DJIA vs. ^GSPC
DJIA (Global X Dow 30 Covered Call ETF) is Derivative Income fund tracking the DJIA Cboe BuyWrite v2 Index, while ^GSPC (S&P 500 Index) is an index. Over the past 3 years, DJIA returned 10.45%/yr vs 21.07%/yr for ^GSPC. A 0.65 correlation means they provide meaningful diversification when combined.
Performance
DJIA vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, DJIA achieves a 3.46% return, which is significantly lower than ^GSPC's 10.79% return.
DJIA
- 1D
- 0.00%
- 1M
- 3.03%
- YTD
- 3.46%
- 6M
- 3.90%
- 1Y
- 14.27%
- 3Y*
- 10.45%
- 5Y*
- —
- 10Y*
- —
^GSPC
- 1D
- 0.41%
- 1M
- 4.48%
- YTD
- 10.79%
- 6M
- 10.60%
- 1Y
- 27.02%
- 3Y*
- 21.07%
- 5Y*
- 12.39%
- 10Y*
- 13.65%
DJIA vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
DJIA Global X Dow 30 Covered Call ETF | 3.46% | 9.11% | 14.52% | 9.15% | -2.80% |
^GSPC S&P 500 Index | 10.79% | 16.39% | 23.31% | 24.23% | -10.47% |
Correlation
The correlation between DJIA and ^GSPC is 0.68, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (All Time) Calculated using the full available price history since Feb 25, 2022 | 0.65 |
The correlation between DJIA and ^GSPC has been stable across timeframes, ranging from 0.61 to 0.68 - a consistent structural relationship.
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Return for Risk
DJIA vs. ^GSPC — Risk / Return Rank
DJIA
^GSPC
DJIA vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Global X Dow 30 Covered Call ETF (DJIA) 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.
| DJIA | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.43 | ||
| Sortino ratioReturn per unit of downside risk | -0.50 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.41 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 1.95 | 2.98 | -1.03 |
| Martin ratioReturn relative to average drawdown | 7.25 | 13.78 | -6.53 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| DJIA | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.85 | 2.28 | -0.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.74 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.76 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.69 | 0.47 | +0.22 |
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.
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Drawdown Indicators
| DJIA | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -16.91% | -56.78% | +39.87% |
Max Drawdown (1Y)Largest decline over 1 year | -7.34% | -9.10% | +1.76% |
Max Drawdown (3Y)Largest decline over 3 years | -12.09% | -18.90% | +6.81% |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.13% | -0.33% | +0.20% |
Average DrawdownAverage peak-to-trough decline | -3.59% | -10.72% | +7.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 1.97% | 0.00% |
Volatility
DJIA vs. ^GSPC - Volatility Comparison
The current volatility for Global X Dow 30 Covered Call ETF (DJIA) is 1.66%, while S&P 500 Index (^GSPC) has a volatility of 2.88%. 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.
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Volatility by Period
| DJIA | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.66% | 2.88% | -1.22% |
Volatility (6M)Calculated over the trailing 6-month period | 6.24% | 9.00% | -2.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.74% | 11.89% | -4.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.19% | 16.90% | -5.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.19% | 18.06% | -6.87% |
Frequently Asked Questions
DJIA and ^GSPC have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (2.88%) compared to DJIA (1.66%). In terms of maximum drawdown, DJIA dropped -16.91% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (2.28 vs 1.85), 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.
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