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Dow Jones U.S. Large-Cap Index (^DJUSL)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Dow Jones U.S. Large-Cap Index

Popular comparisons: ^DJUSL vs. ^GSPC, ^DJUSL vs. SPY

Performance

Performance Chart

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


200.00%220.00%240.00%260.00%280.00%300.00%2024FebruaryMarchAprilMayJune
254.53%
290.78%
^DJUSL (Dow Jones U.S. Large-Cap Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

Dow Jones U.S. Large-Cap Index had a return of 16.47% year-to-date (YTD) and 26.14% in the last 12 months. Over the past 10 years, Dow Jones U.S. Large-Cap Index had an annualized return of 11.58%, outperforming the S&P 500 benchmark which had an annualized return of 10.85%.


PeriodReturnBenchmark
Year-To-Date16.47%13.87%
1 month3.74%2.33%
6 months17.64%15.10%
1 year26.14%22.72%
5 years (annualized)14.70%13.49%
10 years (annualized)11.58%10.85%

Monthly Returns

The table below presents the monthly returns of ^DJUSL, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.30%5.39%2.60%-4.00%5.37%16.47%
20236.16%-2.37%4.91%1.82%1.62%6.14%3.23%-1.38%-4.79%-1.77%9.05%3.99%28.92%
2022-5.72%-3.68%3.60%-9.58%-0.57%-7.93%9.10%-4.53%-9.39%7.29%5.07%-6.16%-22.26%
2021-1.04%1.63%4.09%5.36%0.16%2.85%2.37%3.01%-5.06%7.18%-0.61%4.08%26.14%
20200.38%-8.15%-11.18%12.63%4.39%2.13%5.49%8.49%-4.13%-3.49%10.76%3.89%19.80%
20197.38%2.81%1.91%3.97%-6.61%6.87%1.40%-1.69%1.58%2.33%3.51%2.88%28.82%
20185.96%-3.78%-3.15%0.39%2.36%0.48%3.73%3.28%0.64%-6.74%1.63%-8.93%-5.11%
20171.75%3.89%-0.02%0.97%1.25%0.54%2.00%0.31%1.78%2.39%2.67%0.97%20.08%
2016-5.02%-0.81%6.35%0.25%1.55%0.06%3.49%-0.07%-0.09%-1.70%3.07%2.08%9.06%
2015-3.19%5.45%-1.98%1.10%0.98%-2.09%2.14%-6.48%-2.57%8.50%0.06%-1.59%-0.54%
2014-3.67%4.07%0.76%0.68%2.10%1.74%-1.26%3.67%-1.35%2.19%2.48%-0.56%11.09%
20134.87%1.02%3.50%1.98%1.91%-1.53%4.89%-3.12%2.91%4.55%2.82%2.32%29.06%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of ^DJUSL is 90, placing it in the top 10% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^DJUSL is 9090
^DJUSL (Dow Jones U.S. Large-Cap Index)
The Sharpe Ratio Rank of ^DJUSL is 9191Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSL is 9494Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSL is 9090Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSL is 8585Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSL is 8989Martin 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. Large-Cap Index (^DJUSL) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^DJUSL
Sharpe ratio
The chart of Sharpe ratio for ^DJUSL, currently valued at 2.34, compared to the broader market-1.000.001.002.002.34
Sortino ratio
The chart of Sortino ratio for ^DJUSL, currently valued at 3.29, compared to the broader market-2.00-1.000.001.002.003.003.29
Omega ratio
The chart of Omega ratio for ^DJUSL, currently valued at 1.41, compared to the broader market0.801.001.201.401.41
Calmar ratio
The chart of Calmar ratio for ^DJUSL, currently valued at 2.02, compared to the broader market0.001.002.003.004.005.002.02
Martin ratio
The chart of Martin ratio for ^DJUSL, currently valued at 10.23, compared to the broader market0.005.0010.0015.0020.0010.23
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.14, compared to the broader market-1.000.001.002.002.14
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.04, compared to the broader market-2.00-1.000.001.002.003.003.04
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 1.71, compared to the broader market0.001.002.003.004.005.001.71
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.02, compared to the broader market0.005.0010.0015.0020.008.02

Sharpe Ratio

The current Dow Jones U.S. Large-Cap Index Sharpe ratio is 2.34. 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. Large-Cap 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 Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
2.34
2.14
^DJUSL (Dow Jones U.S. Large-Cap Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune0
-0.04%
^DJUSL (Dow Jones U.S. Large-Cap Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Dow Jones U.S. Large-Cap 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. Large-Cap Index was 60.82%, occurring on Mar 9, 2009. Recovery took 1191 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.82%Mar 27, 20002250Mar 9, 20091191Nov 22, 20133441
-32.75%Feb 20, 202023Mar 23, 202095Aug 6, 2020118
-27.28%Jan 4, 2022195Oct 12, 2022312Jan 10, 2024507
-19.65%Oct 4, 201856Dec 24, 201884Apr 26, 2019140
-14.07%Jul 21, 2015143Feb 11, 2016104Jul 12, 2016247

Volatility

Volatility Chart

The current Dow Jones U.S. Large-Cap Index volatility is 2.33%, 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%4.50%2024FebruaryMarchAprilMayJune
2.33%
2.26%
^DJUSL (Dow Jones U.S. Large-Cap Index)
Benchmark (^GSPC)