^DJU vs. GS
^DJU (Dow Jones Utility Average) is an index, while GS (The Goldman Sachs Group, Inc.) is a stock. Over the past 10 years, ^DJU returned 4.73%/yr vs 23.14%/yr for GS. Their 0.28 correlation means their historical movements had little consistent relationship.
Performance
^DJU vs. GS - Performance Comparison
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Returns By Period
In the year-to-date period, ^DJU achieves a 5.02% return, which is significantly lower than GS's 16.98% return. Over the past 10 years, ^DJU has underperformed GS with an annualized return of 4.73%, while GS has yielded a comparatively higher 23.14% annualized return.
^DJU
- 1D
- -1.00%
- 1M
- -3.45%
- 6M
- 2.78%
- YTD
- 5.02%
- 1Y
- 1.24%
- 3Y*
- 6.84%
- 5Y*
- 4.33%
- 10Y*
- 4.73%
- ALL TIME*
- 4.79%
GS
- 1D
- -0.63%
- 1M
- -0.26%
- 6M
- 9.93%
- YTD
- 16.98%
- 1Y
- 46.41%
- 3Y*
- 45.09%
- 5Y*
- 25.12%
- 10Y*
- 23.14%
- ALL TIME*
- 11.53%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $71.02B | $70.92B | $79.44B | |
| $2.08B | $2.11B | $2.25B |
^DJU vs. GS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^DJU Dow Jones Utility Average | 5.02% | 8.68% | 11.46% | -8.86% | -1.36% | 13.43% | -1.65% | 23.32% | -1.44% | 9.67% |
GS The Goldman Sachs Group, Inc. | 16.98% | 56.64% | 52.03% | 15.91% | -7.87% | 47.61% | 17.45% | 40.48% | -33.53% | 7.73% |
Correlation
The correlation between ^DJU and GS is 0.04, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.04 |
Correlation (3Y) Balances recent behavior with more history. | 0.22 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.27 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.18 |
Correlation (All Time) Calculated using the full available price history since May 4, 1999 | 0.28 |
Over the past year, the correlation between ^DJU and GS has dropped to 0.04 - well below their long-term average of 0.28, suggesting their price drivers have been diverging.
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Return for Risk
^DJU vs. GS — Risk / Return Rank
^DJU
GS
^DJU vs. GS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Utility Average (^DJU) and The Goldman Sachs Group, Inc. (GS). 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.
| ^DJU | GS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.26 | ||
| Sortino ratioReturn per unit of downside risk | -1.72 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 1.25 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 0.18 | 2.25 | -2.07 |
| Martin ratioReturn relative to average drawdown | 0.39 | 6.94 | -6.55 |
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Drawdowns
^DJU vs. GS - Drawdown Comparison
The maximum ^DJU drawdown since its inception was -59.73%, smaller than the maximum GS drawdown of -78.84%. Use the drawdown chart below to compare losses from any high point for ^DJU and GS.
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Drawdown Indicators
| ^DJU | GS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.73% | -78.84% | +19.11% |
Max Drawdown (1Y)Largest decline over 1 year | -10.27% | -19.42% | +9.15% |
Max Drawdown (3Y)Largest decline over 3 years | -12.80% | -30.90% | +18.10% |
Max Drawdown (5Y)Largest decline over 5 years | -26.93% | -32.84% | +5.91% |
Max Drawdown (10Y)Largest decline over 10 years | -36.42% | -48.75% | +12.33% |
Current DrawdownCurrent decline from peak | -5.76% | -11.60% | +5.84% |
Average DrawdownAverage peak-to-trough decline | -13.49% | -22.57% | +9.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.80% | 6.30% | -1.50% |
Volatility
^DJU vs. GS - Volatility Comparison
The current volatility for Dow Jones Utility Average (^DJU) is 4.73%, while The Goldman Sachs Group, Inc. (GS) has a volatility of 14.38%. This indicates that ^DJU experiences smaller price fluctuations and is considered to be less risky than GS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^DJU | GS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.73% | 14.38% | -9.65% |
Volatility (6M)Calculated over the trailing 6-month period | 11.52% | 26.02% | -14.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.51% | 31.51% | -17.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.10% | 28.60% | -11.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.27% | 30.06% | -10.79% |
Frequently Asked Questions
^DJU and GS have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GS has higher volatility (14.38%) compared to ^DJU (4.73%). In terms of maximum drawdown, ^DJU dropped -59.73% vs GS's -78.84%.
GS currently has the higher Sharpe Ratio (1.39 vs 0.13), 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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