PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
DGRW vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


DGRWSPY
YTD Return19.47%21.73%
1Y Return32.08%34.38%
3Y Return (Ann)13.57%11.06%
5Y Return (Ann)15.63%16.18%
10Y Return (Ann)13.66%13.66%
Sharpe Ratio3.062.84
Sortino Ratio4.243.79
Omega Ratio1.571.52
Calmar Ratio3.323.02
Martin Ratio19.1917.54
Ulcer Index1.72%2.01%
Daily Std Dev10.76%12.41%
Max Drawdown-32.04%-55.19%
Current Drawdown-0.23%-0.10%

Correlation

-0.50.00.51.00.9

The correlation between DGRW and SPY is 0.95, 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

DGRW vs. SPY - Performance Comparison

In the year-to-date period, DGRW achieves a 19.47% return, which is significantly lower than SPY's 21.73% return. Over a longer period, both investments have demonstrated similar performance, with their 10-year annualized returns being quite close: DGRW at 13.66% and SPY at 13.66%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
11.48%
11.07%
DGRW
SPY

Compare stocks, funds, or ETFs

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


DGRW vs. SPY - Expense Ratio Comparison

DGRW has a 0.28% expense ratio, which is higher than SPY's 0.09% expense ratio.


DGRW
WisdomTree U.S. Dividend Growth Fund
Expense ratio chart for DGRW: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%
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

DGRW vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree U.S. Dividend Growth Fund (DGRW) 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.


DGRW
Sharpe ratio
The chart of Sharpe ratio for DGRW, currently valued at 3.06, compared to the broader market0.002.004.003.06
Sortino ratio
The chart of Sortino ratio for DGRW, currently valued at 4.24, compared to the broader market-2.000.002.004.006.008.0010.0012.004.24
Omega ratio
The chart of Omega ratio for DGRW, currently valued at 1.57, compared to the broader market1.001.502.002.503.001.57
Calmar ratio
The chart of Calmar ratio for DGRW, currently valued at 3.32, compared to the broader market0.005.0010.0015.003.32
Martin ratio
The chart of Martin ratio for DGRW, currently valued at 19.19, compared to the broader market0.0020.0040.0060.0080.00100.0019.19
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 2.84, compared to the broader market0.002.004.002.84
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 3.79, compared to the broader market-2.000.002.004.006.008.0010.0012.003.79
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.52, compared to the broader market1.001.502.002.503.001.52
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 3.02, compared to the broader market0.005.0010.0015.003.02
Martin ratio
The chart of Martin ratio for SPY, currently valued at 17.54, compared to the broader market0.0020.0040.0060.0080.00100.0017.54

DGRW vs. SPY - Sharpe Ratio Comparison

The current DGRW Sharpe Ratio is 3.06, which roughly equals the SPY Sharpe Ratio of 2.84. The chart below compares the historical Sharpe Ratios of DGRW and SPY, offering insights into how both instruments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
3.06
2.84
DGRW
SPY

Dividends

DGRW vs. SPY - Dividend Comparison

DGRW's dividend yield for the trailing twelve months is around 1.50%, more than SPY's 1.22% yield.


TTM20232022202120202019201820172016201520142013
DGRW
WisdomTree U.S. Dividend Growth Fund
1.50%1.74%2.15%1.78%1.91%2.20%2.42%1.73%2.13%2.18%1.79%1.05%
SPY
SPDR S&P 500 ETF
1.22%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

DGRW vs. SPY - Drawdown Comparison

The maximum DGRW drawdown since its inception was -32.04%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for DGRW and SPY. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.23%
-0.10%
DGRW
SPY

Volatility

DGRW vs. SPY - Volatility Comparison

The current volatility for WisdomTree U.S. Dividend Growth Fund (DGRW) is 2.43%, while SPDR S&P 500 ETF (SPY) has a volatility of 2.88%. This indicates that DGRW experiences smaller price fluctuations and is considered to be less risky 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%MayJuneJulyAugustSeptemberOctober
2.43%
2.88%
DGRW
SPY