^W1DOW vs. ^SP500TR
Compare and contrast key facts about Dow Jones Global Index (^W1DOW) and S&P 500 Total Return (^SP500TR).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^W1DOW or ^SP500TR.
Key characteristics
| ^W1DOW | ^SP500TR | |
|---|---|---|
| YTD Return | 17.10% | 24.33% |
| 1Y Return | 31.31% | 39.09% |
| 3Y Return (Ann) | 4.27% | 10.82% |
| 5Y Return (Ann) | 8.91% | 16.33% |
| 10Y Return (Ann) | 6.46% | 13.78% |
| Sharpe Ratio | 3.20 | 3.05 |
| Sortino Ratio | 4.26 | 4.04 |
| Omega Ratio | 1.62 | 1.56 |
| Calmar Ratio | 2.22 | 3.27 |
| Martin Ratio | 19.08 | 20.11 |
| Ulcer Index | 1.71% | 1.89% |
| Daily Std Dev | 10.33% | 12.42% |
| Max Drawdown | -59.33% | -55.25% |
| Current Drawdown | -0.02% | 0.00% |
Correlation
The correlation between ^W1DOW and ^SP500TR 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. ^SP500TR - Performance Comparison
In the year-to-date period, ^W1DOW achieves a 17.10% return, which is significantly lower than ^SP500TR's 24.33% return. Over the past 10 years, ^W1DOW has underperformed ^SP500TR with an annualized return of 6.46%, while ^SP500TR has yielded a comparatively higher 13.78% 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. ^SP500TR - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Global Index (^W1DOW) and S&P 500 Total Return (^SP500TR). 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. ^SP500TR - Drawdown Comparison
The maximum ^W1DOW drawdown since its inception was -59.33%, which is greater than ^SP500TR's maximum drawdown of -55.25%. Use the drawdown chart below to compare losses from any high point for ^W1DOW and ^SP500TR. For additional features, visit the drawdowns tool.
Volatility
^W1DOW vs. ^SP500TR - Volatility Comparison
The current volatility for Dow Jones Global Index (^W1DOW) is 1.97%, while S&P 500 Total Return (^SP500TR) has a volatility of 2.57%. This indicates that ^W1DOW experiences smaller price fluctuations and is considered to be less risky than ^SP500TR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.