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

Correlation

The correlation between ^DJUSM and SPY is 1.00, 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.


Performance

^DJUSM vs. SPY - Performance Comparison

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

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Key characteristics

Daily Std Dev

^DJUSM:

11.80%

SPY:

20.02%

Max Drawdown

^DJUSM:

-0.84%

SPY:

-55.19%

Current Drawdown

^DJUSM:

-0.06%

SPY:

-7.65%

Returns By Period


^DJUSM

YTD

N/A

1M

N/A

6M

N/A

1Y

N/A

5Y*

N/A

10Y*

N/A

SPY

YTD

-3.42%

1M

5.69%

6M

-5.06%

1Y

9.73%

5Y*

16.26%

10Y*

12.24%

*Annualized

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Risk-Adjusted Performance

^DJUSM vs. SPY — Risk-Adjusted Performance Rank

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

^DJUSM
The Risk-Adjusted Performance Rank of ^DJUSM is 6464
Overall Rank
The Sharpe Ratio Rank of ^DJUSM is 5858
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSM is 6666
Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSM is 6666
Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSM is 6565
Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSM is 6767
Martin Ratio Rank

SPY
The Risk-Adjusted Performance Rank of SPY is 6363
Overall Rank
The Sharpe Ratio Rank of SPY is 5858
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.

^DJUSM vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Mid-Cap Index (^DJUSM) 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.



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Drawdowns

^DJUSM vs. SPY - Drawdown Comparison

The maximum ^DJUSM drawdown since its inception was -0.84%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DJUSM and SPY. For additional features, visit the drawdowns tool.


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Volatility

^DJUSM vs. SPY - Volatility Comparison


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