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

Correlation

The correlation between DAX and VOO is 0.65, 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.


Performance

DAX vs. VOO - Performance Comparison

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

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Key characteristics

Sharpe Ratio

DAX:

1.64

VOO:

0.60

Sortino Ratio

DAX:

2.31

VOO:

0.96

Omega Ratio

DAX:

1.31

VOO:

1.14

Calmar Ratio

DAX:

2.03

VOO:

0.62

Martin Ratio

DAX:

8.98

VOO:

2.35

Ulcer Index

DAX:

3.62%

VOO:

4.90%

Daily Std Dev

DAX:

20.63%

VOO:

19.45%

Max Drawdown

DAX:

-45.58%

VOO:

-33.99%

Current Drawdown

DAX:

0.00%

VOO:

-4.58%

Returns By Period

In the year-to-date period, DAX achieves a 31.58% return, which is significantly higher than VOO's -0.17% return. Over the past 10 years, DAX has underperformed VOO with an annualized return of 6.89%, while VOO has yielded a comparatively higher 12.60% annualized return.


DAX

YTD

31.58%

1M

10.34%

6M

34.81%

1Y

33.53%

3Y*

21.09%

5Y*

16.67%

10Y*

6.89%

VOO

YTD

-0.17%

1M

10.68%

6M

-1.11%

1Y

11.53%

3Y*

15.43%

5Y*

16.33%

10Y*

12.60%

*Annualized

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Global X DAX Germany ETF

Vanguard S&P 500 ETF

DAX vs. VOO - Expense Ratio Comparison

DAX has a 0.20% expense ratio, which is higher than VOO's 0.03% 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%.


Risk-Adjusted Performance

DAX vs. VOO — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

DAX
The Risk-Adjusted Performance Rank of DAX is 9292
Overall Rank
The Sharpe Ratio Rank of DAX is 9393
Sharpe Ratio Rank
The Sortino Ratio Rank of DAX is 9292
Sortino Ratio Rank
The Omega Ratio Rank of DAX is 9191
Omega Ratio Rank
The Calmar Ratio Rank of DAX is 9393
Calmar Ratio Rank
The Martin Ratio Rank of DAX is 9292
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 6464
Overall Rank
The Sharpe Ratio Rank of VOO is 6262
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 6161
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6565
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6666
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6565
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

DAX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X DAX Germany ETF (DAX) and Vanguard S&P 500 ETF (VOO). 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.


The current DAX Sharpe Ratio is 1.64, which is higher than the VOO Sharpe Ratio of 0.60. The chart below compares the historical Sharpe Ratios of DAX and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

DAX vs. VOO - Dividend Comparison

DAX's dividend yield for the trailing twelve months is around 1.70%, more than VOO's 1.30% yield.


TTM20242023202220212020201920182017201620152014
DAX
Global X DAX Germany ETF
1.70%2.24%2.48%2.80%2.65%2.25%2.47%3.33%1.73%1.78%1.41%0.00%
VOO
Vanguard S&P 500 ETF
1.30%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%

Drawdowns

DAX vs. VOO - Drawdown Comparison

The maximum DAX drawdown since its inception was -45.58%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DAX and VOO. For additional features, visit the drawdowns tool.


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Volatility

DAX vs. VOO - Volatility Comparison

The current volatility for Global X DAX Germany ETF (DAX) is 3.74%, while Vanguard S&P 500 ETF (VOO) has a volatility of 4.67%. This indicates that DAX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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