^DJUSM vs. SPY
Compare and contrast key facts about Dow Jones U.S. Mid-Cap Index (^DJUSM) and SPDR S&P 500 ETF (SPY).
SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJUSM or SPY.
Key characteristics
^DJUSM | SPY | |
---|---|---|
YTD Return | 15.22% | 24.09% |
1Y Return | 28.07% | 37.25% |
3Y Return (Ann) | 4.12% | 11.11% |
5Y Return (Ann) | 10.98% | 16.22% |
10Y Return (Ann) | 9.93% | 14.01% |
Sharpe Ratio | 2.36 | 2.94 |
Sortino Ratio | 3.23 | 3.92 |
Omega Ratio | 1.41 | 1.54 |
Calmar Ratio | 1.42 | 3.13 |
Martin Ratio | 12.95 | 18.26 |
Ulcer Index | 2.29% | 2.00% |
Daily Std Dev | 12.59% | 12.43% |
Max Drawdown | -60.72% | -55.19% |
Current Drawdown | -0.41% | 0.00% |
Correlation
The correlation between ^DJUSM 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.
Performance
^DJUSM vs. SPY - Performance Comparison
In the year-to-date period, ^DJUSM achieves a 15.22% return, which is significantly lower than SPY's 24.09% return. Over the past 10 years, ^DJUSM has underperformed SPY with an annualized return of 9.93%, while SPY has yielded a comparatively higher 14.01% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^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.
Drawdowns
^DJUSM vs. SPY - Drawdown Comparison
The maximum ^DJUSM drawdown since its inception was -60.72%, which is greater than SPY's maximum 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.
Volatility
^DJUSM vs. SPY - Volatility Comparison
The current volatility for Dow Jones U.S. Mid-Cap Index (^DJUSM) is 2.64%, while SPDR S&P 500 ETF (SPY) has a volatility of 2.83%. This indicates that ^DJUSM 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.