^DJI vs. ^GSPC
Compare and contrast key facts about Dow Jones Industrial Average (^DJI) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJI or ^GSPC.
Performance
^DJI vs. ^GSPC - Performance Comparison
Returns By Period
In the year-to-date period, ^DJI achieves a 15.27% return, which is significantly lower than ^GSPC's 23.62% return. Over the past 10 years, ^DJI has underperformed ^GSPC with an annualized return of 9.41%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
^DJI
15.27%
0.39%
8.60%
24.32%
9.27%
9.41%
^GSPC
23.62%
0.54%
11.19%
30.63%
13.61%
11.16%
Key characteristics
| ^DJI | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.19 | 2.51 |
| Sortino Ratio | 3.13 | 3.37 |
| Omega Ratio | 1.41 | 1.47 |
| Calmar Ratio | 3.99 | 3.63 |
| Martin Ratio | 12.20 | 16.15 |
| Ulcer Index | 1.98% | 1.91% |
| Daily Std Dev | 11.01% | 12.27% |
| Max Drawdown | -53.78% | -56.78% |
| Current Drawdown | -1.91% | -1.75% |
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Correlation
The correlation between ^DJI and ^GSPC is 0.94, 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. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) and S&P 500 (^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.
Drawdowns
^DJI vs. ^GSPC - Drawdown Comparison
The maximum ^DJI drawdown since its inception was -53.78%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^DJI and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^DJI vs. ^GSPC - Volatility Comparison
Dow Jones Industrial Average (^DJI) has a higher volatility of 4.58% compared to S&P 500 (^GSPC) at 4.07%. This indicates that ^DJI's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.