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

Correlation

The correlation between ^GDAXI and DIA is 0.48, 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.


-0.50.00.51.00.5

Performance

^GDAXI vs. DIA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DAX Performance Index (^GDAXI) and SPDR Dow Jones Industrial Average ETF (DIA). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
7.98%
9.83%
^GDAXI
DIA

Key characteristics

Sharpe Ratio

^GDAXI:

1.77

DIA:

1.36

Sortino Ratio

^GDAXI:

2.44

DIA:

1.96

Omega Ratio

^GDAXI:

1.31

DIA:

1.25

Calmar Ratio

^GDAXI:

2.61

DIA:

2.53

Martin Ratio

^GDAXI:

9.64

DIA:

7.65

Ulcer Index

^GDAXI:

2.20%

DIA:

2.01%

Daily Std Dev

^GDAXI:

11.89%

DIA:

11.30%

Max Drawdown

^GDAXI:

-72.68%

DIA:

-51.87%

Current Drawdown

^GDAXI:

-0.90%

DIA:

-5.93%

Returns By Period

In the year-to-date period, ^GDAXI achieves a 20.84% return, which is significantly higher than DIA's 14.15% return. Over the past 10 years, ^GDAXI has underperformed DIA with an annualized return of 7.49%, while DIA has yielded a comparatively higher 11.38% annualized return.


^GDAXI

YTD

20.84%

1M

5.49%

6M

12.04%

1Y

20.89%

5Y*

8.64%

10Y*

7.49%

DIA

YTD

14.15%

1M

-2.30%

6M

9.83%

1Y

14.57%

5Y*

10.36%

10Y*

11.38%

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Risk-Adjusted Performance

^GDAXI vs. DIA - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for DAX Performance Index (^GDAXI) 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 ^GDAXI, currently valued at 0.95, compared to the broader market-1.000.001.002.000.951.26
The chart of Sortino ratio for ^GDAXI, currently valued at 1.37, compared to the broader market-1.000.001.002.003.001.371.84
The chart of Omega ratio for ^GDAXI, currently valued at 1.17, compared to the broader market0.800.901.001.101.201.301.401.171.24
The chart of Calmar ratio for ^GDAXI, currently valued at 1.72, compared to the broader market0.001.002.003.004.001.722.33
The chart of Martin ratio for ^GDAXI, currently valued at 4.24, compared to the broader market0.005.0010.0015.004.246.98
^GDAXI
DIA

The current ^GDAXI Sharpe Ratio is 1.77, which is higher than the DIA Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of ^GDAXI 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 Ratio1.001.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
0.95
1.26
^GDAXI
DIA

Drawdowns

^GDAXI vs. DIA - Drawdown Comparison

The maximum ^GDAXI drawdown since its inception was -72.68%, which is greater than DIA's maximum drawdown of -51.87%. Use the drawdown chart below to compare losses from any high point for ^GDAXI and DIA. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.60%
-5.93%
^GDAXI
DIA

Volatility

^GDAXI vs. DIA - Volatility Comparison

The current volatility for DAX Performance Index (^GDAXI) is 3.35%, while SPDR Dow Jones Industrial Average ETF (DIA) has a volatility of 3.62%. This indicates that ^GDAXI experiences smaller price fluctuations and is considered to be less risky 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%JulyAugustSeptemberOctoberNovemberDecember
3.35%
3.62%
^GDAXI
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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