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DEW vs. ^GSPC
Performance
Return for Risk
Drawdowns
Volatility

Performance

DEW vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree Global High Dividend Fund (DEW) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, DEW achieves a 12.97% return, which is significantly higher than ^GSPC's 7.60% return. Over the past 10 years, DEW has underperformed ^GSPC with an annualized return of 9.72%, while ^GSPC has yielded a comparatively higher 13.71% annualized return.


DEW

1D
0.43%
1M
-0.07%
YTD
12.97%
6M
12.77%
1Y
25.61%
3Y*
19.27%
5Y*
11.57%
10Y*
9.72%

^GSPC

1D
-1.44%
1M
-1.45%
YTD
7.60%
6M
6.59%
1Y
22.24%
3Y*
19.20%
5Y*
11.54%
10Y*
13.71%
*Multi-year figures are annualized to reflect compound growth (CAGR)

DEW vs. ^GSPC - Yearly Performance Comparison


2026 (YTD)202520242023202220212020201920182017
DEW
WisdomTree Global High Dividend Fund
12.97%22.39%11.58%9.39%-2.73%21.29%-7.32%20.45%-10.58%15.38%
^GSPC
S&P 500 Index
7.60%16.39%23.31%24.23%-19.44%26.89%16.26%28.88%-6.24%19.42%

Correlation

The correlation between DEW and ^GSPC is 0.50, which is low. Their price movements are largely independent, making them effective diversification partners.


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

0.50

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

0.59

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

0.70

Correlation (10Y)
Calculated over the trailing 10-year period

0.75

Correlation (All Time)
Calculated using the full available price history since Jun 16, 2006

0.77

Over the past year, the correlation between DEW and ^GSPC has dropped to 0.50 - well below their long-term average of 0.77, suggesting their price drivers have been diverging.

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Return for Risk

DEW vs. ^GSPC — Risk / Return Rank

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

DEW
DEW Risk / Return Rank: 8484
Overall Rank
DEW Sharpe Ratio Rank: 8787
Sharpe Ratio Rank
DEW Sortino Ratio Rank: 8787
Sortino Ratio Rank
DEW Omega Ratio Rank: 8383
Omega Ratio Rank
DEW Calmar Ratio Rank: 8181
Calmar Ratio Rank
DEW Martin Ratio Rank: 8383
Martin Ratio Rank

^GSPC
^GSPC Risk / Return Rank: 6161
Overall Rank
^GSPC Sharpe Ratio Rank: 5858
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 5757
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 6262
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 5757
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 7272
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.

DEW vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree Global High Dividend Fund (DEW) and S&P 500 Index (^GSPC). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


DEW^GSPCDifference
Sharpe ratioReturn per unit of total volatility

+0.86

Sortino ratioReturn per unit of downside risk

+1.24

Omega ratioGain probability vs. loss probability

1.47

1.32

+0.14

Calmar ratioReturn relative to maximum drawdown

4.06

2.46

+1.60

Martin ratioReturn relative to average drawdown

15.88

10.92

+4.96

DEW vs. ^GSPC - Sharpe Ratio Comparison

The current DEW Sharpe Ratio is 2.64, which is higher than the ^GSPC Sharpe Ratio of 1.78. The chart below compares the historical Sharpe Ratios of DEW and ^GSPC, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.


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Drawdowns

DEW vs. ^GSPC - Drawdown Comparison

The maximum DEW drawdown since its inception was -65.55%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DEW and ^GSPC.


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Drawdown Indicators


DEW^GSPCDifference

Max Drawdown

Largest peak-to-trough decline

-65.55%

-56.78%

-8.77%

Max Drawdown (1Y)

Largest decline over 1 year

-6.34%

-9.10%

+2.76%

Max Drawdown (3Y)

Largest decline over 3 years

-11.80%

-18.90%

+7.10%

Max Drawdown (5Y)

Largest decline over 5 years

-18.86%

-25.43%

+6.57%

Max Drawdown (10Y)

Largest decline over 10 years

-38.77%

-33.92%

-4.85%

Current Drawdown

Current decline from peak

-1.12%

-3.21%

+2.09%

Average Drawdown

Average peak-to-trough decline

-12.41%

-10.71%

-1.70%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.62%

2.04%

-0.42%

Volatility

DEW vs. ^GSPC - Volatility Comparison

The current volatility for WisdomTree Global High Dividend Fund (DEW) is 2.77%, while S&P 500 Index (^GSPC) has a volatility of 4.89%. This indicates that DEW experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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Volatility by Period


DEW^GSPCDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.77%

4.89%

-2.12%

Volatility (6M)

Calculated over the trailing 6-month period

7.35%

9.93%

-2.58%

Volatility (1Y)

Calculated over the trailing 1-year period

9.76%

12.57%

-2.81%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.98%

17.00%

-4.02%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

15.42%

18.08%

-2.66%

Frequently Asked Questions


DEW and ^GSPC have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

^GSPC has higher volatility (4.89%) compared to DEW (2.77%). In terms of maximum drawdown, DEW dropped -65.55% vs ^GSPC's -56.78%.

DEW currently has the higher Sharpe Ratio (2.64 vs 1.78), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

Portfolio Optimizer

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