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

Correlation

The correlation between ^DJUSEN and SPY is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.0
Correlation: 0.6

Performance

^DJUSEN vs. SPY - Performance Comparison

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

200.00%300.00%400.00%500.00%600.00%NovemberDecember2025FebruaryMarchApril
233.00%
521.19%
^DJUSEN
SPY

Key characteristics

Sharpe Ratio

^DJUSEN:

-0.52

SPY:

0.51

Sortino Ratio

^DJUSEN:

-0.55

SPY:

0.86

Omega Ratio

^DJUSEN:

0.92

SPY:

1.13

Calmar Ratio

^DJUSEN:

-0.51

SPY:

0.55

Martin Ratio

^DJUSEN:

-1.64

SPY:

2.26

Ulcer Index

^DJUSEN:

7.85%

SPY:

4.55%

Daily Std Dev

^DJUSEN:

24.61%

SPY:

20.08%

Max Drawdown

^DJUSEN:

-77.35%

SPY:

-55.19%

Current Drawdown

^DJUSEN:

-19.09%

SPY:

-9.89%

Returns By Period

In the year-to-date period, ^DJUSEN achieves a -4.00% return, which is significantly higher than SPY's -5.76% return. Over the past 10 years, ^DJUSEN has underperformed SPY with an annualized return of -0.05%, while SPY has yielded a comparatively higher 12.04% annualized return.


^DJUSEN

YTD

-4.00%

1M

-10.71%

6M

-7.58%

1Y

-12.58%

5Y*

19.00%

10Y*

-0.05%

SPY

YTD

-5.76%

1M

-2.90%

6M

-4.30%

1Y

9.72%

5Y*

15.64%

10Y*

12.04%

*Annualized

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Risk-Adjusted Performance

^DJUSEN vs. SPY — Risk-Adjusted Performance Rank

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

^DJUSEN
The Risk-Adjusted Performance Rank of ^DJUSEN is 55
Overall Rank
The Sharpe Ratio Rank of ^DJUSEN is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSEN is 88
Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSEN is 66
Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSEN is 33
Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSEN is 22
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6363
Overall Rank
The Sharpe Ratio Rank of SPY is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of SPY is 6161
Sortino Ratio Rank
The Omega Ratio Rank of SPY is 6464
Omega Ratio Rank
The Calmar Ratio Rank of SPY is 6666
Calmar Ratio Rank
The Martin Ratio Rank of SPY is 6565
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.

^DJUSEN vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Oil & Gas Index (^DJUSEN) 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 ^DJUSEN, currently valued at -0.52, compared to the broader market-0.500.000.501.001.50
^DJUSEN: -0.52
SPY: 0.52
The chart of Sortino ratio for ^DJUSEN, currently valued at -0.55, compared to the broader market-1.00-0.500.000.501.001.502.00
^DJUSEN: -0.55
SPY: 0.86
The chart of Omega ratio for ^DJUSEN, currently valued at 0.92, compared to the broader market0.901.001.101.201.30
^DJUSEN: 0.92
SPY: 1.13
The chart of Calmar ratio for ^DJUSEN, currently valued at -0.51, compared to the broader market-0.500.000.501.00
^DJUSEN: -0.51
SPY: 0.55
The chart of Martin ratio for ^DJUSEN, currently valued at -1.64, compared to the broader market0.002.004.006.00
^DJUSEN: -1.64
SPY: 2.27

The current ^DJUSEN Sharpe Ratio is -0.52, which is lower than the SPY Sharpe Ratio of 0.51. The chart below compares the historical Sharpe Ratios of ^DJUSEN 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 Ratio-1.000.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
-0.52
0.52
^DJUSEN
SPY

Drawdowns

^DJUSEN vs. SPY - Drawdown Comparison

The maximum ^DJUSEN drawdown since its inception was -77.35%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DJUSEN and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-19.09%
-9.89%
^DJUSEN
SPY

Volatility

^DJUSEN vs. SPY - Volatility Comparison

Dow Jones U.S. Oil & Gas Index (^DJUSEN) has a higher volatility of 17.16% compared to SPDR S&P 500 ETF (SPY) at 15.12%. This indicates that ^DJUSEN'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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
17.16%
15.12%
^DJUSEN
SPY