^IMUS vs. ^GSPC
Compare and contrast key facts about Dow Jones Islamic Market U.S. Index (^IMUS) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IMUS or ^GSPC.
Key characteristics
| ^IMUS | ^GSPC | |
|---|---|---|
| YTD Return | 17.48% | 17.79% |
| 1Y Return | 26.55% | 26.42% |
| 3Y Return (Ann) | 6.36% | 8.24% |
| 5Y Return (Ann) | 13.98% | 13.48% |
| 10Y Return (Ann) | 11.38% | 10.85% |
| Sharpe Ratio | 1.75 | 2.06 |
| Daily Std Dev | 13.51% | 12.69% |
| Max Drawdown | -47.72% | -56.78% |
| Current Drawdown | -2.85% | -0.86% |
Correlation
The correlation between ^IMUS and ^GSPC is 0.96, 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. ^GSPC - Performance Comparison
The year-to-date returns for both investments are quite close, with ^IMUS having a 17.48% return and ^GSPC slightly higher at 17.79%. Both investments have delivered pretty close results over the past 10 years, with ^IMUS having a 11.38% annualized return and ^GSPC not far behind at 10.85%. 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. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market U.S. Index (^IMUS) 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
^IMUS vs. ^GSPC - Drawdown Comparison
The maximum ^IMUS drawdown since its inception was -47.72%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^IMUS and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^IMUS vs. ^GSPC - Volatility Comparison
Dow Jones Islamic Market U.S. Index (^IMUS) has a higher volatility of 4.38% compared to S&P 500 (^GSPC) at 3.67%. This indicates that ^IMUS'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.