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

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Dow Jones U.S. Mid-Cap Index

Popular comparisons: ^DJUSM vs. SPY

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Dow Jones U.S. Mid-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%250.00%300.00%350.00%400.00%450.00%500.00%550.00%December2024FebruaryMarchAprilMay
530.55%
282.85%
^DJUSM (Dow Jones U.S. Mid-Cap Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

Dow Jones U.S. Mid-Cap Index had a return of 7.57% year-to-date (YTD) and 20.90% in the last 12 months. Over the past 10 years, Dow Jones U.S. Mid-Cap Index had an annualized return of 8.91%, while the S&P 500 had an annualized return of 10.87%, indicating that Dow Jones U.S. Mid-Cap Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date7.57%11.56%
1 month4.92%7.13%
6 months16.06%17.26%
1 year20.90%26.92%
5 years (annualized)10.54%13.56%
10 years (annualized)8.91%10.87%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.73%4.67%4.36%-4.58%7.57%
20236.87%-2.77%-0.73%-0.50%-2.91%7.49%3.59%-3.49%-4.65%-3.85%9.79%6.13%14.40%
2022-6.87%-1.52%2.89%-7.67%0.10%-9.78%8.91%-2.74%-9.18%9.52%5.82%-5.44%-17.05%
2021-0.97%5.55%2.53%5.14%1.16%1.72%2.02%2.00%-3.99%6.19%-2.84%4.61%25.02%
2020-0.88%-9.03%-18.51%14.08%6.90%1.91%6.67%3.10%-2.59%-0.27%13.54%3.57%14.73%
201910.37%3.88%0.96%3.93%-6.11%6.67%1.56%-2.87%1.96%1.00%3.48%2.35%29.64%
20184.28%-4.18%-0.42%-0.35%1.41%0.76%2.80%1.97%-0.52%-7.99%2.48%-9.98%-10.32%
20172.70%2.93%-0.27%0.97%0.94%0.42%1.38%-0.73%2.40%1.52%3.34%1.09%17.92%
2016-6.82%1.15%7.95%0.64%1.58%-0.02%4.32%-0.18%0.10%-3.02%4.85%0.51%10.78%
2015-1.69%5.78%0.40%-0.78%1.26%-2.10%0.58%-5.13%-3.53%6.50%0.21%-2.60%-1.72%
2014-2.24%5.93%-0.40%-0.66%2.13%3.21%-3.08%4.66%-3.83%2.89%2.17%0.08%10.85%
20137.07%1.17%4.33%0.95%2.39%-1.34%5.95%-2.89%4.60%3.43%1.78%3.11%34.62%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^DJUSM is 56, 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 ^DJUSM is 5656
^DJUSM (Dow Jones U.S. Mid-Cap Index)
The Sharpe Ratio Rank of ^DJUSM is 5959Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSM is 5959Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSM is 5858Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSM is 5151Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSM is 5353Martin 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. Mid-Cap Index (^DJUSM) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^DJUSM
Sharpe ratio
The chart of Sharpe ratio for ^DJUSM, currently valued at 1.73, compared to the broader market-1.000.001.002.003.001.73
Sortino ratio
The chart of Sortino ratio for ^DJUSM, currently valued at 2.45, compared to the broader market-2.00-1.000.001.002.003.004.002.45
Omega ratio
The chart of Omega ratio for ^DJUSM, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.30
Calmar ratio
The chart of Calmar ratio for ^DJUSM, currently valued at 1.01, compared to the broader market0.001.002.003.004.005.001.01
Martin ratio
The chart of Martin ratio for ^DJUSM, currently valued at 5.00, compared to the broader market0.005.0010.0015.0020.005.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.34, compared to the broader market-1.000.001.002.003.002.34
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.31, compared to the broader market-2.00-1.000.001.002.003.004.003.31
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.90, compared to the broader market0.001.002.003.004.005.001.90
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.93, compared to the broader market0.005.0010.0015.0020.008.93

Sharpe Ratio

The current Dow Jones U.S. Mid-Cap Index Sharpe ratio is 1.73. 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. Mid-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 Ratio0.000.501.001.502.002.503.00December2024FebruaryMarchAprilMay
1.73
2.34
^DJUSM (Dow Jones U.S. Mid-Cap Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.80%
0
^DJUSM (Dow Jones U.S. Mid-Cap Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Dow Jones U.S. Mid-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. Mid-Cap Index was 60.72%, occurring on Mar 9, 2009. Recovery took 767 trading sessions.

The current Dow Jones U.S. Mid-Cap Index drawdown is 0.80%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.72%Jul 16, 2007416Mar 9, 2009767Mar 19, 20121183
-39.59%Feb 20, 202023Mar 23, 2020141Oct 12, 2020164
-39.25%Sep 12, 2000520Oct 9, 2002313Jan 7, 2004833
-25.5%Nov 17, 2021228Oct 14, 2022359Mar 21, 2024587
-20.91%Sep 24, 201864Dec 24, 201875Apr 12, 2019139

Volatility

Volatility Chart

The current Dow Jones U.S. Mid-Cap Index volatility is 2.83%, 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%December2024FebruaryMarchAprilMay
2.83%
3.10%
^DJUSM (Dow Jones U.S. Mid-Cap Index)
Benchmark (^GSPC)