^DJUSFN vs. COF
Compare and contrast key facts about Dow Jones U.S. Financials Index (^DJUSFN) and Capital One Financial Corporation (COF).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJUSFN or COF.
Key characteristics
| ^DJUSFN | COF | |
|---|---|---|
| YTD Return | 21.69% | 25.95% |
| 1Y Return | 44.97% | 65.20% |
| 3Y Return (Ann) | 5.06% | 4.68% |
| 5Y Return (Ann) | 9.01% | 13.92% |
| 10Y Return (Ann) | 8.69% | 9.11% |
| Sharpe Ratio | 3.13 | 2.67 |
| Sortino Ratio | 4.15 | 3.54 |
| Omega Ratio | 1.56 | 1.44 |
| Calmar Ratio | 2.07 | 1.70 |
| Martin Ratio | 18.88 | 14.62 |
| Ulcer Index | 2.01% | 4.78% |
| Daily Std Dev | 12.42% | 26.24% |
| Max Drawdown | -80.50% | -90.17% |
| Current Drawdown | -1.70% | -2.57% |
Correlation
The correlation between ^DJUSFN and COF is 0.70, 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.
Performance
^DJUSFN vs. COF - Performance Comparison
In the year-to-date period, ^DJUSFN achieves a 21.69% return, which is significantly lower than COF's 25.95% return. Both investments have delivered pretty close results over the past 10 years, with ^DJUSFN having a 8.69% annualized return and COF not far ahead at 9.11%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^DJUSFN vs. COF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Financials Index (^DJUSFN) and Capital One Financial Corporation (COF). 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.
Drawdowns
^DJUSFN vs. COF - Drawdown Comparison
The maximum ^DJUSFN drawdown since its inception was -80.50%, smaller than the maximum COF drawdown of -90.17%. Use the drawdown chart below to compare losses from any high point for ^DJUSFN and COF. For additional features, visit the drawdowns tool.
Volatility
^DJUSFN vs. COF - Volatility Comparison
The current volatility for Dow Jones U.S. Financials Index (^DJUSFN) is 3.81%, while Capital One Financial Corporation (COF) has a volatility of 9.57%. This indicates that ^DJUSFN experiences smaller price fluctuations and is considered to be less risky than COF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.