^DJT vs. ^DJI
^DJT (Dow Jones Transportation Average) and ^DJI (Dow Jones Industrial Average) are both indexes. Over the past 10 years, ^DJT returned 10.65%/yr vs 11.10%/yr for ^DJI. Their 0.72 correlation means they have sometimes moved together and sometimes differently.
Performance
^DJT vs. ^DJI - Performance Comparison
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Returns By Period
In the year-to-date period, ^DJT achieves a 21.21% return, which is significantly higher than ^DJI's 9.20% return. Both investments have delivered pretty close results over the past 10 years, with ^DJT having a 10.65% annualized return and ^DJI not far ahead at 11.10%.
^DJT
- 1D
- -0.24%
- 1M
- -4.43%
- 6M
- 14.97%
- YTD
- 21.21%
- 1Y
- 39.29%
- 3Y*
- 8.37%
- 5Y*
- 7.79%
- 10Y*
- 10.65%
- ALL TIME*
- 8.25%
^DJI
- 1D
- 0.53%
- 1M
- -0.78%
- 6M
- 7.35%
- YTD
- 9.20%
- 1Y
- 20.41%
- 3Y*
- 13.78%
- 5Y*
- 8.48%
- 10Y*
- 11.10%
- ALL TIME*
- 8.47%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $26.51T | $25.71T | $27.60T | |
| $1.69T | $1.54T | $2.05T |
^DJT vs. ^DJI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^DJT Dow Jones Transportation Average | 21.21% | 9.19% | -0.02% | 18.72% | -18.73% | 31.75% | 14.73% | 18.87% | -13.59% | 17.34% |
^DJI Dow Jones Industrial Average | 9.20% | 12.97% | 12.88% | 13.70% | -8.78% | 18.73% | 7.25% | 22.34% | -5.63% | 25.08% |
Correlation
The correlation between ^DJT and ^DJI is 0.57, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.57 |
Correlation (3Y) Balances recent behavior with more history. | 0.69 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.73 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.74 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 1992 | 0.72 |
The correlation between ^DJT and ^DJI shifts across timeframes, from 0.57 (1 year) to 0.74 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
^DJT vs. ^DJI — Risk / Return Rank
^DJT
^DJI
^DJT vs. ^DJI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Transportation Average (^DJT) and Dow Jones Industrial Average (^DJI). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^DJT | ^DJI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.03 | ||
| Sortino ratioReturn per unit of downside risk | -0.15 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.27 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.01 | 1.90 | +0.11 |
| Martin ratioReturn relative to average drawdown | 5.62 | 7.23 | -1.61 |
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Drawdowns
^DJT vs. ^DJI - Drawdown Comparison
The maximum ^DJT drawdown since its inception was -60.92%, which is greater than ^DJI's maximum drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for ^DJT and ^DJI.
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Drawdown Indicators
| ^DJT | ^DJI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.92% | -53.78% | -7.14% |
Max Drawdown (1Y)Largest decline over 1 year | -18.08% | -10.01% | -8.07% |
Max Drawdown (3Y)Largest decline over 3 years | -28.82% | -16.37% | -12.45% |
Max Drawdown (5Y)Largest decline over 5 years | -29.58% | -21.94% | -7.64% |
Max Drawdown (10Y)Largest decline over 10 years | -42.06% | -37.09% | -4.97% |
Current DrawdownCurrent decline from peak | -12.09% | -1.08% | -11.01% |
Average DrawdownAverage peak-to-trough decline | -12.48% | -8.00% | -4.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.46% | 2.63% | +3.83% |
Volatility
^DJT vs. ^DJI - Volatility Comparison
Dow Jones Transportation Average (^DJT) has a higher volatility of 5.46% compared to Dow Jones Industrial Average (^DJI) at 3.76%. This indicates that ^DJT's price experiences larger fluctuations and is considered to be riskier than ^DJI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^DJT | ^DJI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.46% | 3.76% | +1.70% |
Volatility (6M)Calculated over the trailing 6-month period | 20.27% | 9.89% | +10.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 23.62% | 12.58% | +11.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.64% | 14.86% | +8.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.68% | 17.61% | +6.07% |
Frequently Asked Questions
^DJT and ^DJI have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^DJT has higher volatility (5.46%) compared to ^DJI (3.76%). In terms of maximum drawdown, ^DJT dropped -60.92% vs ^DJI's -53.78%.
^DJT currently has the higher Sharpe Ratio (1.54 vs 1.51), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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