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

Correlation

The correlation between DJD and VOO is 0.73, 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.


-0.50.00.51.00.7

Performance

DJD vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Dow Jones Industrial Average Dividend ETF (DJD) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

140.00%160.00%180.00%200.00%220.00%240.00%JulyAugustSeptemberOctoberNovemberDecember
166.77%
235.47%
DJD
VOO

Key characteristics

Sharpe Ratio

DJD:

1.51

VOO:

2.25

Sortino Ratio

DJD:

2.29

VOO:

2.98

Omega Ratio

DJD:

1.28

VOO:

1.42

Calmar Ratio

DJD:

2.69

VOO:

3.31

Martin Ratio

DJD:

8.55

VOO:

14.77

Ulcer Index

DJD:

1.95%

VOO:

1.90%

Daily Std Dev

DJD:

11.00%

VOO:

12.46%

Max Drawdown

DJD:

-34.66%

VOO:

-33.99%

Current Drawdown

DJD:

-5.51%

VOO:

-2.47%

Returns By Period

In the year-to-date period, DJD achieves a 13.98% return, which is significantly lower than VOO's 26.02% return.


DJD

YTD

13.98%

1M

-1.99%

6M

8.51%

1Y

15.31%

5Y*

8.91%

10Y*

N/A

VOO

YTD

26.02%

1M

-0.11%

6M

9.35%

1Y

26.45%

5Y*

14.79%

10Y*

13.08%

Compare stocks, funds, or ETFs

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


DJD vs. VOO - Expense Ratio Comparison

DJD has a 0.07% 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%.


DJD
Invesco Dow Jones Industrial Average Dividend ETF
Expense ratio chart for DJD: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

DJD vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Dow Jones Industrial Average Dividend ETF (DJD) 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.


Sharpe ratio
The chart of Sharpe ratio for DJD, currently valued at 1.51, compared to the broader market0.002.004.001.512.25
The chart of Sortino ratio for DJD, currently valued at 2.29, compared to the broader market-2.000.002.004.006.008.0010.002.292.98
The chart of Omega ratio for DJD, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.001.281.42
The chart of Calmar ratio for DJD, currently valued at 2.69, compared to the broader market0.005.0010.0015.002.693.31
The chart of Martin ratio for DJD, currently valued at 8.55, compared to the broader market0.0020.0040.0060.0080.00100.008.5514.77
DJD
VOO

The current DJD Sharpe Ratio is 1.51, which is lower than the VOO Sharpe Ratio of 2.25. The chart below compares the historical Sharpe Ratios of DJD 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.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
1.51
2.25
DJD
VOO

Dividends

DJD vs. VOO - Dividend Comparison

DJD's dividend yield for the trailing twelve months is around 2.29%, more than VOO's 0.91% yield.


TTM20232022202120202019201820172016201520142013
DJD
Invesco Dow Jones Industrial Average Dividend ETF
2.29%3.49%3.16%2.82%3.47%2.80%2.66%3.26%3.65%0.16%0.00%0.00%
VOO
Vanguard S&P 500 ETF
0.91%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

DJD vs. VOO - Drawdown Comparison

The maximum DJD drawdown since its inception was -34.66%, roughly equal to the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for DJD and VOO. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.51%
-2.47%
DJD
VOO

Volatility

DJD vs. VOO - Volatility Comparison

The current volatility for Invesco Dow Jones Industrial Average Dividend ETF (DJD) is 3.33%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.75%. This indicates that DJD 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.


2.00%3.00%4.00%5.00%6.00%JulyAugustSeptemberOctoberNovemberDecember
3.33%
3.75%
DJD
VOO
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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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