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

Share Price Chart


Loading data...

Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Performance

Performance Chart


Loading data...

Returns By Period

Dow Jones Transportation Average (^DJT) returned -11.67% year-to-date (YTD) and -9.98% over the past 12 months. Over the past 10 years, ^DJT returned 5.09% annually, underperforming the S&P 500 benchmark at 10.46%.


^DJT

YTD

-11.67%

1M

5.36%

6M

-19.09%

1Y

-9.98%

5Y*

11.30%

10Y*

5.09%

^GSPC (Benchmark)

YTD

-3.77%

1M

7.44%

6M

-5.60%

1Y

8.37%

5Y*

14.12%

10Y*

10.46%

*Annualized

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
20252.59%-1.96%-7.76%-7.50%2.94%-11.67%
2024-2.41%2.10%2.34%-8.03%2.21%1.16%4.34%-0.25%1.56%-0.26%8.41%-9.78%-0.02%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^DJT is 13, meaning it’s performing worse than 87% of other indices on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^DJT is 1313
Overall Rank
The Sharpe Ratio Rank of ^DJT is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJT is 1414
Sortino Ratio Rank
The Omega Ratio Rank of ^DJT is 1414
Omega Ratio Rank
The Calmar Ratio Rank of ^DJT is 1111
Calmar Ratio Rank
The Martin Ratio Rank of ^DJT is 1212
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 Transportation Average (^DJT) 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 Transportation Average Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: -0.40
  • 5-Year: 0.47
  • 10-Year: 0.21
  • All Time: 0.35

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 Transportation Average compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


Loading data...

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.


Loading data...

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 20.92%.


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 chart below shows the rolling one-month volatility.


Loading data...