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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Dow Jones U.S. Defense Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Dow Jones U.S. Defense Index (^DJUSDN) has returned 13.42% so far this year and 33.81% over the past 12 months. Over the last ten years, ^DJUSDN has had an annualized return of 11.67%, just under the S&P 500 Index benchmark’s 12.24%.
Dow Jones U.S. Defense Index
- 1D
- 2.07%
- 1M
- -9.07%
- YTD
- 13.42%
- 6M
- 7.28%
- 1Y
- 33.81%
- 3Y*
- 15.28%
- 5Y*
- 13.91%
- 10Y*
- 11.67%
Benchmark (S&P 500 Index)
- 1D
- 0.72%
- 1M
- -4.45%
- YTD
- -3.95%
- 6M
- -2.02%
- 1Y
- 16.73%
- 3Y*
- 16.96%
- 5Y*
- 10.34%
- 10Y*
- 12.24%
Monthly Returns
Based on dividend-adjusted daily data since Dec 20, 2004, ^DJUSDN's average daily return is +0.05%, while the average monthly return is +0.99%. At this rate, your investment would double in approximately 5.9 years.
Historically, 63% of months were positive and 37% were negative. The best month was Oct 2022 with a return of +20.6%, while the worst month was Feb 2009 at -20.8%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.
On a daily basis, ^DJUSDN closed higher 53% of trading days. The best single day was Oct 28, 2008 with a return of +10.2%, while the worst single day was Mar 16, 2020 at -12.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 15.34% | 4.57% | -7.87% | 2.07% | 13.42% | ||||||||
| 2025 | 0.14% | -5.65% | 3.94% | 4.04% | 5.87% | 2.98% | 1.94% | 3.01% | 5.73% | -0.35% | -7.23% | 2.03% | 16.65% |
| 2024 | -2.71% | 3.46% | 3.89% | 1.17% | -0.26% | -1.54% | 8.95% | 5.49% | 1.98% | -3.36% | 2.58% | -7.88% | 11.21% |
| 2023 | -6.24% | 1.22% | -0.71% | -2.03% | -5.96% | 5.39% | -1.42% | -0.17% | -4.29% | 8.02% | 1.90% | 3.43% | -1.88% |
| 2022 | 2.23% | 13.85% | 1.12% | -3.17% | 1.53% | -0.66% | -0.53% | 0.04% | -6.19% | 20.62% | -1.13% | -1.38% | 26.18% |
| 2021 | -6.21% | 4.45% | 10.31% | 4.91% | 1.03% | -0.07% | 0.99% | -0.37% | -3.47% | 0.41% | -4.08% | 6.40% | 13.90% |
Benchmark Metrics
Dow Jones U.S. Defense Index has an annualized alpha of 5.39%, beta of 0.72, and R² of 0.47 versus S&P 500 Index. Calculated based on daily prices since December 21, 2004.
- This index participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (82.63%) than losses (68.36%) — typical of diversified or defensive assets.
- R² of 0.47 means the benchmark explains less than half of this index's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 5.39%
- Beta
- 0.72
- R²
- 0.47
- Upside Capture
- 82.63%
- Downside Capture
- 68.36%
Return for Risk
Risk / Return Rank
^DJUSDN ranks 86 for risk / return — in the top 86% of indices on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Dow Jones U.S. Defense Index (^DJUSDN) and compare them to a chosen benchmark (S&P 500 Index).
| ^DJUSDN | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.63 | 0.92 | +0.71 |
Sortino ratioReturn per unit of downside risk | 2.31 | 1.41 | +0.90 |
Omega ratioGain probability vs. loss probability | 1.29 | 1.21 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 2.62 | 1.41 | +1.21 |
Martin ratioReturn relative to average drawdown | 7.45 | 6.61 | +0.84 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^DJUSDN risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 U.S. Defense 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 U.S. Defense Index was 53.96%, occurring on Mar 9, 2009. Recovery took 1111 trading sessions.
The current Dow Jones U.S. Defense Index drawdown is 9.07%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -53.96% | Nov 7, 2007 | 335 | Mar 9, 2009 | 1111 | Aug 1, 2013 | 1446 |
| -38.17% | Feb 13, 2020 | 27 | Mar 23, 2020 | 487 | Feb 28, 2022 | 514 |
| -32.5% | Apr 24, 2018 | 170 | Dec 24, 2018 | 182 | Sep 16, 2019 | 352 |
| -20.79% | Nov 12, 2024 | 69 | Feb 21, 2025 | 113 | Aug 5, 2025 | 182 |
| -19.64% | Dec 5, 2022 | 210 | Oct 5, 2023 | 141 | Apr 29, 2024 | 351 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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