^DJT vs. USMV

Last updated Jun 4, 2026

^DJT (Dow Jones Transportation Average) is an index, while USMV (iShares MSCI USA Minimum Volatility Factor ETF) is Large Cap Blend Equities fund tracking the MSCI USA Minimum Volatility Index. Over the past 10 years, ^DJT returned 10.76%/yr vs 9.93%/yr for USMV. A 0.64 correlation means they provide meaningful diversification when combined.

Performance

^DJT vs. USMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Transportation Average (^DJT) and iShares MSCI USA Minimum Volatility Factor ETF (USMV). 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 USMV's 2.65% return. Over the past 10 years, ^DJT has outperformed USMV with an annualized return of 10.76%, while USMV has yielded a comparatively lower 9.93% 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%

USMV

• 1D: -0.69%
• 1M: 2.01%
• YTD: 2.65%
• 6M: 2.61%
• 1Y: 4.37%
• 3Y*: 11.79%
• 5Y*: 7.45%
• 10Y*: 9.93%

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

^DJT vs. USMV - 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%
USMV iShares MSCI USA Minimum Volatility Factor ETF	2.65%	7.65%	15.74%	10.33%	-9.43%	20.85%	5.64%	27.69%	1.33%	18.91%

Correlation

The correlation between ^DJT and USMV is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.63
Correlation (10Y) Calculated over the trailing 10-year period	0.61
Correlation (All Time) Calculated using the full available price history since Oct 21, 2011	0.64

Over the past year, the correlation between ^DJT and USMV has dropped to 0.44 - well below their long-term average of 0.64, suggesting their price drivers have been diverging.

Return for Risk

^DJT vs. USMV — 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

USMV

USMV Risk / Return Rank: 17
USMV Sharpe Ratio Rank: 16
USMV Sortino Ratio Rank: 16
USMV Omega Ratio Rank: 15
USMV Calmar Ratio Rank: 17
USMV Martin Ratio Rank: 19

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. USMV - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Transportation Average (^DJT) and iShares MSCI USA Minimum Volatility Factor ETF (USMV). 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	USMV	Difference
Sharpe ratio Return per unit of total volatility	1.94	0.52	+1.42
Sortino ratio Return per unit of downside risk	2.47	0.79	+1.68
Omega ratio Gain probability vs. loss probability	1.35	1.09	+0.26
Calmar ratio Return relative to maximum drawdown	2.53	0.68	+1.85
Martin ratio Return relative to average drawdown	7.63	2.27	+5.37
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. USMV - Sharpe Ratio Comparison

The current ^DJT Sharpe Ratio is 1.94, which is higher than the USMV Sharpe Ratio of 0.52. The chart below compares the historical Sharpe Ratios of ^DJT and USMV, 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	USMV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.94	0.52	+1.42
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.29	0.61	-0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	0.69	-0.23
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.87	-0.47

Drawdowns

^DJT vs. USMV - Drawdown Comparison

The maximum ^DJT drawdown since its inception was -60.92%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for ^DJT and USMV.

Drawdown Indicators

	^DJT	USMV	Difference
Max Drawdown Largest peak-to-trough decline	-60.92%	-33.10%	-27.82%
Max Drawdown (1Y) Largest decline over 1 year	-18.08%	-6.46%	-11.62%
Max Drawdown (3Y) Largest decline over 3 years	-28.82%	-9.36%	-19.46%
Max Drawdown (5Y) Largest decline over 5 years	-29.58%	-17.93%	-11.65%
Max Drawdown (10Y) Largest decline over 10 years	-42.06%	-33.10%	-8.96%
Current Drawdown Current decline from peak	-10.25%	-1.18%	-9.07%
Average Drawdown Average peak-to-trough decline	-13.02%	-2.88%	-10.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.98%	1.93%	+4.05%

Volatility

^DJT vs. USMV - Volatility Comparison

Dow Jones Transportation Average (^DJT) has a higher volatility of 4.69% compared to iShares MSCI USA Minimum Volatility Factor ETF (USMV) at 2.38%. This indicates that ^DJT's price experiences larger fluctuations and is considered to be riskier than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^DJT	USMV	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.69%	2.38%	+2.31%
Volatility (6M) Calculated over the trailing 6-month period	19.59%	5.91%	+13.68%
Volatility (1Y) Calculated over the trailing 1-year period	23.63%	8.50%	+15.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.59%	12.35%	+11.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.71%	14.51%	+9.20%

Frequently Asked Questions

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

^DJT and USMV have a correlation of 0.44, 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 USMV?

^DJT has higher volatility (4.69%) compared to USMV (2.38%). In terms of maximum drawdown, ^DJT dropped -60.92% vs USMV's -33.10%.

Which has better risk-adjusted returns?

^DJT currently has the higher Sharpe Ratio (1.94 vs 0.52), 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.