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Dow Jones U.S. Financials Index (^DJUSFN)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Performance

Performance Chart


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Returns By Period

Dow Jones U.S. Financials Index (^DJUSFN) returned 2.76% year-to-date (YTD) and 18.16% over the past 12 months. Over the past 10 years, ^DJUSFN returned 8.81% annually, underperforming the S&P 500 benchmark at 10.46%.


^DJUSFN

YTD

2.76%

1M

9.04%

6M

0.34%

1Y

18.16%

5Y*

15.26%

10Y*

8.81%

^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 ^DJUSFN, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20255.94%1.30%-4.37%-1.94%2.13%2.76%
20241.16%3.97%4.01%-5.26%3.82%-0.51%6.71%3.88%-0.06%1.59%9.83%-6.27%24.04%
20238.10%-3.27%-7.07%2.30%-4.08%6.28%4.51%-2.76%-3.87%-2.83%10.98%6.13%13.28%
2022-1.53%-2.50%0.91%-8.04%0.96%-10.21%7.73%-3.48%-9.37%10.46%6.25%-5.50%-15.59%
2021-2.63%9.34%4.88%7.10%2.65%-1.51%1.31%2.91%-2.86%6.27%-5.03%5.01%29.76%
2020-0.84%-10.09%-20.73%9.66%3.17%0.07%3.10%4.20%-3.89%-2.48%14.43%5.22%-2.99%
20199.09%2.64%-0.84%6.50%-5.20%5.27%2.27%-2.52%2.71%1.77%3.29%1.86%29.38%
20184.53%-3.34%-2.43%-0.11%0.35%-0.69%3.83%2.01%-2.19%-5.17%2.99%-10.38%-11.00%
20170.49%4.66%-2.47%-0.37%-0.87%4.53%1.79%-1.14%3.59%2.24%3.01%1.03%17.44%
2016-8.30%-2.69%7.18%2.66%2.06%-3.07%3.71%3.06%-2.08%0.16%8.60%3.60%14.56%
2015-5.55%5.11%-0.54%-0.29%1.65%-0.62%3.25%-6.72%-2.72%6.07%1.67%-2.54%-2.05%
2014-3.44%3.17%2.26%-1.71%1.32%2.13%-1.68%3.78%-1.38%3.95%2.16%1.39%12.27%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 89, ^DJUSFN is among the top 11% of 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 ^DJUSFN is 8989
Overall Rank
The Sharpe Ratio Rank of ^DJUSFN is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSFN is 8484
Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSFN is 8787
Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSFN is 9494
Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSFN is 9292
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 U.S. Financials Index (^DJUSFN) 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 U.S. Financials Index Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.94
  • 5-Year: 0.75
  • 10-Year: 0.42
  • All Time: 0.29

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 U.S. Financials Index 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.


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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. Financials 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. Financials Index was 80.50%, occurring on Mar 6, 2009. Recovery took 2237 trading sessions.

The current Dow Jones U.S. Financials Index drawdown is 4.27%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-80.5%Feb 21, 2007515Mar 6, 20092237Jan 19, 20182752
-42.78%Feb 18, 202025Mar 23, 2020231Feb 22, 2021256
-34.62%Jul 15, 199861Oct 8, 1998137Apr 27, 1999198
-34.57%Jan 4, 2001441Oct 9, 2002316Jan 12, 2004757
-27.31%May 14, 1999207Mar 8, 2000109Aug 11, 2000316

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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