^IMUS vs. ^IMXL
Compare and contrast key facts about Dow Jones Islamic Market U.S. Index (^IMUS) and Dow Jones Islamic Market Titans 100 Index (^IMXL).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^IMUS or ^IMXL.
Key characteristics
^IMUS | ^IMXL | |
---|---|---|
YTD Return | 25.59% | 27.35% |
1Y Return | 36.81% | 37.12% |
3Y Return (Ann) | 6.43% | 6.99% |
5Y Return (Ann) | 14.61% | 14.23% |
10Y Return (Ann) | 11.92% | 11.22% |
Sharpe Ratio | 1.82 | 1.89 |
Sortino Ratio | 2.49 | 2.58 |
Omega Ratio | 1.37 | 1.38 |
Calmar Ratio | 2.47 | 2.29 |
Martin Ratio | 9.46 | 8.86 |
Ulcer Index | 2.65% | 2.75% |
Daily Std Dev | 13.23% | 12.27% |
Max Drawdown | -47.72% | -48.36% |
Current Drawdown | 0.00% | -0.01% |
Correlation
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.
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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.
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.
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.