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^DJI vs. SPY
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJI and SPY is 0.93, 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.


-0.50.00.51.0
Correlation: 0.9

Performance

^DJI vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Industrial Average (^DJI) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

1,000.00%1,200.00%1,400.00%1,600.00%1,800.00%2,000.00%2,200.00%2,400.00%NovemberDecember2025FebruaryMarchApril
1,124.39%
2,167.06%
^DJI
SPY

Key characteristics

Sharpe Ratio

^DJI:

0.35

SPY:

0.57

Sortino Ratio

^DJI:

0.62

SPY:

0.94

Omega Ratio

^DJI:

1.09

SPY:

1.14

Calmar Ratio

^DJI:

0.37

SPY:

0.61

Martin Ratio

^DJI:

1.34

SPY:

2.48

Ulcer Index

^DJI:

4.45%

SPY:

4.63%

Daily Std Dev

^DJI:

17.03%

SPY:

20.07%

Max Drawdown

^DJI:

-53.78%

SPY:

-55.19%

Current Drawdown

^DJI:

-9.97%

SPY:

-9.29%

Returns By Period

In the year-to-date period, ^DJI achieves a -4.74% return, which is significantly higher than SPY's -5.13% return. Over the past 10 years, ^DJI has underperformed SPY with an annualized return of 8.46%, while SPY has yielded a comparatively higher 12.11% annualized return.


^DJI

YTD

-4.74%

1M

-2.54%

6M

-4.04%

1Y

5.58%

5Y*

10.77%

10Y*

8.46%

SPY

YTD

-5.13%

1M

-0.24%

6M

-4.11%

1Y

10.06%

5Y*

15.53%

10Y*

12.11%

*Annualized

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Risk-Adjusted Performance

^DJI vs. SPY — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^DJI
The Risk-Adjusted Performance Rank of ^DJI is 5252
Overall Rank
The Sharpe Ratio Rank of ^DJI is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJI is 4949
Sortino Ratio Rank
The Omega Ratio Rank of ^DJI is 4848
Omega Ratio Rank
The Calmar Ratio Rank of ^DJI is 5555
Calmar Ratio Rank
The Martin Ratio Rank of ^DJI is 5858
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6666
Overall Rank
The Sharpe Ratio Rank of SPY is 6363
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6565
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6767
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 7070
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6767
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.


The chart of Sharpe ratio for ^DJI, currently valued at 0.35, compared to the broader market-0.500.000.501.001.50
^DJI: 0.35
SPY: 0.52
The chart of Sortino ratio for ^DJI, currently valued at 0.62, compared to the broader market-1.00-0.500.000.501.001.502.00
^DJI: 0.62
SPY: 0.87
The chart of Omega ratio for ^DJI, currently valued at 1.09, compared to the broader market0.901.001.101.201.30
^DJI: 1.09
SPY: 1.13
The chart of Calmar ratio for ^DJI, currently valued at 0.37, compared to the broader market-0.500.000.501.001.50
^DJI: 0.37
SPY: 0.56
The chart of Martin ratio for ^DJI, currently valued at 1.34, compared to the broader market0.002.004.006.008.00
^DJI: 1.34
SPY: 2.26

The current ^DJI Sharpe Ratio is 0.35, which is lower than the SPY Sharpe Ratio of 0.57. The chart below compares the historical Sharpe Ratios of ^DJI and SPY, 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.35
0.52
^DJI
SPY

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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.97%
-9.29%
^DJI
SPY

Volatility

^DJI vs. SPY - Volatility Comparison

The current volatility for Dow Jones Industrial Average (^DJI) is 12.10%, while SPDR S&P 500 ETF (SPY) has a volatility of 15.00%. 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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
12.10%
15.00%
^DJI
SPY