DJIA vs. ^GSPC
Compare and contrast key facts about Global X Dow 30 Covered Call ETF (DJIA) and S&P 500 (^GSPC).
DJIA is a passively managed fund by Global X that tracks the performance of the DJIA Cboe BuyWrite v2 Index. It was launched on Feb 23, 2022.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: DJIA or ^GSPC.
Key characteristics
| DJIA | ^GSPC | |
|---|---|---|
| YTD Return | 13.58% | 25.48% |
| 1Y Return | 16.58% | 33.14% |
| Sharpe Ratio | 2.17 | 2.91 |
| Sortino Ratio | 3.15 | 3.88 |
| Omega Ratio | 1.45 | 1.55 |
| Calmar Ratio | 3.80 | 4.20 |
| Martin Ratio | 14.54 | 18.80 |
| Ulcer Index | 1.18% | 1.90% |
| Daily Std Dev | 7.92% | 12.27% |
| Max Drawdown | -16.91% | -56.78% |
| Current Drawdown | 0.00% | -0.27% |
Correlation
The correlation between DJIA and ^GSPC is 0.64, 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
DJIA vs. ^GSPC - Performance Comparison
In the year-to-date period, DJIA achieves a 13.58% return, which is significantly lower than ^GSPC's 25.48% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
DJIA vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Dow 30 Covered Call ETF (DJIA) and S&P 500 (^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.
Drawdowns
DJIA vs. ^GSPC - Drawdown Comparison
The maximum DJIA drawdown since its inception was -16.91%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for DJIA and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
DJIA vs. ^GSPC - Volatility Comparison
The current volatility for Global X Dow 30 Covered Call ETF (DJIA) is 3.15%, while S&P 500 (^GSPC) has a volatility of 3.75%. This indicates that DJIA 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.