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

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.


-0.50.00.51.0
Correlation: 0.9

Performance

^DJI vs. ^GSPC - Performance Comparison

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

4,500.00%5,000.00%5,500.00%6,000.00%6,500.00%NovemberDecember2025FebruaryMarchApril
4,908.36%
5,879.39%
^DJI
^GSPC

Key characteristics

Sharpe Ratio

^DJI:

0.35

^GSPC:

0.52

Sortino Ratio

^DJI:

0.62

^GSPC:

0.86

Omega Ratio

^DJI:

1.09

^GSPC:

1.13

Calmar Ratio

^DJI:

0.37

^GSPC:

0.54

Martin Ratio

^DJI:

1.34

^GSPC:

2.16

Ulcer Index

^DJI:

4.45%

^GSPC:

4.70%

Daily Std Dev

^DJI:

17.03%

^GSPC:

19.42%

Max Drawdown

^DJI:

-53.78%

^GSPC:

-56.78%

Current Drawdown

^DJI:

-9.97%

^GSPC:

-9.49%

Returns By Period

In the year-to-date period, ^DJI achieves a -4.74% return, which is significantly higher than ^GSPC's -5.45% return. Over the past 10 years, ^DJI has underperformed ^GSPC with an annualized return of 8.46%, while ^GSPC has yielded a comparatively higher 10.21% annualized return.


^DJI

YTD

-4.74%

1M

-2.54%

6M

-4.04%

1Y

5.58%

5Y*

10.77%

10Y*

8.46%

^GSPC

YTD

-5.45%

1M

-0.36%

6M

-4.66%

1Y

8.69%

5Y*

13.87%

10Y*

10.21%

*Annualized

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Risk-Adjusted Performance

^DJI vs. ^GSPC — 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

^GSPC
The Risk-Adjusted Performance Rank of ^GSPC is 7474
Overall Rank
The Sharpe Ratio Rank of ^GSPC is 7272
Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 6868
Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 7474
Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7575
Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7878
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. ^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.


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
^GSPC: 0.47
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
^GSPC: 0.78
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
^GSPC: 1.11
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
^GSPC: 0.48
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
^GSPC: 1.92

The current ^DJI Sharpe Ratio is 0.35, which is lower than the ^GSPC Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of ^DJI and ^GSPC, 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.35
0.47
^DJI
^GSPC

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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-9.97%
-9.49%
^DJI
^GSPC

Volatility

^DJI vs. ^GSPC - Volatility Comparison

The current volatility for Dow Jones Industrial Average (^DJI) is 12.10%, while S&P 500 (^GSPC) has a volatility of 14.11%. This indicates that ^DJI experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
12.10%
14.11%
^DJI
^GSPC