At a glance the DAX, on the right, has substantially outperformed the EWG, MSCI Germany ETF. Most stocks in that ETF are also in the DAX so why the difference? Simple put one is an apple and the other an orange. The DAX at about 7500 is 500 points or 6.25 % below the two previous peaks, the most recent one in early 2007, almost 6 years ago. The EWG, at about $24 is roughly $12 or 34% below the high at the end of 2006, about 5 years ago. The difference is an eye-catching 28% but Germany is Germany and Siemens is Siemens. The difference is that the DAX index is a total return index and therefore includes all dividends earned and compounds them, which at 3% dividend adds up to an additional return of about 20% over 6 years. The S&P is also a total return index, as is the Russell and a few others. The DOW has its own peculiarities in that it is price-weighted.
For indices that contain mostly non dividend paying stocks the difference should be negligible, but this is not true if there are big stock by-backs. The moral of the story, compare apples with apples and know your fruits. By the way, the TSX is not a total return index!