^DJUSBK vs. BAC

Last updated Jun 3, 2026

^DJUSBK (Dow Jones U.S. Banks Index) is an index, while BAC (Bank of America Corporation) is a stock. Over the past 10 years, ^DJUSBK returned 10.05%/yr vs 16.28%/yr for BAC. Their correlation of 0.90 suggests significant overlap in exposure.

Performance

^DJUSBK vs. BAC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Banks Index (^DJUSBK) and Bank of America Corporation (BAC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ^DJUSBK achieves a -3.11% return, which is significantly higher than BAC's -4.19% return. Over the past 10 years, ^DJUSBK has underperformed BAC with an annualized return of 10.05%, while BAC has yielded a comparatively higher 16.28% annualized return.

^DJUSBK

• 1D: 1.91%
• 1M: -1.95%
• YTD: -3.11%
• 6M: 2.71%
• 1Y: 20.50%
• 3Y*: 25.48%
• 5Y*: 6.30%
• 10Y*: 10.05%

BAC

• 1D: -0.15%
• 1M: 0.40%
• YTD: -4.19%
• 6M: -2.07%
• 1Y: 20.00%
• 3Y*: 25.09%
• 5Y*: 6.37%
• 10Y*: 16.28%

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

^DJUSBK vs. BAC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^DJUSBK Dow Jones U.S. Banks Index	-3.11%	27.82%	32.77%	6.63%	-20.66%	33.21%	-16.53%	34.78%	-18.45%	17.63%
BAC Bank of America Corporation	-4.19%	28.04%	33.85%	4.83%	-23.82%	49.61%	-11.63%	46.19%	-15.00%	35.69%

Correlation

The correlation between ^DJUSBK and BAC is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Feb 15, 2000	0.90

The correlation between ^DJUSBK and BAC has been stable across timeframes, ranging from 0.90 to 0.93 - a consistent structural relationship.

Return for Risk

^DJUSBK vs. BAC — Risk / Return Rank

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

^DJUSBK

^DJUSBK Risk / Return Rank: 41
^DJUSBK Sharpe Ratio Rank: 42
^DJUSBK Sortino Ratio Rank: 41
^DJUSBK Omega Ratio Rank: 43
^DJUSBK Calmar Ratio Rank: 41
^DJUSBK Martin Ratio Rank: 39

BAC

BAC Risk / Return Rank: 64
BAC Sharpe Ratio Rank: 70
BAC Sortino Ratio Rank: 61
BAC Omega Ratio Rank: 61
BAC Calmar Ratio Rank: 63
BAC Martin Ratio Rank: 65

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.

^DJUSBK vs. BAC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Banks Index (^DJUSBK) and Bank of America Corporation (BAC). 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.

	^DJUSBK	BAC	Difference
Sharpe ratio Return per unit of total volatility	1.04	0.94	+0.10
Sortino ratio Return per unit of downside risk	1.47	1.35	+0.12
Omega ratio Gain probability vs. loss probability	1.18	1.17	+0.01
Calmar ratio Return relative to maximum drawdown	1.30	1.12	+0.18
Martin ratio Return relative to average drawdown	3.56	2.89	+0.67
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^DJUSBK vs. BAC - Sharpe Ratio Comparison

The current ^DJUSBK Sharpe Ratio is 1.04, which is comparable to the BAC Sharpe Ratio of 0.94. The chart below compares the historical Sharpe Ratios of ^DJUSBK and BAC, 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

	^DJUSBK	BAC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.04	0.94	+0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.26	0.24	+0.02
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.36	0.53	-0.17
Sharpe Ratio (All Time) Calculated using the full available price history	0.11	0.20	-0.09

Drawdowns

^DJUSBK vs. BAC - Drawdown Comparison

The maximum ^DJUSBK drawdown since its inception was -85.85%, smaller than the maximum BAC drawdown of -93.10%. Use the drawdown chart below to compare losses from any high point for ^DJUSBK and BAC.

Drawdown Indicators

	^DJUSBK	BAC	Difference
Max Drawdown Largest peak-to-trough decline	-85.85%	-93.10%	+7.25%
Max Drawdown (1Y) Largest decline over 1 year	-15.73%	-17.93%	+2.20%
Max Drawdown (3Y) Largest decline over 3 years	-25.52%	-27.51%	+1.99%
Max Drawdown (5Y) Largest decline over 5 years	-41.23%	-46.64%	+5.41%
Max Drawdown (10Y) Largest decline over 10 years	-49.79%	-48.95%	-0.84%
Current Drawdown Current decline from peak	-7.24%	-7.95%	+0.71%
Average Drawdown Average peak-to-trough decline	-28.16%	-28.32%	+0.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.74%	6.93%	-1.19%

Volatility

^DJUSBK vs. BAC - Volatility Comparison

Dow Jones U.S. Banks Index (^DJUSBK) and Bank of America Corporation (BAC) have volatilities of 5.92% and 6.22%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^DJUSBK	BAC	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.92%	6.22%	-0.30%
Volatility (6M) Calculated over the trailing 6-month period	15.53%	16.10%	-0.57%
Volatility (1Y) Calculated over the trailing 1-year period	19.72%	21.33%	-1.61%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	24.76%	26.85%	-2.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	28.25%	30.68%	-2.43%

Frequently Asked Questions

Can I hold both ^DJUSBK and BAC in my portfolio?

With a correlation of 0.91, ^DJUSBK and BAC move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ^DJUSBK or BAC?

BAC has higher volatility (6.22%) compared to ^DJUSBK (5.92%). In terms of maximum drawdown, ^DJUSBK dropped -85.85% vs BAC's -93.10%.

Which has better risk-adjusted returns?

^DJUSBK currently has the higher Sharpe Ratio (1.04 vs 0.94), 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.