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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Dow Jones U.S. Micro-Cap Total Stock Market 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. Micro-Cap Total Stock Market Index (^DWMI) has returned -0.80% so far this year and 30.93% over the past 12 months. Over the last ten years, ^DWMI has returned 6.22% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
Dow Jones U.S. Micro-Cap Total Stock Market Index
- 1D
- 3.34%
- 1M
- -4.70%
- YTD
- -0.80%
- 6M
- -1.93%
- 1Y
- 30.93%
- 3Y*
- 11.15%
- 5Y*
- -3.94%
- 10Y*
- 6.22%
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 Dec 8, 2006, ^DWMI's average daily return is +0.03%, while the average monthly return is +0.55%. At this rate, your investment would double in approximately 10.5 years.
Historically, 56% of months were positive and 44% were negative. The best month was Nov 2020 with a return of +19.4%, while the worst month was Mar 2020 at -22.7%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ^DWMI closed higher 53% of trading days. The best single day was Feb 26, 2021 with a return of +17.6%, 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 | 3.29% | 0.78% | -4.70% | -0.80% | |||||||||
| 2025 | -0.40% | -5.15% | -9.63% | 0.88% | 9.36% | 4.99% | 0.33% | 6.83% | 7.56% | 0.28% | -1.94% | 0.53% | 12.68% |
| 2024 | -4.16% | 5.23% | 1.94% | -9.63% | 4.00% | -3.88% | 12.62% | -1.40% | -0.48% | 1.39% | 12.72% | -3.24% | 13.53% |
| 2023 | 10.56% | -3.13% | -7.35% | -2.19% | 0.15% | 5.62% | 5.24% | -6.31% | -5.62% | -7.31% | 7.01% | 13.30% | 7.36% |
| 2022 | -10.95% | -0.61% | 2.33% | -10.97% | -2.31% | -10.48% | 8.09% | 0.61% | -11.15% | 8.21% | -0.29% | -4.62% | -29.88% |
| 2021 | 7.10% | 17.56% | -0.24% | -1.60% | -0.10% | 3.67% | -7.53% | 3.67% | -3.27% | 1.10% | -7.20% | -1.80% | 9.37% |
Benchmark Metrics
Dow Jones U.S. Micro-Cap Total Stock Market Index has an annualized alpha of -2.36%, beta of 0.94, and R² of 0.64 versus S&P 500 Index. Calculated based on daily prices since December 11, 2006.
- This index participated in 116.83% of S&P 500 Index downside but only 100.65% of its upside — more exposed to losses than it benefited from rallies.
- This index had an annualized alpha of -2.36% versus S&P 500 Index — delivering less than market exposure alone would predict.
- With beta of 0.94 and R² of 0.64, 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
- -2.36%
- Beta
- 0.94
- R²
- 0.64
- Upside Capture
- 100.65%
- Downside Capture
- 116.83%
Return for Risk
Risk / Return Rank
^DWMI ranks 74 for risk / return — better than 74% of indices on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Dow Jones U.S. Micro-Cap Total Stock Market Index (^DWMI) and compare them to a chosen benchmark (S&P 500 Index).
| ^DWMI | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.18 | 0.90 | +0.29 |
Sortino ratioReturn per unit of downside risk | 1.73 | 1.39 | +0.35 |
Omega ratioGain probability vs. loss probability | 1.21 | 1.21 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 2.13 | 1.40 | +0.73 |
Martin ratioReturn relative to average drawdown | 5.87 | 6.61 | -0.74 |
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 ^DWMI 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. Micro-Cap Total Stock Market 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. Micro-Cap Total Stock Market Index was 66.10%, occurring on Mar 9, 2009. Recovery took 990 trading sessions.
The current Dow Jones U.S. Micro-Cap Total Stock Market Index drawdown is 23.93%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -66.1% | Jul 10, 2007 | 420 | Mar 9, 2009 | 990 | Feb 12, 2013 | 1410 |
| -51.66% | Mar 16, 2021 | 661 | Oct 27, 2023 | — | — | — |
| -47.87% | Sep 4, 2018 | 387 | Mar 18, 2020 | 182 | Dec 4, 2020 | 569 |
| -30.35% | Mar 6, 2014 | 489 | Feb 11, 2016 | 302 | Apr 25, 2017 | 791 |
| -8.19% | Jan 24, 2018 | 12 | Feb 8, 2018 | 21 | Mar 12, 2018 | 33 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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