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^DJUSFN vs. ^NDX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Key characteristics


^DJUSFN^NDX
YTD Return14.22%17.67%
1Y Return23.33%24.98%
3Y Return (Ann)5.35%10.51%
5Y Return (Ann)8.35%20.44%
10Y Return (Ann)8.45%17.56%
Sharpe Ratio1.971.62
Daily Std Dev12.38%16.04%
Max Drawdown-80.50%-82.90%
Current Drawdown0.00%-4.24%

Correlation

-0.50.00.51.00.6

The correlation between ^DJUSFN and ^NDX is 0.62, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Performance

^DJUSFN vs. ^NDX - Performance Comparison

In the year-to-date period, ^DJUSFN achieves a 14.22% return, which is significantly lower than ^NDX's 17.67% return. Over the past 10 years, ^DJUSFN has underperformed ^NDX with an annualized return of 8.45%, while ^NDX has yielded a comparatively higher 17.56% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%FebruaryMarchAprilMayJuneJuly
839.99%
5,839.18%
^DJUSFN
^NDX

Compare stocks, funds, or ETFs

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Dow Jones U.S. Financials Index

NASDAQ 100

Risk-Adjusted Performance

^DJUSFN vs. ^NDX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Financials Index (^DJUSFN) and NASDAQ 100 (^NDX). 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
Sharpe ratio
The chart of Sharpe ratio for ^DJUSFN, currently valued at 1.97, compared to the broader market0.001.002.001.97
Sortino ratio
The chart of Sortino ratio for ^DJUSFN, currently valued at 2.72, compared to the broader market-1.000.001.002.003.002.72
Omega ratio
The chart of Omega ratio for ^DJUSFN, currently valued at 1.34, compared to the broader market1.001.201.401.34
Calmar ratio
The chart of Calmar ratio for ^DJUSFN, currently valued at 1.06, compared to the broader market0.001.002.003.004.005.001.06
Martin ratio
The chart of Martin ratio for ^DJUSFN, currently valued at 6.25, compared to the broader market0.005.0010.0015.0020.006.25
^NDX
Sharpe ratio
The chart of Sharpe ratio for ^NDX, currently valued at 1.62, compared to the broader market0.001.002.001.62
Sortino ratio
The chart of Sortino ratio for ^NDX, currently valued at 2.23, compared to the broader market-1.000.001.002.003.002.23
Omega ratio
The chart of Omega ratio for ^NDX, currently valued at 1.28, compared to the broader market1.001.201.401.28
Calmar ratio
The chart of Calmar ratio for ^NDX, currently valued at 1.75, compared to the broader market0.001.002.003.004.005.001.75
Martin ratio
The chart of Martin ratio for ^NDX, currently valued at 7.67, compared to the broader market0.005.0010.0015.0020.007.68

^DJUSFN vs. ^NDX - Sharpe Ratio Comparison

The current ^DJUSFN Sharpe Ratio is 1.97, which roughly equals the ^NDX Sharpe Ratio of 1.62. The chart below compares the 12-month rolling Sharpe Ratio of ^DJUSFN and ^NDX.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.003.50FebruaryMarchAprilMayJuneJuly
1.97
1.62
^DJUSFN
^NDX

Drawdowns

^DJUSFN vs. ^NDX - Drawdown Comparison

The maximum ^DJUSFN drawdown since its inception was -80.50%, roughly equal to the maximum ^NDX drawdown of -82.90%. Use the drawdown chart below to compare losses from any high point for ^DJUSFN and ^NDX. For additional features, visit the drawdowns tool.


-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly0
-4.24%
^DJUSFN
^NDX

Volatility

^DJUSFN vs. ^NDX - Volatility Comparison

The current volatility for Dow Jones U.S. Financials Index (^DJUSFN) is 2.74%, while NASDAQ 100 (^NDX) has a volatility of 5.04%. This indicates that ^DJUSFN experiences smaller price fluctuations and is considered to be less risky than ^NDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%FebruaryMarchAprilMayJuneJuly
2.74%
5.04%
^DJUSFN
^NDX