^DJU vs. GS

Last updated Jun 4, 2026

^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 5.00%/yr vs 23.44%/yr for GS. At a 0.28 correlation, their price movements are largely independent.

Performance

^DJU vs. GS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Utility Average (^DJU) and The Goldman Sachs Group, Inc. (GS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^DJU achieves a 2.50% return, which is significantly lower than GS's 19.58% return. Over the past 10 years, ^DJU has underperformed GS with an annualized return of 5.00%, while GS has yielded a comparatively higher 23.44% annualized return.

^DJU

• 1D: -0.59%
• 1M: -5.04%
• YTD: 2.50%
• 6M: 0.48%
• 1Y: 4.40%
• 3Y*: 6.75%
• 5Y*: 3.98%
• 10Y*: 5.00%

GS

• 1D: -2.21%
• 1M: 15.76%
• YTD: 19.58%
• 6M: 25.65%
• 1Y: 75.87%
• 3Y*: 51.11%
• 5Y*: 24.59%
• 10Y*: 23.44%

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

^DJU vs. GS - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^DJU Dow Jones Utility Average	2.50%	8.68%	11.46%	-8.86%	-1.36%	13.43%	-1.65%	23.32%	-1.44%	9.67%
GS The Goldman Sachs Group, Inc.	19.58%	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 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.10
Correlation (3Y) Calculated over the trailing 3-year period	0.24
Correlation (5Y) Calculated over the trailing 5-year period	0.27
Correlation (10Y) Calculated over the trailing 10-year period	0.18
Correlation (All Time) Calculated using the full available price history since May 5, 1999	0.28

The correlation between ^DJU and GS shifts across timeframes, from 0.10 (1 year) to 0.28 (all time), reflecting how their relationship changes across market environments.

Return for Risk

^DJU vs. GS — Risk / Return Rank

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

^DJU

^DJU Risk / Return Rank: 23
^DJU Sharpe Ratio Rank: 24
^DJU Sortino Ratio Rank: 21
^DJU Omega Ratio Rank: 21
^DJU Calmar Ratio Rank: 25
^DJU Martin Ratio Rank: 24

GS

GS Risk / Return Rank: 90
GS Sharpe Ratio Rank: 93
GS Sortino Ratio Rank: 91
GS Omega Ratio Rank: 90
GS Calmar Ratio Rank: 87
GS Martin Ratio Rank: 91

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.

^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.

	^DJU	GS	Difference
Sharpe ratio: Return per unit of total volatility	0.31	2.80	-2.48
Sortino ratio: Return per unit of downside risk	0.52	3.42	-2.89
Omega ratio: Gain probability vs. loss probability	1.06	1.45	-0.38
Calmar ratio: Return relative to maximum drawdown	0.43	3.93	-3.50
Martin ratio: Return relative to average drawdown	0.99	13.17	-12.17
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^DJU vs. GS - Sharpe Ratio Comparison

The current ^DJU Sharpe Ratio is 0.31, which is lower than the GS Sharpe Ratio of 2.80. The chart below compares the historical Sharpe Ratios of ^DJU and GS, 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

	^DJU	GS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.31	2.80	-2.48
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.23	0.89	-0.65
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.26	0.79	-0.53
Sharpe Ratio (All Time) Calculated using the full available price history	0.23	0.33	-0.11

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.

Drawdown Indicators

	^DJU	GS	Difference
Max Drawdown Largest 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	-17.48%	-30.90%	+13.42%
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 Drawdown Current decline from peak	-8.02%	-2.21%	-5.81%
Average Drawdown Average peak-to-trough decline	-13.58%	-22.63%	+9.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.45%	5.78%	-1.33%

Volatility

^DJU vs. GS - Volatility Comparison

The current volatility for Dow Jones Utility Average (^DJU) is 5.13%, while The Goldman Sachs Group, Inc. (GS) has a volatility of 8.10%. 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.

Volatility by Period

	^DJU	GS	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.13%	8.10%	-2.97%
Volatility (6M) Calculated over the trailing 6-month period	11.13%	22.06%	-10.93%
Volatility (1Y) Calculated over the trailing 1-year period	14.03%	27.25%	-13.22%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.09%	27.86%	-10.77%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.26%	29.76%	-10.50%

Frequently Asked Questions

Can I hold both ^DJU and GS in my portfolio?

^DJU and GS have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^DJU or GS?

GS has higher volatility (8.10%) compared to ^DJU (5.13%). In terms of maximum drawdown, ^DJU dropped -59.73% vs GS's -78.84%.

Which has better risk-adjusted returns?

GS currently has the higher Sharpe Ratio (2.80 vs 0.31), 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.