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^DWCF vs. DAX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DWCF and DAX is 0.66, 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.


-0.50.00.51.00.7

Performance

^DWCF vs. DAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Total Stock Market Index (^DWCF) and Global X DAX Germany ETF (DAX). The values are adjusted to include any dividend payments, if applicable.

50.00%100.00%150.00%200.00%JulyAugustSeptemberOctoberNovemberDecember
187.60%
68.15%
^DWCF
DAX

Key characteristics

Sharpe Ratio

^DWCF:

1.77

DAX:

0.89

Sortino Ratio

^DWCF:

2.38

DAX:

1.30

Omega Ratio

^DWCF:

1.33

DAX:

1.16

Calmar Ratio

^DWCF:

2.67

DAX:

1.60

Martin Ratio

^DWCF:

11.34

DAX:

4.12

Ulcer Index

^DWCF:

2.03%

DAX:

3.20%

Daily Std Dev

^DWCF:

12.99%

DAX:

14.79%

Max Drawdown

^DWCF:

-35.14%

DAX:

-45.58%

Current Drawdown

^DWCF:

-4.10%

DAX:

-4.08%

Returns By Period

In the year-to-date period, ^DWCF achieves a 22.08% return, which is significantly higher than DAX's 11.47% return. Over the past 10 years, ^DWCF has outperformed DAX with an annualized return of 10.53%, while DAX has yielded a comparatively lower 4.91% annualized return.


^DWCF

YTD

22.08%

1M

-0.53%

6M

7.86%

1Y

22.15%

5Y*

12.16%

10Y*

10.53%

DAX

YTD

11.47%

1M

2.14%

6M

6.26%

1Y

11.96%

5Y*

6.46%

10Y*

4.91%

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Risk-Adjusted Performance

^DWCF vs. DAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Total Stock Market Index (^DWCF) and Global X DAX Germany ETF (DAX). 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.


Sharpe ratio
The chart of Sharpe ratio for ^DWCF, currently valued at 1.77, compared to the broader market-1.000.001.002.001.770.89
The chart of Sortino ratio for ^DWCF, currently valued at 2.38, compared to the broader market-1.000.001.002.003.002.381.30
The chart of Omega ratio for ^DWCF, currently valued at 1.33, compared to the broader market0.800.901.001.101.201.301.401.331.16
The chart of Calmar ratio for ^DWCF, currently valued at 2.67, compared to the broader market0.001.002.003.004.002.671.60
The chart of Martin ratio for ^DWCF, currently valued at 11.34, compared to the broader market0.005.0010.0015.0011.344.12
^DWCF
DAX

The current ^DWCF Sharpe Ratio is 1.77, which is higher than the DAX Sharpe Ratio of 0.89. The chart below compares the historical Sharpe Ratios of ^DWCF and DAX, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.77
0.89
^DWCF
DAX

Drawdowns

^DWCF vs. DAX - Drawdown Comparison

The maximum ^DWCF drawdown since its inception was -35.14%, smaller than the maximum DAX drawdown of -45.58%. Use the drawdown chart below to compare losses from any high point for ^DWCF and DAX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.10%
-4.08%
^DWCF
DAX

Volatility

^DWCF vs. DAX - Volatility Comparison

The current volatility for Dow Jones U.S. Total Stock Market Index (^DWCF) is 3.92%, while Global X DAX Germany ETF (DAX) has a volatility of 4.50%. This indicates that ^DWCF experiences smaller price fluctuations and is considered to be less risky than DAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.92%
4.50%
^DWCF
DAX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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