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

Performance

DJIA vs. XYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X Dow 30 Covered Call ETF (DJIA) and Global X S&P 500 Covered Call ETF (XYLD). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
10.20%
10.34%
DJIA
XYLD

Returns By Period

In the year-to-date period, DJIA achieves a 13.94% return, which is significantly lower than XYLD's 16.07% return.


DJIA

YTD

13.94%

1M

2.76%

6M

10.21%

1Y

16.79%

5Y (annualized)

N/A

10Y (annualized)

N/A

XYLD

YTD

16.07%

1M

1.89%

6M

10.34%

1Y

18.91%

5Y (annualized)

6.67%

10Y (annualized)

6.77%

Key characteristics


DJIAXYLD
Sharpe Ratio2.102.73
Sortino Ratio3.053.70
Omega Ratio1.431.72
Calmar Ratio3.673.10
Martin Ratio14.0223.90
Ulcer Index1.19%0.79%
Daily Std Dev7.92%6.90%
Max Drawdown-16.91%-33.46%
Current Drawdown0.00%0.00%

Compare stocks, funds, or ETFs

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


DJIA vs. XYLD - Expense Ratio Comparison

Both DJIA and XYLD have an expense ratio of 0.60%.


DJIA
Global X Dow 30 Covered Call ETF
Expense ratio chart for DJIA: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
Expense ratio chart for XYLD: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%

Correlation

-0.50.00.51.00.7

The correlation between DJIA and XYLD is 0.70, 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.

Risk-Adjusted Performance

DJIA vs. XYLD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X Dow 30 Covered Call ETF (DJIA) and Global X S&P 500 Covered Call ETF (XYLD). 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 DJIA, currently valued at 2.10, compared to the broader market0.002.004.002.102.73
The chart of Sortino ratio for DJIA, currently valued at 3.05, compared to the broader market-2.000.002.004.006.008.0010.0012.003.053.70
The chart of Omega ratio for DJIA, currently valued at 1.43, compared to the broader market0.501.001.502.002.503.001.431.72
The chart of Calmar ratio for DJIA, currently valued at 3.67, compared to the broader market0.005.0010.0015.003.673.10
The chart of Martin ratio for DJIA, currently valued at 14.02, compared to the broader market0.0020.0040.0060.0080.00100.00120.0014.0223.90
DJIA
XYLD

The current DJIA Sharpe Ratio is 2.10, which is comparable to the XYLD Sharpe Ratio of 2.73. The chart below compares the historical Sharpe Ratios of DJIA and XYLD, 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 Ratio0.000.501.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.10
2.73
DJIA
XYLD

Dividends

DJIA vs. XYLD - Dividend Comparison

DJIA's dividend yield for the trailing twelve months is around 6.79%, less than XYLD's 9.41% yield.


TTM20232022202120202019201820172016201520142013
DJIA
Global X Dow 30 Covered Call ETF
6.79%7.16%9.18%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XYLD
Global X S&P 500 Covered Call ETF
9.41%10.51%13.44%9.08%7.93%5.76%7.12%4.67%3.24%4.65%4.15%2.49%

Drawdowns

DJIA vs. XYLD - Drawdown Comparison

The maximum DJIA drawdown since its inception was -16.91%, smaller than the maximum XYLD drawdown of -33.46%. Use the drawdown chart below to compare losses from any high point for DJIA and XYLD. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember00
DJIA
XYLD

Volatility

DJIA vs. XYLD - Volatility Comparison

Global X Dow 30 Covered Call ETF (DJIA) has a higher volatility of 3.13% compared to Global X S&P 500 Covered Call ETF (XYLD) at 2.41%. This indicates that DJIA's price experiences larger fluctuations and is considered to be riskier than XYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
3.13%
2.41%
DJIA
XYLD