^DWCF vs. ^GSPC
Compare and contrast key facts about Dow Jones U.S. Total Stock Market Index (^DWCF) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DWCF or ^GSPC.
Key characteristics
| ^DWCF | ^GSPC | |
|---|---|---|
| YTD Return | 24.72% | 25.48% |
| 1Y Return | 33.45% | 33.14% |
| 3Y Return (Ann) | 7.08% | 8.55% |
| 5Y Return (Ann) | 13.39% | 13.96% |
| 10Y Return (Ann) | 10.93% | 11.39% |
| Sharpe Ratio | 2.87 | 2.91 |
| Sortino Ratio | 3.84 | 3.88 |
| Omega Ratio | 1.54 | 1.55 |
| Calmar Ratio | 4.18 | 4.20 |
| Martin Ratio | 18.28 | 18.80 |
| Ulcer Index | 1.99% | 1.90% |
| Daily Std Dev | 12.68% | 12.27% |
| Max Drawdown | -35.14% | -56.78% |
| Current Drawdown | -0.46% | -0.27% |
Correlation
The correlation between ^DWCF and ^GSPC is 0.99, 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
^DWCF vs. ^GSPC - Performance Comparison
The year-to-date returns for both investments are quite close, with ^DWCF having a 24.72% return and ^GSPC slightly higher at 25.48%. Both investments have delivered pretty close results over the past 10 years, with ^DWCF having a 10.93% annualized return and ^GSPC not far ahead at 11.39%. 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
^DWCF vs. ^GSPC - 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 S&P 500 (^GSPC). 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
^DWCF vs. ^GSPC - Drawdown Comparison
The maximum ^DWCF drawdown since its inception was -35.14%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^DWCF and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^DWCF vs. ^GSPC - Volatility Comparison
Dow Jones U.S. Total Stock Market Index (^DWCF) has a higher volatility of 3.96% compared to S&P 500 (^GSPC) at 3.75%. This indicates that ^DWCF's price experiences larger fluctuations and is considered to be riskier than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.