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

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Dow Jones U.S. Financials Index

Popular comparisons: ^DJUSFN vs. COF, ^DJUSFN vs. ^NDX

Performance

Performance Chart

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


0.00%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
6.94%
15.14%
^DJUSFN (Dow Jones U.S. Financials Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

Dow Jones U.S. Financials Index had a return of 5.86% year-to-date (YTD) and 20.20% in the last 12 months. Over the past 10 years, Dow Jones U.S. Financials Index had an annualized return of 7.83%, while the S&P 500 had an annualized return of 10.88%, indicating that Dow Jones U.S. Financials Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date5.86%13.92%
1 month-2.09%3.57%
6 months6.32%15.13%
1 year20.20%24.27%
5 years (annualized)7.14%13.51%
10 years (annualized)7.83%10.88%

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
20241.16%3.97%4.01%-5.26%3.82%5.86%
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%
20135.87%1.34%3.86%2.34%4.28%-1.39%4.75%-5.04%3.01%3.45%3.49%2.23%31.52%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^DJUSFN is 62, 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 ^DJUSFN is 6262
^DJUSFN (Dow Jones U.S. Financials Index)
The Sharpe Ratio Rank of ^DJUSFN is 6464Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSFN is 6363Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSFN is 6363Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSFN is 5555Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSFN is 6464Martin 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.


^DJUSFN
Sharpe ratio
The chart of Sharpe ratio for ^DJUSFN, currently valued at 1.59, compared to the broader market-1.000.001.002.001.59
Sortino ratio
The chart of Sortino ratio for ^DJUSFN, currently valued at 2.24, compared to the broader market-2.00-1.000.001.002.003.002.24
Omega ratio
The chart of Omega ratio for ^DJUSFN, currently valued at 1.27, compared to the broader market0.801.001.201.401.27
Calmar ratio
The chart of Calmar ratio for ^DJUSFN, currently valued at 0.86, compared to the broader market0.001.002.003.004.005.000.86
Martin ratio
The chart of Martin ratio for ^DJUSFN, currently valued at 5.13, compared to the broader market0.005.0010.0015.0020.005.13
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market-1.000.001.002.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.00-1.000.001.002.003.003.06
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.72, compared to the broader market0.001.002.003.004.005.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.07, compared to the broader market0.005.0010.0015.0020.008.07

Sharpe Ratio

The current Dow Jones U.S. Financials Index Sharpe ratio is 1.59. 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 U.S. Financials Index 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 Ratio0.501.001.502.002.503.002024FebruaryMarchAprilMayJune
1.59
2.15
^DJUSFN (Dow Jones U.S. Financials Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-3.41%
0
^DJUSFN (Dow Jones U.S. Financials Index)
Benchmark (^GSPC)

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 3.41%.


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 current Dow Jones U.S. Financials Index volatility is 3.51%, 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%2.50%3.00%3.50%4.00%2024FebruaryMarchAprilMayJune
3.51%
2.49%
^DJUSFN (Dow Jones U.S. Financials Index)
Benchmark (^GSPC)