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

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Dow Jones U.S. Small-Cap Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Dow Jones U.S. Small-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.


250.00%300.00%350.00%400.00%450.00%FebruaryMarchAprilMayJuneJuly
419.95%
290.46%
^DJUSS (Dow Jones U.S. Small-Cap Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

Dow Jones U.S. Small-Cap Index had a return of 5.33% year-to-date (YTD) and 8.10% in the last 12 months. Over the past 10 years, Dow Jones U.S. Small-Cap Index had an annualized return of 6.30%, while the S&P 500 had an annualized return of 10.64%, indicating that Dow Jones U.S. Small-Cap Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date5.33%13.78%
1 month1.11%-0.38%
6 months7.34%11.47%
1 year8.10%18.82%
5 years (annualized)6.39%12.44%
10 years (annualized)6.30%10.64%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.09%5.77%4.66%-6.76%4.01%-1.54%5.33%
20239.72%-2.94%-3.01%-1.05%-2.86%8.91%4.09%-3.31%-5.51%-6.00%8.86%8.94%14.61%
2022-7.94%0.76%1.24%-8.05%0.05%-9.85%10.52%-2.88%-9.90%8.83%5.27%-5.88%-18.78%
20210.82%6.36%2.52%5.11%-0.25%0.62%0.17%2.41%-4.02%5.45%-4.51%3.60%19.14%
2020-2.07%-8.90%-22.37%14.71%7.13%1.82%4.62%3.43%-2.84%1.56%14.34%6.32%12.46%
201911.85%4.71%-0.76%3.50%-7.68%6.90%0.90%-3.78%1.51%1.34%3.86%1.84%25.42%
20183.07%-4.46%0.54%-0.18%4.36%0.24%1.91%4.27%-1.71%-9.92%1.97%-11.39%-12.11%
20171.97%2.60%-0.50%0.45%-1.22%1.55%1.28%-0.78%3.57%1.43%2.91%0.41%14.45%
2016-8.00%1.25%8.44%1.68%1.48%-0.40%5.04%0.29%-0.13%-3.76%8.17%1.54%15.44%
2015-1.98%5.98%0.95%-2.38%2.18%-1.05%-0.69%-6.08%-5.40%5.52%0.88%-5.06%-7.68%
2014-1.76%4.92%-0.36%-2.52%1.23%4.48%-5.66%4.89%-5.65%5.59%1.05%1.25%6.79%
20136.10%1.20%4.55%0.15%2.51%-1.62%6.69%-3.37%4.92%3.07%2.85%2.07%32.70%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^DJUSS is 34, 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 ^DJUSS is 3434
^DJUSS (Dow Jones U.S. Small-Cap Index)
The Sharpe Ratio Rank of ^DJUSS is 3434Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSS is 3434Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSS is 3434Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSS is 3232Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSS is 3333Martin 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. Small-Cap Index (^DJUSS) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^DJUSS
Sharpe ratio
The chart of Sharpe ratio for ^DJUSS, currently valued at 0.53, compared to the broader market-1.000.001.002.000.53
Sortino ratio
The chart of Sortino ratio for ^DJUSS, currently valued at 0.86, compared to the broader market-1.000.001.002.003.000.86
Omega ratio
The chart of Omega ratio for ^DJUSS, currently valued at 1.10, compared to the broader market0.901.001.101.201.301.401.501.10
Calmar ratio
The chart of Calmar ratio for ^DJUSS, currently valued at 0.32, compared to the broader market0.001.002.003.004.005.000.32
Martin ratio
The chart of Martin ratio for ^DJUSS, currently valued at 1.46, compared to the broader market0.005.0010.0015.0020.001.46
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-1.000.001.002.003.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.901.001.101.201.301.401.501.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.001.002.003.004.005.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.005.0010.0015.0020.006.32

Sharpe Ratio

The current Dow Jones U.S. Small-Cap Index Sharpe ratio is 0.53. 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. Small-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 Ratio-0.500.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.53
1.66
^DJUSS (Dow Jones U.S. Small-Cap Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-5.85%
-4.24%
^DJUSS (Dow Jones U.S. Small-Cap Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Dow Jones U.S. Small-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. Small-Cap Index was 60.34%, occurring on Mar 9, 2009. Recovery took 485 trading sessions.

The current Dow Jones U.S. Small-Cap Index drawdown is 5.85%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-60.34%Jul 16, 2007416Mar 9, 2009485Feb 7, 2011901
-52.33%Feb 18, 202025Mar 23, 2020226Feb 12, 2021251
-39.7%Mar 10, 2000648Oct 9, 2002286Nov 26, 2003934
-28.1%May 2, 2011109Oct 3, 2011240Sep 13, 2012349
-27.67%Nov 9, 2021224Sep 30, 2022

Volatility

Volatility Chart

The current Dow Jones U.S. Small-Cap Index volatility is 5.06%, 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%3.00%4.00%5.00%FebruaryMarchAprilMayJuneJuly
5.06%
3.80%
^DJUSS (Dow Jones U.S. Small-Cap Index)
Benchmark (^GSPC)