^IMUS vs. SPY
Compare and contrast key facts about Dow Jones Islamic Market U.S. Index (^IMUS) 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: ^IMUS or SPY.
Key characteristics
| ^IMUS | SPY | |
|---|---|---|
| YTD Return | 22.69% | 23.95% |
| 1Y Return | 38.86% | 40.44% |
| 3Y Return (Ann) | 7.19% | 10.47% |
| 5Y Return (Ann) | 14.83% | 16.08% |
| 10Y Return (Ann) | 12.07% | 13.53% |
| Sharpe Ratio | 1.71 | 3.15 |
| Sortino Ratio | 2.36 | 4.18 |
| Omega Ratio | 1.35 | 1.58 |
| Calmar Ratio | 2.25 | 3.32 |
| Martin Ratio | 8.64 | 20.89 |
| Ulcer Index | 2.65% | 1.85% |
| Daily Std Dev | 13.16% | 12.23% |
| Max Drawdown | -47.72% | -55.19% |
| Current Drawdown | -0.29% | -0.16% |
Correlation
The correlation between ^IMUS and SPY is 0.94, 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
^IMUS vs. SPY - Performance Comparison
In the year-to-date period, ^IMUS achieves a 22.69% return, which is significantly lower than SPY's 23.95% return. Over the past 10 years, ^IMUS has underperformed SPY with an annualized return of 12.07%, while SPY has yielded a comparatively higher 13.53% 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
^IMUS vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market U.S. Index (^IMUS) 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
^IMUS vs. SPY - Drawdown Comparison
The maximum ^IMUS drawdown since its inception was -47.72%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^IMUS and SPY. For additional features, visit the drawdowns tool.
Volatility
^IMUS vs. SPY - Volatility Comparison
Dow Jones Islamic Market U.S. Index (^IMUS) has a higher volatility of 2.74% compared to SPDR S&P 500 ETF (SPY) at 2.47%. This indicates that ^IMUS's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.