^DJI vs. SPY
Compare and contrast key facts about Dow Jones Industrial Average (^DJI) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJI or SPY.
Key characteristics
| ^DJI | SPY | |
|---|---|---|
| YTD Return | 7.05% | 14.41% |
| 1Y Return | 16.94% | 23.17% |
| 3Y Return (Ann) | 4.76% | 7.77% |
| 5Y Return (Ann) | 8.54% | 14.45% |
| 10Y Return (Ann) | 9.04% | 12.50% |
| Sharpe Ratio | 1.60 | 1.81 |
| Daily Std Dev | 10.74% | 12.61% |
| Max Drawdown | -53.78% | -55.19% |
| Current Drawdown | -2.93% | -4.34% |
Correlation
The correlation between ^DJI and SPY is 0.91, 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
^DJI vs. SPY - Performance Comparison
In the year-to-date period, ^DJI achieves a 7.05% return, which is significantly lower than SPY's 14.41% return. Over the past 10 years, ^DJI has underperformed SPY with an annualized return of 9.04%, while SPY has yielded a comparatively higher 12.50% annualized 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
^DJI vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) and SPDR S&P 500 ETF (SPY). 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
^DJI vs. SPY - Drawdown Comparison
The maximum ^DJI drawdown since its inception was -53.78%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DJI and SPY. For additional features, visit the drawdowns tool.
Volatility
^DJI vs. SPY - Volatility Comparison
The current volatility for Dow Jones Industrial Average (^DJI) is 3.57%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.78%. This indicates that ^DJI experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.