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^DJI vs. QQQ
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJI and QQQ is 0.93, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


Performance

^DJI vs. QQQ - Performance Comparison

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

200.00%400.00%600.00%800.00%1,000.00%1,200.00%December2025FebruaryMarchAprilMay
317.78%
1,010.77%
^DJI
QQQ

Key characteristics

Sharpe Ratio

^DJI:

0.33

QQQ:

0.53

Sortino Ratio

^DJI:

0.59

QQQ:

0.91

Omega Ratio

^DJI:

1.08

QQQ:

1.13

Calmar Ratio

^DJI:

0.34

QQQ:

0.59

Martin Ratio

^DJI:

1.20

QQQ:

1.96

Ulcer Index

^DJI:

4.63%

QQQ:

6.88%

Daily Std Dev

^DJI:

16.99%

QQQ:

25.14%

Max Drawdown

^DJI:

-53.78%

QQQ:

-82.98%

Current Drawdown

^DJI:

-9.30%

QQQ:

-10.64%

Returns By Period

In the year-to-date period, ^DJI achieves a -4.03% return, which is significantly higher than QQQ's -5.69% return. Over the past 10 years, ^DJI has underperformed QQQ with an annualized return of 8.44%, while QQQ has yielded a comparatively higher 17.01% annualized return.


^DJI

YTD

-4.03%

1M

6.56%

6M

-3.30%

1Y

5.09%

5Y*

11.37%

10Y*

8.44%

QQQ

YTD

-5.69%

1M

13.90%

6M

-1.89%

1Y

10.02%

5Y*

17.57%

10Y*

17.01%

*Annualized

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Risk-Adjusted Performance

^DJI vs. QQQ — 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 4343
Overall Rank
The Sharpe Ratio Rank of ^DJI is 4141
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJI is 4040
Sortino Ratio Rank
The Omega Ratio Rank of ^DJI is 4040
Omega Ratio Rank
The Calmar Ratio Rank of ^DJI is 4343
Calmar Ratio Rank
The Martin Ratio Rank of ^DJI is 5050
Martin Ratio Rank

QQQ
The Risk-Adjusted Performance Rank of QQQ is 5454
Overall Rank
The Sharpe Ratio Rank of QQQ is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of QQQ is 5353
Sortino Ratio Rank
The Omega Ratio Rank of QQQ is 5454
Omega Ratio Rank
The Calmar Ratio Rank of QQQ is 6060
Calmar Ratio Rank
The Martin Ratio Rank of QQQ is 5252
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. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) and Invesco QQQ (QQQ). 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.


The current ^DJI Sharpe Ratio is 0.33, which is lower than the QQQ Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of ^DJI and QQQ, 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-0.500.000.501.001.502.002.503.00December2025FebruaryMarchAprilMay
0.33
0.45
^DJI
QQQ

Drawdowns

^DJI vs. QQQ - Drawdown Comparison

The maximum ^DJI drawdown since its inception was -53.78%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for ^DJI and QQQ. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-9.30%
-10.64%
^DJI
QQQ

Volatility

^DJI vs. QQQ - Volatility Comparison

The current volatility for Dow Jones Industrial Average (^DJI) is 9.77%, while Invesco QQQ (QQQ) has a volatility of 14.06%. This indicates that ^DJI experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%December2025FebruaryMarchAprilMay
9.77%
14.06%
^DJI
QQQ