare stocks, funds, or ETFs

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


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%.


DAX
Global X DAX Germany ETF
Expense ratio chart for DAX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

DAX vs. SPY - Risk-Adjusted Performance Comparison

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


Sharpe ratio
The chart of Sharpe ratio for DAX, currently valued at 0.90, compared to the broader market0.002.004.000.902.21
The chart of Sortino ratio for DAX, currently valued at 1.31, compared to the broader market-2.000.002.004.006.008.0010.001.312.93
The chart of Omega ratio for DAX, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.001.161.41
The chart of Calmar ratio for DAX, currently valued at 1.61, compared to the broader market0.005.0010.0015.001.613.26
The chart of Martin ratio for DAX, currently valued at 4.12, compared to the broader market0.0020.0040.0060.0080.00100.004.1214.43
DAX
SPY

The current DAX Sharpe Ratio is 0.90, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of DAX and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.90
2.21
DAX
SPY

Dividends

DAX vs. SPY - Dividend Comparison

DAX's dividend yield for the trailing twelve months is around 2.29%, more than SPY's 0.86% yield.


TTM20232022202120202019201820172016201520142013
DAX
Global X DAX Germany ETF
2.29%2.48%2.80%2.65%2.25%2.47%3.33%1.73%1.78%1.41%0.00%0.00%
SPY
SPDR S&P 500 ETF
0.86%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

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. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.10%
-2.74%
DAX
SPY

Volatility

DAX vs. SPY - Volatility Comparison

Global X DAX Germany ETF (DAX) has a higher volatility of 4.40% compared to SPDR S&P 500 ETF (SPY) at 3.72%. 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
4.40%
3.72%
DAX
SPY
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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