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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.
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Returns By Period
Dow Jones U.S. Mid-Cap Index (^DJUSM) has returned -0.69% so far this year and 12.88% over the past 12 months. Over the last ten years, ^DJUSM has returned 9.87% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Dow Jones U.S. Mid-Cap Index
- 1D
- 2.11%
- 1M
- -5.78%
- YTD
- -0.69%
- 6M
- -2.59%
- 1Y
- 12.88%
- 3Y*
- 11.99%
- 5Y*
- 6.71%
- 10Y*
- 9.87%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Feb 14, 2000, ^DJUSM's average daily return is +0.04%, while the average monthly return is +0.76%. At this rate, your investment would double in approximately 7.6 years.
Historically, 59% of months were positive and 41% were negative. The best month was Apr 2009 with a return of +15.5%, while the worst month was Oct 2008 at -22.4%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^DJUSM closed higher 54% of trading days. The best single day was Oct 13, 2008 with a return of +11.3%, while the worst single day was Mar 16, 2020 at -12.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.94% | 3.39% | -5.78% | -0.69% | |||||||||
| 2025 | 4.20% | -1.40% | -4.34% | 0.14% | 5.66% | 3.70% | 2.24% | 1.15% | 2.11% | -1.26% | 0.22% | -0.88% | 11.70% |
| 2024 | -0.73% | 4.68% | 4.36% | -4.58% | 1.87% | -0.31% | 3.33% | 2.52% | 2.03% | -0.74% | 8.64% | -6.79% | 14.17% |
| 2023 | 6.87% | -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 | -6.79% | -1.52% | 2.89% | -7.67% | 0.10% | -9.78% | 8.91% | -2.74% | -9.18% | 9.52% | 5.82% | -5.44% | -16.97% |
| 2021 | -0.97% | 5.55% | 2.53% | 5.14% | 1.16% | 1.72% | 2.02% | 2.00% | -3.99% | 6.19% | -2.84% | 4.52% | 24.91% |
Benchmark Metrics
Dow Jones U.S. Mid-Cap Index has an annualized alpha of 2.07%, beta of 1.03, and R² of 0.92 versus S&P 500 Index. Calculated based on daily prices since February 15, 2000.
- This index captured 111.26% of S&P 500 Index gains and 100.85% of its losses — amplifying both gains and losses, but participating more in upside than downside.
- This index generated an annualized alpha of 2.07% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 1.03 and R² of 0.92, this index moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 2.07%
- Beta
- 1.03
- R²
- 0.92
- Upside Capture
- 111.26%
- Downside Capture
- 100.85%
Return for Risk
Risk / Return Rank
^DJUSM ranks 47 for risk / return — on par with similar indices. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Dow Jones U.S. Mid-Cap Index (^DJUSM) and compare them to a chosen benchmark (S&P 500 Index).
| ^DJUSM | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.73 | 0.90 | -0.16 |
Sortino ratioReturn per unit of downside risk | 1.13 | 1.39 | -0.25 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.21 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 1.07 | 1.40 | -0.33 |
Martin ratioReturn relative to average drawdown | 4.92 | 6.61 | -1.69 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^DJUSM risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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. 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 5.89%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -60.72% | Jul 16, 2007 | 416 | Mar 9, 2009 | 767 | Mar 19, 2012 | 1183 |
| -39.59% | Feb 20, 2020 | 23 | Mar 23, 2020 | 141 | Oct 12, 2020 | 164 |
| -39.25% | Sep 12, 2000 | 520 | Oct 9, 2002 | 313 | Jan 7, 2004 | 833 |
| -25.5% | Nov 17, 2021 | 229 | Oct 14, 2022 | 358 | Mar 21, 2024 | 587 |
| -20.91% | Sep 24, 2018 | 64 | Dec 24, 2018 | 75 | Apr 12, 2019 | 139 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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