^W1DOW vs. SPY
Compare and contrast key facts about Dow Jones Global Index (^W1DOW) 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: ^W1DOW or SPY.
Key characteristics
^W1DOW | SPY | |
---|---|---|
YTD Return | 16.63% | 24.15% |
1Y Return | 32.22% | 38.94% |
3Y Return (Ann) | 4.03% | 10.71% |
5Y Return (Ann) | 8.74% | 16.24% |
10Y Return (Ann) | 6.35% | 13.67% |
Sharpe Ratio | 2.95 | 3.06 |
Sortino Ratio | 3.91 | 4.07 |
Omega Ratio | 1.57 | 1.56 |
Calmar Ratio | 2.16 | 3.23 |
Martin Ratio | 17.32 | 20.13 |
Ulcer Index | 1.71% | 1.87% |
Daily Std Dev | 10.23% | 12.32% |
Max Drawdown | -59.33% | -55.19% |
Current Drawdown | -0.42% | 0.00% |
Correlation
The correlation between ^W1DOW and SPY is 0.82, 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
^W1DOW vs. SPY - Performance Comparison
In the year-to-date period, ^W1DOW achieves a 16.63% return, which is significantly lower than SPY's 24.15% return. Over the past 10 years, ^W1DOW has underperformed SPY with an annualized return of 6.35%, while SPY has yielded a comparatively higher 13.67% 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
^W1DOW vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Global Index (^W1DOW) 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
^W1DOW vs. SPY - Drawdown Comparison
The maximum ^W1DOW drawdown since its inception was -59.33%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^W1DOW and SPY. For additional features, visit the drawdowns tool.
Volatility
^W1DOW vs. SPY - Volatility Comparison
The current volatility for Dow Jones Global Index (^W1DOW) is 2.00%, while SPDR S&P 500 ETF (SPY) has a volatility of 2.51%. This indicates that ^W1DOW experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.