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DIA vs. DJD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between DIA and DJD is 0.72, 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

DIA vs. DJD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Dow Jones Industrial Average ETF (DIA) and Invesco Dow Jones Industrial Average Dividend ETF (DJD). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

DIA:

0.48

DJD:

0.75

Sortino Ratio

DIA:

0.63

DJD:

0.95

Omega Ratio

DIA:

1.08

DJD:

1.13

Calmar Ratio

DIA:

0.38

DJD:

0.72

Martin Ratio

DIA:

1.30

DJD:

2.48

Ulcer Index

DIA:

4.61%

DJD:

3.58%

Daily Std Dev

DIA:

17.34%

DJD:

14.71%

Max Drawdown

DIA:

-51.87%

DJD:

-34.66%

Current Drawdown

DIA:

-6.94%

DJD:

-5.43%

Returns By Period

In the year-to-date period, DIA achieves a -1.66% return, which is significantly lower than DJD's 1.59% return.


DIA

YTD

-1.66%

1M

3.90%

6M

-6.24%

1Y

8.22%

3Y*

11.22%

5Y*

13.23%

10Y*

10.97%

DJD

YTD

1.59%

1M

3.06%

6M

-3.67%

1Y

10.70%

3Y*

7.86%

5Y*

12.99%

10Y*

N/A

*Annualized

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DIA vs. DJD - Expense Ratio Comparison

DIA has a 0.16% expense ratio, which is higher than DJD's 0.07% 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%.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

DIA vs. DJD — Risk-Adjusted Performance Rank

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

DIA
The Risk-Adjusted Performance Rank of DIA is 4747
Overall Rank
The Sharpe Ratio Rank of DIA is 5151
Sharpe Ratio Rank
The Sortino Ratio Rank of DIA is 4444
Sortino Ratio Rank
The Omega Ratio Rank of DIA is 4343
Omega Ratio Rank
The Calmar Ratio Rank of DIA is 5151
Calmar Ratio Rank
The Martin Ratio Rank of DIA is 4747
Martin Ratio Rank

DJD
The Risk-Adjusted Performance Rank of DJD is 6868
Overall Rank
The Sharpe Ratio Rank of DJD is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of DJD is 6464
Sortino Ratio Rank
The Omega Ratio Rank of DJD is 6161
Omega Ratio Rank
The Calmar Ratio Rank of DJD is 7575
Calmar Ratio Rank
The Martin Ratio Rank of DJD is 6969
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.

DIA vs. DJD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Dow Jones Industrial Average ETF (DIA) and Invesco Dow Jones Industrial Average Dividend ETF (DJD). 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 DIA Sharpe Ratio is 0.48, which is lower than the DJD Sharpe Ratio of 0.75. The chart below compares the historical Sharpe Ratios of DIA and DJD, 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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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

DIA vs. DJD - Dividend Comparison

DIA's dividend yield for the trailing twelve months is around 1.54%, less than DJD's 2.85% yield.


TTM20242023202220212020201920182017201620152014
DIA
SPDR Dow Jones Industrial Average ETF
1.54%1.61%1.81%1.91%1.58%1.87%2.09%2.24%1.97%2.26%2.33%2.02%
DJD
Invesco Dow Jones Industrial Average Dividend ETF
2.85%3.00%3.49%3.16%2.82%3.47%2.80%2.66%3.26%3.65%0.16%0.00%

Drawdowns

DIA vs. DJD - Drawdown Comparison

The maximum DIA drawdown since its inception was -51.87%, which is greater than DJD's maximum drawdown of -34.66%. Use the drawdown chart below to compare losses from any high point for DIA and DJD.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

DIA vs. DJD - Volatility Comparison

SPDR Dow Jones Industrial Average ETF (DIA) has a higher volatility of 4.33% compared to Invesco Dow Jones Industrial Average Dividend ETF (DJD) at 3.95%. This indicates that DIA's price experiences larger fluctuations and is considered to be riskier than DJD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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