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Dow Jones Transportation Average (^DJT)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Dow Jones Transportation Average

Popular comparisons: ^DJT vs. SPY, ^DJT vs. FNPIX, ^DJT vs. EVX, ^DJT vs. USMV

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Dow Jones Transportation Average, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


1,650.00%1,700.00%1,750.00%1,800.00%1,850.00%1,900.00%1,950.00%2,000.00%December2024FebruaryMarchAprilMay
1,894.82%
1,973.97%
^DJT (Dow Jones Transportation Average)
Benchmark (^GSPC)

S&P 500

Returns By Period

Dow Jones Transportation Average had a return of -2.96% year-to-date (YTD) and 10.92% in the last 12 months. Over the past 10 years, Dow Jones Transportation Average had an annualized return of 6.83%, while the S&P 500 had an annualized return of 10.84%, indicating that Dow Jones Transportation Average did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date-2.96%11.29%
1 month2.29%6.86%
6 months2.98%16.73%
1 year10.92%26.63%
5 years (annualized)8.38%13.23%
10 years (annualized)6.83%10.84%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.41%2.10%2.34%-8.03%-2.96%
20239.38%0.51%-1.93%-2.89%-2.23%13.28%7.00%-5.36%-4.81%-7.17%8.08%5.86%18.72%
2022-6.70%-0.09%6.64%-8.71%-3.79%-8.00%11.04%-5.12%-13.00%12.65%7.84%-8.58%-18.25%
2021-3.35%10.29%9.75%4.89%2.63%-5.52%-2.82%1.39%-4.50%13.60%-0.40%3.39%30.97%
2020-3.07%-11.15%-17.64%8.34%7.08%2.26%8.96%11.91%0.40%-1.10%12.10%0.46%14.73%
20199.69%4.05%-0.57%4.22%-10.22%7.43%2.29%-5.37%2.34%1.31%3.42%0.40%18.87%
20183.39%-5.38%0.14%0.26%3.13%-3.77%7.08%2.05%0.67%-10.44%6.17%-15.25%-13.59%
20171.64%2.48%-3.22%-0.21%0.73%4.36%-3.98%1.48%6.39%-1.57%5.29%3.28%17.34%
2016-8.02%6.35%8.16%-0.91%-0.93%-4.02%4.83%0.41%2.54%-0.26%11.46%0.69%20.45%
2015-5.37%4.34%-3.14%-1.70%-3.41%-2.50%3.70%-6.52%-0.76%4.40%-0.33%-7.32%-17.85%
2014-1.51%0.81%3.08%1.28%5.64%1.21%-0.74%3.27%0.51%3.60%5.06%-0.63%23.50%
20139.37%3.26%4.37%-1.24%1.82%-1.85%4.66%-3.28%5.32%5.97%3.73%2.28%39.46%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^DJT is 27, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^DJT is 2727
^DJT (Dow Jones Transportation Average)
The Sharpe Ratio Rank of ^DJT is 2626Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJT is 2626Sortino Ratio Rank
The Omega Ratio Rank of ^DJT is 2626Omega Ratio Rank
The Calmar Ratio Rank of ^DJT is 3232Calmar Ratio Rank
The Martin Ratio Rank of ^DJT is 2525Martin 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 Transportation Average (^DJT) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^DJT
Sharpe ratio
The chart of Sharpe ratio for ^DJT, currently valued at 0.60, compared to the broader market-1.000.001.002.003.000.60
Sortino ratio
The chart of Sortino ratio for ^DJT, currently valued at 0.97, compared to the broader market-2.00-1.000.001.002.003.004.000.97
Omega ratio
The chart of Omega ratio for ^DJT, currently valued at 1.11, compared to the broader market0.801.001.201.401.601.11
Calmar ratio
The chart of Calmar ratio for ^DJT, currently valued at 0.50, compared to the broader market0.001.002.003.004.005.000.50
Martin ratio
The chart of Martin ratio for ^DJT, currently valued at 1.36, compared to the broader market0.005.0010.0015.0020.001.36
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.30, compared to the broader market-1.000.001.002.003.002.30
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.26, compared to the broader market-2.00-1.000.001.002.003.004.003.26
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.40
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.86, compared to the broader market0.001.002.003.004.005.001.86
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.005.0010.0015.0020.008.76

Sharpe Ratio

The current Dow Jones Transportation Average Sharpe ratio is 0.60. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of Dow Jones Transportation Average with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00December2024FebruaryMarchAprilMay
0.60
2.30
^DJT (Dow Jones Transportation Average)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-9.45%
0
^DJT (Dow Jones Transportation Average)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Dow Jones Transportation Average. 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 Transportation Average was 60.92%, occurring on Mar 9, 2009. Recovery took 540 trading sessions.

The current Dow Jones Transportation Average drawdown is 9.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.92%Jun 6, 2008190Mar 9, 2009540Apr 28, 2011730
-48.67%May 13, 1999961Mar 11, 2003450Dec 21, 20041411
-46.35%Sep 6, 1989283Oct 17, 1990581Feb 3, 1993864
-42.06%Sep 17, 2018381Mar 23, 2020138Oct 7, 2020519
-36.38%Apr 17, 1998122Oct 8, 1998141May 3, 1999263

Volatility

Volatility Chart

The current Dow Jones Transportation Average volatility is 4.92%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%December2024FebruaryMarchAprilMay
4.92%
3.15%
^DJT (Dow Jones Transportation Average)
Benchmark (^GSPC)