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Dow Jones Composite Average Index (^DJA)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Dow Jones Composite Average Index

Performance

Performance Chart


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S&P 500

Returns By Period

Dow Jones Composite Average Index (^DJA) returned -1.45% year-to-date (YTD) and 8.13% over the past 12 months. Over the past 10 years, ^DJA returned 7.69% annually, underperforming the S&P 500 benchmark at 10.85%.


^DJA

YTD

-1.45%

1M

4.29%

6M

-8.14%

1Y

8.13%

3Y*

5.57%

5Y*

9.88%

10Y*

7.69%

^GSPC (Benchmark)

YTD

0.51%

1M

6.15%

6M

-2.00%

1Y

12.92%

3Y*

12.68%

5Y*

14.19%

10Y*

10.85%

*Annualized

Monthly Returns

The table below presents the monthly returns of ^DJA, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.85%-1.41%-4.26%-3.59%4.29%-1.45%
2024-0.29%1.79%2.43%-5.10%2.71%0.49%4.92%1.45%2.02%-1.18%7.35%-6.79%9.32%
20234.17%-3.25%1.05%0.96%-3.54%6.36%4.30%-3.73%-4.22%-2.77%8.15%4.76%11.74%
2022-4.36%-2.27%4.66%-5.87%-0.69%-6.84%7.71%-3.96%-10.45%11.91%6.49%-4.97%-10.63%
2021-2.29%3.59%8.01%3.55%1.55%-1.94%0.45%1.50%-4.63%7.72%-2.64%5.56%21.35%
2020-0.17%-10.41%-13.98%8.88%4.80%0.64%4.94%6.72%-1.03%-2.14%10.09%2.09%7.69%
20197.03%3.82%0.36%2.80%-6.63%6.58%1.12%-1.61%2.39%0.37%2.66%1.65%21.74%
20183.78%-4.60%-1.65%0.52%1.23%-1.07%4.93%1.87%1.18%-5.63%2.79%-9.78%-7.22%
20170.98%4.17%-1.44%0.86%0.90%1.65%0.74%0.92%2.46%2.64%3.98%0.98%20.40%
2016-4.36%2.11%7.48%-0.36%-0.08%0.88%2.66%-1.14%0.43%-0.38%5.00%2.72%15.46%
2015-3.11%3.16%-2.21%-0.32%-0.46%-2.91%2.19%-6.12%-0.61%6.01%-0.38%-2.62%-7.65%
2014-2.97%2.79%1.76%1.41%1.89%1.59%-2.10%3.46%-0.39%3.44%2.93%0.27%14.75%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^DJA is 43, indicating average performance compared to other indices on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^DJA is 4343
Overall Rank
The Sharpe Ratio Rank of ^DJA is 4444
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJA is 4141
Sortino Ratio Rank
The Omega Ratio Rank of ^DJA is 3939
Omega Ratio Rank
The Calmar Ratio Rank of ^DJA is 4747
Calmar Ratio Rank
The Martin Ratio Rank of ^DJA is 4343
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Dow Jones Composite Average Index (^DJA) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Dow Jones Composite Average Index Sharpe ratios as of May 31, 2025 (values are recalculated daily):

  • 1-Year: 0.48
  • 5-Year: 0.61
  • 10-Year: 0.43
  • All Time: 0.49

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of Dow Jones Composite Average Index compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Dow Jones Composite Average Index. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Dow Jones Composite Average Index was 53.60%, occurring on Mar 9, 2009. Recovery took 980 trading sessions.

The current Dow Jones Composite Average Index drawdown is 8.18%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.6%Jul 20, 2007412Mar 9, 2009980Jan 25, 20131392
-40.06%May 22, 2001346Oct 9, 2002555Dec 22, 2004901
-37.18%Feb 13, 202027Mar 23, 2020161Nov 9, 2020188
-34.11%Aug 26, 198771Dec 4, 1987407Jul 17, 1989478
-24.76%Oct 10, 1989255Oct 11, 1990305Dec 26, 1991560
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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