^W1DOW vs. ^GSPC
Compare and contrast key facts about Dow Jones Global Index (^W1DOW) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^W1DOW or ^GSPC.
Key characteristics
| ^W1DOW | ^GSPC | |
|---|---|---|
| YTD Return | 16.63% | 22.73% |
| 1Y Return | 32.22% | 38.58% |
| 3Y Return (Ann) | 4.03% | 8.85% |
| 5Y Return (Ann) | 8.74% | 14.32% |
| 10Y Return (Ann) | 6.35% | 11.57% |
| Sharpe Ratio | 2.95 | 2.98 |
| Sortino Ratio | 3.91 | 3.95 |
| Omega Ratio | 1.57 | 1.55 |
| Calmar Ratio | 2.16 | 2.60 |
| Martin Ratio | 17.32 | 19.43 |
| Ulcer Index | 1.71% | 1.90% |
| Daily Std Dev | 10.23% | 12.32% |
| Max Drawdown | -59.33% | -56.78% |
| Current Drawdown | -0.42% | -0.18% |
Correlation
The correlation between ^W1DOW and ^GSPC is 0.83, 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. ^GSPC - Performance Comparison
In the year-to-date period, ^W1DOW achieves a 16.63% return, which is significantly lower than ^GSPC's 22.73% return. Over the past 10 years, ^W1DOW has underperformed ^GSPC with an annualized return of 6.35%, while ^GSPC has yielded a comparatively higher 11.57% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Risk-Adjusted Performance
^W1DOW vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Global Index (^W1DOW) 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
^W1DOW vs. ^GSPC - Drawdown Comparison
The maximum ^W1DOW drawdown since its inception was -59.33%, roughly equal to the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^W1DOW and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^W1DOW vs. ^GSPC - Volatility Comparison
The current volatility for Dow Jones Global Index (^W1DOW) is 2.00%, while S&P 500 (^GSPC) has a volatility of 2.56%. This indicates that ^W1DOW experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.