^DJT vs. SPY
^DJT (Dow Jones Transportation Average) is an index, while SPY (State Street SPDR S&P 500 ETF) is S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, ^DJT returned 11.44%/yr vs 15.53%/yr for SPY. A 0.71 correlation means they provide meaningful diversification when combined.
Performance
^DJT vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, ^DJT achieves a 24.63% return, which is significantly higher than SPY's 8.15% return. Over the past 10 years, ^DJT has underperformed SPY with an annualized return of 11.44%, while SPY has yielded a comparatively higher 15.53% annualized return.
^DJT
- 1D
- -0.75%
- 1M
- 4.16%
- YTD
- 24.63%
- 6M
- 22.65%
- 1Y
- 43.28%
- 3Y*
- 13.77%
- 5Y*
- 7.62%
- 10Y*
- 11.44%
SPY
- 1D
- -1.45%
- 1M
- -1.36%
- YTD
- 8.15%
- 6M
- 7.20%
- 1Y
- 23.59%
- 3Y*
- 20.68%
- 5Y*
- 13.05%
- 10Y*
- 15.53%
^DJT vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^DJT Dow Jones Transportation Average | 24.63% | 9.19% | -0.02% | 18.72% | -18.73% | 31.75% | 14.73% | 18.87% | -13.59% | 17.34% |
SPY State Street SPDR S&P 500 ETF | 8.15% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between ^DJT and SPY is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.49 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.71 |
Correlation (All Time) Calculated using the full available price history since Jan 29, 1993 | 0.71 |
Over the past year, the correlation between ^DJT and SPY has dropped to 0.49 - well below their long-term average of 0.71, suggesting their price drivers have been diverging.
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Return for Risk
^DJT vs. SPY — Risk / Return Rank
^DJT
SPY
^DJT vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Transportation Average (^DJT) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.08 | ||
| Sortino ratioReturn per unit of downside risk | -0.25 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.34 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.41 | 2.67 | -0.26 |
| Martin ratioReturn relative to average drawdown | 6.95 | 11.92 | -4.97 |
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Drawdowns
^DJT vs. SPY - Drawdown Comparison
The maximum ^DJT drawdown since its inception was -60.92%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ^DJT and SPY.
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Drawdown Indicators
| ^DJT | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.92% | -55.19% | -5.73% |
Max Drawdown (1Y)Largest decline over 1 year | -18.08% | -8.88% | -9.20% |
Max Drawdown (3Y)Largest decline over 3 years | -28.82% | -18.76% | -10.06% |
Max Drawdown (5Y)Largest decline over 5 years | -29.58% | -24.50% | -5.08% |
Max Drawdown (10Y)Largest decline over 10 years | -42.06% | -33.72% | -8.34% |
Current DrawdownCurrent decline from peak | -9.62% | -3.17% | -6.45% |
Average DrawdownAverage peak-to-trough decline | -12.50% | -9.04% | -3.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.24% | 1.98% | +4.26% |
Volatility
^DJT vs. SPY - Volatility Comparison
Dow Jones Transportation Average (^DJT) has a higher volatility of 6.59% compared to State Street SPDR S&P 500 ETF (SPY) at 4.87%. This indicates that ^DJT's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^DJT | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.59% | 4.87% | +1.72% |
Volatility (6M)Calculated over the trailing 6-month period | 20.16% | 9.85% | +10.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.04% | 12.50% | +11.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.67% | 17.15% | +6.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.71% | 17.95% | +5.76% |
Frequently Asked Questions
^DJT and SPY have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^DJT has higher volatility (6.59%) compared to SPY (4.87%). In terms of maximum drawdown, ^DJT dropped -60.92% vs SPY's -55.19%.
SPY currently has the higher Sharpe Ratio (1.90 vs 1.82), 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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