PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^DJI vs. CLF
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJI and CLF is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

^DJI vs. CLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Industrial Average (^DJI) and Cleveland-Cliffs Inc. (CLF). The values are adjusted to include any dividend payments, if applicable.

1,400.00%1,600.00%1,800.00%2,000.00%2,200.00%2,400.00%2,600.00%AugustSeptemberOctoberNovemberDecember2025
2,090.37%
1,647.19%
^DJI
CLF

Key characteristics

Sharpe Ratio

^DJI:

1.38

CLF:

-0.94

Sortino Ratio

^DJI:

2.00

CLF:

-1.41

Omega Ratio

^DJI:

1.25

CLF:

0.83

Calmar Ratio

^DJI:

2.35

CLF:

-0.47

Martin Ratio

^DJI:

6.42

CLF:

-1.19

Ulcer Index

^DJI:

2.50%

CLF:

35.92%

Daily Std Dev

^DJI:

11.60%

CLF:

45.40%

Max Drawdown

^DJI:

-53.78%

CLF:

-98.78%

Current Drawdown

^DJI:

-3.39%

CLF:

-89.54%

Returns By Period

In the year-to-date period, ^DJI achieves a 2.22% return, which is significantly lower than CLF's 9.26% return. Over the past 10 years, ^DJI has outperformed CLF with an annualized return of 9.52%, while CLF has yielded a comparatively lower 1.81% annualized return.


^DJI

YTD

2.22%

1M

2.71%

6M

7.94%

1Y

14.85%

5Y*

8.20%

10Y*

9.52%

CLF

YTD

9.26%

1M

10.08%

6M

-32.30%

1Y

-42.08%

5Y*

5.76%

10Y*

1.81%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^DJI vs. CLF — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^DJI
The Risk-Adjusted Performance Rank of ^DJI is 6363
Overall Rank
The Sharpe Ratio Rank of ^DJI is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJI is 6161
Sortino Ratio Rank
The Omega Ratio Rank of ^DJI is 5959
Omega Ratio Rank
The Calmar Ratio Rank of ^DJI is 7575
Calmar Ratio Rank
The Martin Ratio Rank of ^DJI is 6262
Martin Ratio Rank

CLF
The Risk-Adjusted Performance Rank of CLF is 1010
Overall Rank
The Sharpe Ratio Rank of CLF is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of CLF is 55
Sortino Ratio Rank
The Omega Ratio Rank of CLF is 77
Omega Ratio Rank
The Calmar Ratio Rank of CLF is 1818
Calmar Ratio Rank
The Martin Ratio Rank of CLF is 1616
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.

^DJI vs. CLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) and Cleveland-Cliffs Inc. (CLF). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratio
The chart of Sharpe ratio for ^DJI, currently valued at 1.38, compared to the broader market0-0.500.000.501.001.502.002.501.38
The chart of Sortino ratio for ^DJI, currently valued at 2.00, compared to the broader market0-1.000.001.002.003.002.00
The chart of Omega ratio for ^DJI, currently valued at 1.25, compared to the broader market01.001.201.401.25
The chart of Calmar ratio for ^DJI, currently valued at 2.35, compared to the broader market00.001.002.003.002.35
The chart of Martin ratio for ^DJI, currently valued at 6.42, compared to the broader market00.005.0010.0015.0020.006.42
^DJI
CLF

The current ^DJI Sharpe Ratio is 1.38, which is higher than the CLF Sharpe Ratio of -0.94. The chart below compares the historical Sharpe Ratios of ^DJI and CLF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00AugustSeptemberOctoberNovemberDecember2025
1.38
-0.93
^DJI
CLF

Drawdowns

^DJI vs. CLF - Drawdown Comparison

The maximum ^DJI drawdown since its inception was -53.78%, smaller than the maximum CLF drawdown of -98.78%. Use the drawdown chart below to compare losses from any high point for ^DJI and CLF. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-3.39%
-89.54%
^DJI
CLF

Volatility

^DJI vs. CLF - Volatility Comparison

The current volatility for Dow Jones Industrial Average (^DJI) is 4.43%, while Cleveland-Cliffs Inc. (CLF) has a volatility of 10.32%. This indicates that ^DJI experiences smaller price fluctuations and is considered to be less risky than CLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%25.00%AugustSeptemberOctoberNovemberDecember2025
4.43%
10.32%
^DJI
CLF
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2025 PortfoliosLab