^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.
Performance
^DJI vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ^DJI achieves a 15.27% return, which is significantly lower than SPY's 24.40% return. Over the past 10 years, ^DJI has underperformed SPY with an annualized return of 9.41%, while SPY has yielded a comparatively higher 13.04% annualized return.
^DJI
15.27%
0.39%
8.60%
24.32%
9.27%
9.41%
SPY
24.40%
0.59%
11.33%
31.86%
15.23%
13.04%
Key characteristics
| ^DJI | SPY | |
|---|---|---|
| Sharpe Ratio | 2.19 | 2.64 |
| Sortino Ratio | 3.13 | 3.53 |
| Omega Ratio | 1.41 | 1.49 |
| Calmar Ratio | 3.99 | 3.81 |
| Martin Ratio | 12.20 | 17.21 |
| Ulcer Index | 1.98% | 1.86% |
| Daily Std Dev | 11.01% | 12.15% |
| Max Drawdown | -53.78% | -55.19% |
| Current Drawdown | -1.91% | -2.17% |
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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.
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
Dow Jones Industrial Average (^DJI) has a higher volatility of 4.58% compared to SPDR S&P 500 ETF (SPY) at 4.08%. This indicates that ^DJI's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.