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

Correlation

The correlation between ^DWCF and DIA is 0.91, 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.


-0.50.00.51.00.9

Performance

^DWCF vs. DIA - 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 SPDR Dow Jones Industrial Average ETF (DIA). The values are adjusted to include any dividend payments, if applicable.

320.00%340.00%360.00%380.00%400.00%420.00%JulyAugustSeptemberOctoberNovemberDecember
377.59%
398.78%
^DWCF
DIA

Key characteristics

Sharpe Ratio

^DWCF:

1.96

DIA:

1.56

Sortino Ratio

^DWCF:

2.62

DIA:

2.24

Omega Ratio

^DWCF:

1.36

DIA:

1.29

Calmar Ratio

^DWCF:

2.93

DIA:

2.90

Martin Ratio

^DWCF:

12.30

DIA:

8.52

Ulcer Index

^DWCF:

2.05%

DIA:

2.06%

Daily Std Dev

^DWCF:

12.91%

DIA:

11.27%

Max Drawdown

^DWCF:

-35.14%

DIA:

-51.87%

Current Drawdown

^DWCF:

-3.15%

DIA:

-4.69%

Returns By Period

In the year-to-date period, ^DWCF achieves a 23.30% return, which is significantly higher than DIA's 15.64% return. Over the past 10 years, ^DWCF has underperformed DIA with an annualized return of 10.58%, while DIA has yielded a comparatively higher 11.38% annualized return.


^DWCF

YTD

23.30%

1M

-0.07%

6M

9.33%

1Y

23.90%

5Y*

12.36%

10Y*

10.58%

DIA

YTD

15.64%

1M

-1.04%

6M

10.39%

1Y

16.57%

5Y*

10.63%

10Y*

11.38%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^DWCF vs. DIA - 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 SPDR Dow Jones Industrial Average ETF (DIA). 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 1.96, compared to the broader market0.001.002.001.961.56
The chart of Sortino ratio for ^DWCF, currently valued at 2.62, compared to the broader market-1.000.001.002.003.002.622.24
The chart of Omega ratio for ^DWCF, currently valued at 1.36, compared to the broader market0.901.001.101.201.301.401.361.29
The chart of Calmar ratio for ^DWCF, currently valued at 2.93, compared to the broader market0.001.002.003.002.932.90
The chart of Martin ratio for ^DWCF, currently valued at 12.30, compared to the broader market0.005.0010.0015.0020.0012.308.52
^DWCF
DIA

The current ^DWCF Sharpe Ratio is 1.96, which is comparable to the DIA Sharpe Ratio of 1.56. The chart below compares the historical Sharpe Ratios of ^DWCF and DIA, 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 Ratio1.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.96
1.56
^DWCF
DIA

Drawdowns

^DWCF vs. DIA - Drawdown Comparison

The maximum ^DWCF drawdown since its inception was -35.14%, smaller than the maximum DIA drawdown of -51.87%. Use the drawdown chart below to compare losses from any high point for ^DWCF and DIA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.15%
-4.69%
^DWCF
DIA

Volatility

^DWCF vs. DIA - Volatility Comparison

Dow Jones U.S. Total Stock Market Index (^DWCF) has a higher volatility of 4.06% compared to SPDR Dow Jones Industrial Average ETF (DIA) at 3.83%. This indicates that ^DWCF's price experiences larger fluctuations and is considered to be riskier than DIA 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
4.06%
3.83%
^DWCF
DIA
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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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