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^IMUS vs. ^IMXL
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^IMUS^IMXL
YTD Return25.59%27.35%
1Y Return36.81%37.12%
3Y Return (Ann)6.43%6.99%
5Y Return (Ann)14.61%14.23%
10Y Return (Ann)11.92%11.22%
Sharpe Ratio1.821.89
Sortino Ratio2.492.58
Omega Ratio1.371.38
Calmar Ratio2.472.29
Martin Ratio9.468.86
Ulcer Index2.65%2.75%
Daily Std Dev13.23%12.27%
Max Drawdown-47.72%-48.36%
Current Drawdown0.00%-0.01%

Correlation

-0.50.00.51.00.9

The correlation between ^IMUS and ^IMXL is 0.89, 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. ^IMXL - Performance Comparison

In the year-to-date period, ^IMUS achieves a 25.59% return, which is significantly lower than ^IMXL's 27.35% return. Over the past 10 years, ^IMUS has outperformed ^IMXL with an annualized return of 11.92%, while ^IMXL has yielded a comparatively lower 11.22% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.46%
14.27%
^IMUS
^IMXL

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Risk-Adjusted Performance

^IMUS vs. ^IMXL - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Islamic Market U.S. Index (^IMUS) and Dow Jones Islamic Market Titans 100 Index (^IMXL). 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.


^IMUS
Sharpe ratio
The chart of Sharpe ratio for ^IMUS, currently valued at 1.68, compared to the broader market-1.000.001.002.003.001.68
Sortino ratio
The chart of Sortino ratio for ^IMUS, currently valued at 2.31, compared to the broader market-1.000.001.002.003.004.002.31
Omega ratio
The chart of Omega ratio for ^IMUS, currently valued at 1.35, compared to the broader market1.001.201.401.601.35
Calmar ratio
The chart of Calmar ratio for ^IMUS, currently valued at 2.26, compared to the broader market0.001.002.003.004.002.26
Martin ratio
The chart of Martin ratio for ^IMUS, currently valued at 8.64, compared to the broader market0.005.0010.0015.0020.008.64
^IMXL
Sharpe ratio
The chart of Sharpe ratio for ^IMXL, currently valued at 1.89, compared to the broader market-1.000.001.002.003.001.89
Sortino ratio
The chart of Sortino ratio for ^IMXL, currently valued at 2.58, compared to the broader market-1.000.001.002.003.004.002.58
Omega ratio
The chart of Omega ratio for ^IMXL, currently valued at 1.38, compared to the broader market1.001.201.401.601.38
Calmar ratio
The chart of Calmar ratio for ^IMXL, currently valued at 2.29, compared to the broader market0.001.002.003.004.002.29
Martin ratio
The chart of Martin ratio for ^IMXL, currently valued at 8.86, compared to the broader market0.005.0010.0015.0020.008.86

^IMUS vs. ^IMXL - Sharpe Ratio Comparison

The current ^IMUS Sharpe Ratio is 1.82, which is comparable to the ^IMXL Sharpe Ratio of 1.89. The chart below compares the historical Sharpe Ratios of ^IMUS and ^IMXL, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.68
1.89
^IMUS
^IMXL

Drawdowns

^IMUS vs. ^IMXL - Drawdown Comparison

The maximum ^IMUS drawdown since its inception was -47.72%, roughly equal to the maximum ^IMXL drawdown of -48.36%. Use the drawdown chart below to compare losses from any high point for ^IMUS and ^IMXL. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.01%
^IMUS
^IMXL

Volatility

^IMUS vs. ^IMXL - Volatility Comparison

Dow Jones Islamic Market U.S. Index (^IMUS) has a higher volatility of 4.10% compared to Dow Jones Islamic Market Titans 100 Index (^IMXL) at 3.78%. This indicates that ^IMUS's price experiences larger fluctuations and is considered to be riskier than ^IMXL 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%JuneJulyAugustSeptemberOctoberNovember
4.10%
3.78%
^IMUS
^IMXL