^DJT vs. AMZN

Last updated Jun 4, 2026

^DJT (Dow Jones Transportation Average) is an index, while AMZN (Amazon.com, Inc) is a stock. Over the past 10 years, ^DJT returned 10.76%/yr vs 21.29%/yr for AMZN. At a 0.40 correlation, their price movements are largely independent.

Performance

^DJT vs. AMZN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Transportation Average (^DJT) and Amazon.com, Inc (AMZN). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^DJT achieves a 23.75% return, which is significantly higher than AMZN's 8.32% return. Over the past 10 years, ^DJT has underperformed AMZN with an annualized return of 10.76%, while AMZN has yielded a comparatively higher 21.29% annualized return.

^DJT

• 1D: 0.05%
• 1M: 9.56%
• YTD: 23.75%
• 6M: 26.13%
• 1Y: 45.51%
• 3Y*: 14.93%
• 5Y*: 6.79%
• 10Y*: 10.76%

AMZN

• 1D: -2.53%
• 1M: -8.10%
• YTD: 8.32%
• 6M: 7.59%
• 1Y: 21.54%
• 3Y*: 26.25%
• 5Y*: 9.30%
• 10Y*: 21.29%

*Multi-year figures are annualized to reflect compound growth (CAGR)

^DJT vs. AMZN - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^DJT Dow Jones Transportation Average	23.75%	9.19%	-0.02%	18.72%	-18.73%	31.75%	14.73%	18.87%	-13.59%	17.34%
AMZN Amazon.com, Inc	8.32%	5.21%	44.39%	80.88%	-49.62%	2.38%	76.26%	23.03%	28.43%	55.96%

Correlation

The correlation between ^DJT and AMZN is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.28
Correlation (3Y) Calculated over the trailing 3-year period	0.33
Correlation (5Y) Calculated over the trailing 5-year period	0.42
Correlation (10Y) Calculated over the trailing 10-year period	0.37
Correlation (All Time) Calculated using the full available price history since May 16, 1997	0.40

The correlation between ^DJT and AMZN shifts across timeframes, from 0.28 (1 year) to 0.41 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

^DJT vs. AMZN — Risk / Return Rank

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

^DJT

^DJT Risk / Return Rank: 61
^DJT Sharpe Ratio Rank: 65
^DJT Sortino Ratio Rank: 60
^DJT Omega Ratio Rank: 69
^DJT Calmar Ratio Rank: 59
^DJT Martin Ratio Rank: 55

AMZN

AMZN Risk / Return Rank: 60
AMZN Sharpe Ratio Rank: 64
AMZN Sortino Ratio Rank: 58
AMZN Omega Ratio Rank: 56
AMZN Calmar Ratio Rank: 61
AMZN Martin Ratio Rank: 62

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

^DJT vs. AMZN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Transportation Average (^DJT) and Amazon.com, Inc (AMZN). 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.

	^DJT	AMZN	Difference
Sharpe ratio Return per unit of total volatility	1.94	0.72	+1.22
Sortino ratio Return per unit of downside risk	2.47	1.18	+1.28
Omega ratio Gain probability vs. loss probability	1.35	1.15	+0.20
Calmar ratio Return relative to maximum drawdown	2.53	1.00	+1.53
Martin ratio Return relative to average drawdown	7.63	2.39	+5.24
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^DJT vs. AMZN - Sharpe Ratio Comparison

The current ^DJT Sharpe Ratio is 1.94, which is higher than the AMZN Sharpe Ratio of 0.72. The chart below compares the historical Sharpe Ratios of ^DJT and AMZN, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^DJT	AMZN	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.94	0.72	+1.22
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.29	0.26	+0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	0.66	-0.20
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.57	-0.17

Drawdowns

^DJT vs. AMZN - Drawdown Comparison

The maximum ^DJT drawdown since its inception was -60.92%, smaller than the maximum AMZN drawdown of -94.40%. Use the drawdown chart below to compare losses from any high point for ^DJT and AMZN.

Drawdown Indicators

	^DJT	AMZN	Difference
Max Drawdown Largest peak-to-trough decline	-60.92%	-94.40%	+33.48%
Max Drawdown (1Y) Largest decline over 1 year	-18.08%	-21.74%	+3.66%
Max Drawdown (3Y) Largest decline over 3 years	-28.82%	-30.88%	+2.06%
Max Drawdown (5Y) Largest decline over 5 years	-29.58%	-56.15%	+26.57%
Max Drawdown (10Y) Largest decline over 10 years	-42.06%	-56.15%	+14.09%
Current Drawdown Current decline from peak	-10.25%	-9.08%	-1.17%
Average Drawdown Average peak-to-trough decline	-13.02%	-28.12%	+15.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.98%	9.02%	-3.04%

Volatility

^DJT vs. AMZN - Volatility Comparison

The current volatility for Dow Jones Transportation Average (^DJT) is 4.69%, while Amazon.com, Inc (AMZN) has a volatility of 7.24%. This indicates that ^DJT experiences smaller price fluctuations and is considered to be less risky than AMZN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^DJT	AMZN	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.69%	7.24%	-2.55%
Volatility (6M) Calculated over the trailing 6-month period	19.59%	20.35%	-0.76%
Volatility (1Y) Calculated over the trailing 1-year period	23.63%	30.00%	-6.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.59%	35.50%	-11.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.71%	32.46%	-8.75%

Frequently Asked Questions

Can I hold both ^DJT and AMZN in my portfolio?

^DJT and AMZN have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^DJT or AMZN?

AMZN has higher volatility (7.24%) compared to ^DJT (4.69%). In terms of maximum drawdown, ^DJT dropped -60.92% vs AMZN's -94.40%.

Which has better risk-adjusted returns?

^DJT currently has the higher Sharpe Ratio (1.94 vs 0.72), 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.