^DJUSFN vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Dow Jones U.S. Financials Index (^DJUSFN) and S&P 500 Index (^GSPC).

Performance

^DJUSFN vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Financials Index (^DJUSFN) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

^DJUSFN vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
^DJUSFN Dow Jones U.S. Financials Index	-8.20%	13.51%	24.04%	13.28%	-15.59%	29.76%	-2.99%	29.38%	-11.00%	17.44%
^GSPC S&P 500 Index	-3.95%	16.39%	23.31%	24.23%	-19.44%	26.89%	16.26%	28.88%	-6.24%	19.42%

Returns By Period

In the year-to-date period, ^DJUSFN achieves a -8.20% return, which is significantly lower than ^GSPC's -3.95% return. Over the past 10 years, ^DJUSFN has underperformed ^GSPC with an annualized return of 9.60%, while ^GSPC has yielded a comparatively higher 12.24% annualized return.

^DJUSFN

• 1D: 0.09%
• 1M: -4.01%
• YTD: -8.20%
• 6M: -6.04%
• 1Y: 1.64%
• 3Y*: 14.65%
• 5Y*: 7.19%
• 10Y*: 9.60%

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

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

Return for Risk

^DJUSFN vs. ^GSPC — Risk / Return Rank

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

^DJUSFN

^DJUSFN Risk / Return Rank: 19
^DJUSFN Sharpe Ratio Rank: 18
^DJUSFN Sortino Ratio Rank: 17
^DJUSFN Omega Ratio Rank: 17
^DJUSFN Calmar Ratio Rank: 20
^DJUSFN Martin Ratio Rank: 21

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

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.

^DJUSFN vs. ^GSPC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Financials Index (^DJUSFN) and S&P 500 Index (^GSPC). 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	^GSPC	Difference
Sharpe ratio Return per unit of total volatility	0.09	0.92	-0.83
Sortino ratio Return per unit of downside risk	0.25	1.41	-1.17
Omega ratio Gain probability vs. loss probability	1.03	1.21	-0.18
Calmar ratio Return relative to maximum drawdown	0.12	1.41	-1.29
Martin ratio Return relative to average drawdown	0.38	6.61	-6.23
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

^DJUSFN vs. ^GSPC - Sharpe Ratio Comparison

The current ^DJUSFN Sharpe Ratio is 0.09, which is lower than the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of ^DJUSFN and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	^DJUSFN	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.09	0.92	-0.83
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.41	0.61	-0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.47	0.68	-0.21
Sharpe Ratio (All Time) Calculated using the full available price history	0.29	0.46	-0.17

Correlation

The correlation between ^DJUSFN and ^GSPC is 0.84, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Drawdowns

^DJUSFN vs. ^GSPC - Drawdown Comparison

The maximum ^DJUSFN drawdown since its inception was -80.50%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^DJUSFN and ^GSPC.

Drawdown Indicators

	^DJUSFN	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-80.50%	-56.78%	-23.72%
Max Drawdown (1Y) Largest decline over 1 year	-13.22%	-12.14%	-1.08%
Max Drawdown (5Y) Largest decline over 5 years	-26.56%	-25.43%	-1.13%
Max Drawdown (10Y) Largest decline over 10 years	-42.78%	-33.92%	-8.86%
Current Drawdown Current decline from peak	-10.53%	-5.78%	-4.75%
Average Drawdown Average peak-to-trough decline	-17.24%	-10.75%	-6.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.31%	2.60%	+1.71%

Volatility

^DJUSFN vs. ^GSPC - Volatility Comparison

The current volatility for Dow Jones U.S. Financials Index (^DJUSFN) is 4.42%, while S&P 500 Index (^GSPC) has a volatility of 5.37%. This indicates that ^DJUSFN experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	^DJUSFN	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.42%	5.37%	-0.95%
Volatility (6M) Calculated over the trailing 6-month period	10.36%	9.55%	+0.81%
Volatility (1Y) Calculated over the trailing 1-year period	18.26%	18.33%	-0.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.79%	16.90%	+0.89%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.60%	18.05%	+2.55%