^DJUSFN vs. ^DJI
^DJUSFN (Dow Jones U.S. Financials Index) and ^DJI (Dow Jones Industrial Average) are both indexes. Over the past 10 years, ^DJUSFN returned 9.79%/yr vs 11.15%/yr for ^DJI. Their correlation of 0.82 suggests significant overlap in exposure.
Performance
^DJUSFN vs. ^DJI - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, ^DJUSFN achieves a -3.03% return, which is significantly lower than ^DJI's 7.28% return. Over the past 10 years, ^DJUSFN has underperformed ^DJI with an annualized return of 9.79%, while ^DJI has yielded a comparatively higher 11.15% annualized return.
^DJUSFN
- 1D
- 2.56%
- 1M
- 0.75%
- YTD
- -3.03%
- 6M
- -1.27%
- 1Y
- 5.07%
- 3Y*
- 16.51%
- 5Y*
- 6.36%
- 10Y*
- 9.79%
^DJI
- 1D
- 1.73%
- 1M
- 4.59%
- YTD
- 7.28%
- 6M
- 7.76%
- 1Y
- 21.53%
- 3Y*
- 15.39%
- 5Y*
- 8.21%
- 10Y*
- 11.15%
^DJUSFN vs. ^DJI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^DJUSFN Dow Jones U.S. Financials Index | -3.03% | 13.51% | 24.04% | 13.28% | -15.59% | 29.76% | -2.99% | 29.38% | -11.00% | 17.44% |
^DJI Dow Jones Industrial Average | 7.28% | 12.97% | 12.88% | 13.70% | -8.78% | 18.73% | 7.25% | 22.34% | -5.63% | 25.08% |
Correlation
The correlation between ^DJUSFN and ^DJI is 0.82, 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 | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.87 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 1992 | 0.82 |
The correlation between ^DJUSFN and ^DJI has been stable across timeframes, ranging from 0.82 to 0.87 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
^DJUSFN vs. ^DJI — Risk / Return Rank
^DJUSFN
^DJI
^DJUSFN vs. ^DJI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Financials Index (^DJUSFN) and Dow Jones Industrial Average (^DJI). 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.
| ^DJUSFN | ^DJI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.39 | ||
| Sortino ratioReturn per unit of downside risk | -1.98 | ||
| Omega ratioGain probability vs. loss probability | 1.07 | 1.31 | -0.24 |
| Calmar ratioReturn relative to maximum drawdown | 0.38 | 2.16 | -1.78 |
| Martin ratioReturn relative to average drawdown | 1.09 | 8.21 | -7.13 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| ^DJUSFN | ^DJI | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.38 | 1.77 | -1.39 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.36 | 0.56 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.48 | 0.63 | -0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.45 | -0.16 |
Drawdowns
^DJUSFN vs. ^DJI - Drawdown Comparison
The maximum ^DJUSFN drawdown since its inception was -80.50%, which is greater than ^DJI's maximum drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for ^DJUSFN and ^DJI.
Loading charts...
Drawdown Indicators
| ^DJUSFN | ^DJI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -80.50% | -53.78% | -26.72% |
Max Drawdown (1Y)Largest decline over 1 year | -13.22% | -10.01% | -3.21% |
Max Drawdown (3Y)Largest decline over 3 years | -15.88% | -16.37% | +0.49% |
Max Drawdown (5Y)Largest decline over 5 years | -26.56% | -21.94% | -4.62% |
Max Drawdown (10Y)Largest decline over 10 years | -42.78% | -37.09% | -5.69% |
Current DrawdownCurrent decline from peak | -5.50% | 0.00% | -5.50% |
Average DrawdownAverage peak-to-trough decline | -17.18% | -9.39% | -7.79% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.68% | 2.63% | +2.05% |
Volatility
^DJUSFN vs. ^DJI - Volatility Comparison
Dow Jones U.S. Financials Index (^DJUSFN) has a higher volatility of 3.98% compared to Dow Jones Industrial Average (^DJI) at 3.39%. This indicates that ^DJUSFN's price experiences larger fluctuations and is considered to be riskier than ^DJI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| ^DJUSFN | ^DJI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.98% | 3.39% | +0.59% |
Volatility (6M)Calculated over the trailing 6-month period | 10.08% | 9.49% | +0.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.37% | 12.24% | +1.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.81% | 14.83% | +2.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.58% | 17.61% | +2.97% |
Frequently Asked Questions
^DJUSFN and ^DJI have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^DJUSFN has higher volatility (3.98%) compared to ^DJI (3.39%). In terms of maximum drawdown, ^DJUSFN dropped -80.50% vs ^DJI's -53.78%.
^DJI currently has the higher Sharpe Ratio (1.77 vs 0.38), 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.
Find the right allocation for ^DJUSFN and ^DJI
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer