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Dow Jones U.S. Total Stock Market Index (^DWCF)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Performance

Performance Chart


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S&P 500

Returns By Period

Dow Jones U.S. Total Stock Market Index (^DWCF) returned -1.16% year-to-date (YTD) and 9.48% over the past 12 months. Over the past 10 years, ^DWCF returned 10.01% annually, underperforming the S&P 500 benchmark at 10.64%.


^DWCF

YTD

-1.16%

1M

10.62%

6M

-2.77%

1Y

9.48%

3Y*

13.69%

5Y*

14.00%

10Y*

10.01%

^GSPC (Benchmark)

YTD

-0.67%

1M

10.48%

6M

-1.79%

1Y

10.08%

3Y*

13.71%

5Y*

14.60%

10Y*

10.64%

*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.99%-2.00%-6.05%-0.77%5.05%-1.16%
20241.02%5.28%3.11%-4.48%4.59%2.98%1.76%2.00%1.94%-0.79%6.52%-3.13%22.21%
20236.87%-2.48%2.46%0.91%0.25%6.71%3.51%-2.13%-4.89%-2.78%9.18%5.22%24.06%
2022-6.08%-2.65%3.10%-9.09%-0.37%-8.54%9.28%-3.94%-9.45%8.06%5.07%-6.02%-20.80%
2021-0.42%3.07%3.35%5.05%0.32%2.42%1.63%2.73%-4.64%6.63%-1.60%3.68%24.01%
2020-0.24%-8.36%-13.97%13.13%5.15%2.16%5.53%7.02%-3.80%-2.23%12.04%4.36%18.72%
20198.48%3.29%1.28%3.87%-6.66%6.85%1.35%-2.22%1.57%2.01%3.57%2.72%28.42%
20185.21%-3.89%-2.14%0.25%2.60%0.52%3.24%3.26%0.02%-7.50%1.77%-9.48%-7.04%
20171.84%3.47%-0.08%0.93%0.79%0.77%1.78%-0.05%2.30%2.06%2.79%0.87%18.89%
2016-5.78%-0.28%6.84%0.51%1.56%0.01%3.87%0.01%0.03%-2.30%4.18%1.78%10.31%
2015-2.88%5.57%-1.19%0.36%1.18%-1.87%1.54%-6.21%-3.12%7.74%0.33%-2.20%-1.51%
2014-3.22%4.52%0.37%-0.03%1.96%2.37%-2.11%3.97%-2.28%2.64%2.21%-0.18%10.36%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^DWCF is 54, indicating average performance compared to other indices on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^DWCF is 5454
Overall Rank
The Sharpe Ratio Rank of ^DWCF is 5353
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DWCF is 5252
Sortino Ratio Rank
The Omega Ratio Rank of ^DWCF is 5353
Omega Ratio Rank
The Calmar Ratio Rank of ^DWCF is 5454
Calmar Ratio Rank
The Martin Ratio Rank of ^DWCF is 6060
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 U.S. Total Stock Market Index (^DWCF) 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 U.S. Total Stock Market Index Sharpe ratios as of May 23, 2025 (values are recalculated daily):

  • 1-Year: 0.46
  • 5-Year: 0.77
  • 10-Year: 0.53
  • All Time: 0.47

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 U.S. Total Stock Market Index 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.


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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. 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. Total Stock Market Index was 56.81%, occurring on Mar 9, 2009. Recovery took 989 trading sessions.

The current Dow Jones U.S. Total Stock Market Index drawdown is 5.41%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-56.81%Oct 10, 2007369Mar 9, 2009989Feb 1, 20131358
-50.22%Mar 27, 2000663Oct 9, 20021178Apr 16, 20071841
-35.14%Feb 20, 202023Mar 23, 2020107Aug 24, 2020130
-33.68%Aug 26, 198773Dec 4, 1987428Jul 26, 1989501
-26.31%Jan 4, 2022197Oct 14, 2022321Jan 29, 2024518

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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