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Performance
^DJUSDN Performance Chart
Dow Jones U.S. Defense Index (^DJUSDN) is up 0.7% since the beginning of the year. ^DJUSDN is currently trading at $781 per share. Investors who bought $1,000 worth of ^DJUSDN shares 5 years ago would now be looking at an investment worth $1,597.
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Returns By Period
Dow Jones U.S. Defense Index (^DJUSDN) has returned 0.68% so far this year and 8.92% over the past 12 months. Over the last ten years, ^DJUSDN has returned 9.50% per year, falling short of the S&P 500 Index benchmark, which averaged 13.75% annually.
Dow Jones U.S. Defense Index
- 1D
- -0.17%
- 1M
- -0.33%
- YTD
- 0.68%
- 6M
- 5.56%
- 1Y
- 8.92%
- 3Y*
- 12.97%
- 5Y*
- 9.81%
- 10Y*
- 9.50%
Benchmark (S&P 500 Index)
- 1D
- 0.13%
- 1M
- 5.25%
- YTD
- 11.16%
- 6M
- 11.43%
- 1Y
- 28.20%
- 3Y*
- 21.12%
- 5Y*
- 12.66%
- 10Y*
- 13.75%
^DJUSDN Monthly Returns History
Based on dividend-adjusted daily data since Dec 20, 2004, ^DJUSDN's average daily return is +0.05%, while the average monthly return is +0.93%. At this rate, an investment would double in approximately 6.2 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% | -8.14% | 0.87% | -2.21% | 0.68% | ||||||
| 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 4.28%, 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 (77.40%) 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
- 4.28%
- Beta
- 0.72
- R²
- 0.47
- Upside Capture
- 77.40%
- Downside Capture
- 68.36%
Return for Risk
Risk / Return Rank
^DJUSDN ranks 26 for risk / return — below 26% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Dow Jones U.S. Defense Index (^DJUSDN) and compare them to S&P 500 Index.
| ^DJUSDN | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.46 | 2.39 | -1.93 |
Sortino ratioReturn per unit of downside risk | 0.78 | 3.25 | -2.47 |
Omega ratioGain probability vs. loss probability | 1.09 | 1.43 | -0.34 |
Calmar ratioReturn relative to maximum drawdown | 0.42 | 3.11 | -2.69 |
Martin ratioReturn relative to average drawdown | 1.07 | 14.38 | -13.31 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 19.28%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -53.96%Mar 2009 | 1y 4mo | 4y 4mo | 5y 8moNov 2007 - Aug 2013 |
COVID crash2020 | -38.17%Mar 2020 | 1mo 9d | 1y 11mo | 2y 16dFeb 2020 - Feb 2022 |
Rate-hike selloffLate 2018 | -32.50%Dec 2018 | 8mo 4d | 8mo 26d | 1y 4moApr 2018 - Sep 2019 |
2026 bear market2026 | -21.13%May 2026 | 2mo 13d | — | 3mo 2dMar 2026 - now |
2025 selloff2025 | -20.79%Feb 2025 | 3mo 11d | 5mo 15d | 8mo 26dNov 2024 - Aug 2025 |
Drawdown Indicators
| ^DJUSDN | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.96% | -56.78% | +2.82% |
Max Drawdown (1Y)Largest decline over 1 year | -21.13% | -9.10% | -12.03% |
Max Drawdown (3Y)Largest decline over 3 years | -21.13% | -18.90% | -2.23% |
Max Drawdown (5Y)Largest decline over 5 years | -21.13% | -25.43% | +4.30% |
Max Drawdown (10Y)Largest decline over 10 years | -38.17% | -33.92% | -4.25% |
Current DrawdownCurrent decline from peak | -19.28% | 0.00% | -19.28% |
Average DrawdownAverage peak-to-trough decline | -11.81% | -10.72% | -1.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.38% | 1.97% | +6.41% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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