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Dow Jones Utility Average (^DJU)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Performance

Performance Chart

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


500.00%1,000.00%1,500.00%2,000.00%December2025FebruaryMarchAprilMay
356.40%
1,947.35%
^DJU (Dow Jones Utility Average)
Benchmark (^GSPC)

Returns By Period

Dow Jones Utility Average (^DJU) returned 4.95% year-to-date (YTD) and 9.35% over the past 12 months. Over the past 10 years, ^DJU returned 5.98% annually, underperforming the S&P 500 benchmark at 10.45%.


^DJU

YTD

4.95%

1M

4.91%

6M

-0.05%

1Y

9.35%

5Y*

6.20%

10Y*

5.98%

^GSPC (Benchmark)

YTD

-3.77%

1M

3.72%

6M

-5.60%

1Y

8.55%

5Y*

14.11%

10Y*

10.45%

*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.71%0.59%1.85%0.86%-0.14%4.95%
2024-3.25%-1.42%4.91%1.22%5.98%-4.20%8.98%3.32%3.83%-2.18%4.05%-8.92%11.46%
20230.37%-6.59%3.62%2.11%-6.17%0.70%2.71%-6.28%-6.43%0.90%5.20%1.72%-8.86%
2022-2.38%-1.22%10.55%-4.04%2.32%-5.25%5.66%-1.47%-11.95%2.81%7.43%-1.42%-1.03%
2021-1.42%-6.66%10.65%4.42%-2.38%-2.37%3.58%2.96%-6.39%4.72%-2.44%9.39%13.05%
20206.76%-10.51%-9.98%2.93%3.68%-4.89%8.24%-3.32%1.43%5.29%0.46%0.34%-1.65%
20192.01%4.00%2.96%1.45%-0.71%3.34%-0.21%4.52%3.92%-1.27%-1.82%3.22%23.32%
2018-3.33%-4.35%3.56%2.08%-1.67%2.36%1.77%0.30%-0.80%1.84%1.10%-3.91%-1.44%
20171.40%5.13%-0.84%1.01%3.16%-2.71%2.77%2.31%-2.64%4.09%2.28%-6.10%9.67%
20165.80%1.53%7.71%-2.11%0.76%8.66%-0.71%-6.26%0.19%1.06%-6.30%4.26%14.15%
20153.09%-6.75%-1.19%-0.08%0.06%-6.25%6.11%-3.75%2.64%0.64%-2.99%2.61%-6.51%
20143.20%2.47%2.58%4.03%-1.56%5.69%-6.37%4.65%-2.32%8.28%0.46%3.06%25.99%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 76, ^DJU is among the top 24% of indices on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^DJU is 7676
Overall Rank
The Sharpe Ratio Rank of ^DJU is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJU is 7676
Sortino Ratio Rank
The Omega Ratio Rank of ^DJU is 7171
Omega Ratio Rank
The Calmar Ratio Rank of ^DJU is 8282
Calmar Ratio Rank
The Martin Ratio Rank of ^DJU is 7777
Martin 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 Utility Average (^DJU) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Dow Jones Utility Average Sharpe ratios as of May 10, 2025 (values are recalculated daily):

  • 1-Year: 0.57
  • 5-Year: 0.35
  • 10-Year: 0.31
  • All Time: 0.23

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of Dow Jones Utility Average compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.57
0.44
^DJU (Dow Jones Utility Average)
Benchmark (^GSPC)

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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-4.49%
-7.88%
^DJU (Dow Jones Utility Average)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the Dow Jones Utility Average. 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 Utility Average was 59.73%, occurring on Oct 9, 2002. Recovery took 730 trading sessions.

The current Dow Jones Utility Average drawdown is 4.49%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-59.73%Dec 27, 2000445Oct 9, 2002730Sep 1, 20051175
-47.41%Dec 11, 2007312Mar 9, 20091295Apr 28, 20141607
-36.42%Feb 19, 202024Mar 23, 2020439Dec 16, 2021463
-32.18%Sep 14, 1993303Nov 22, 1994759Nov 21, 19971062
-29.24%Feb 6, 1987177Oct 19, 1987537Dec 1, 1989714

Volatility

Volatility Chart

The current Dow Jones Utility Average volatility is 4.65%, 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%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
4.65%
6.82%
^DJU (Dow Jones Utility Average)
Benchmark (^GSPC)