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

Key characteristics


^DJUSFNCOF
YTD Return21.69%25.95%
1Y Return44.97%65.20%
3Y Return (Ann)5.06%4.68%
5Y Return (Ann)9.01%13.92%
10Y Return (Ann)8.69%9.11%
Sharpe Ratio3.132.67
Sortino Ratio4.153.54
Omega Ratio1.561.44
Calmar Ratio2.071.70
Martin Ratio18.8814.62
Ulcer Index2.01%4.78%
Daily Std Dev12.42%26.24%
Max Drawdown-80.50%-90.17%
Current Drawdown-1.70%-2.57%

Correlation

-0.50.00.51.00.7

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.


-5.00%0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
17.41%
14.63%
^DJUSFN
COF

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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.


^DJUSFN
Sharpe ratio
The chart of Sharpe ratio for ^DJUSFN, currently valued at 3.13, compared to the broader market-1.000.001.002.003.003.13
Sortino ratio
The chart of Sortino ratio for ^DJUSFN, currently valued at 4.15, compared to the broader market-1.000.001.002.003.004.004.15
Omega ratio
The chart of Omega ratio for ^DJUSFN, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.56
Calmar ratio
The chart of Calmar ratio for ^DJUSFN, currently valued at 2.07, compared to the broader market0.001.002.003.004.002.07
Martin ratio
The chart of Martin ratio for ^DJUSFN, currently valued at 18.88, compared to the broader market0.005.0010.0015.0020.0018.88
COF
Sharpe ratio
The chart of Sharpe ratio for COF, currently valued at 2.27, compared to the broader market-1.000.001.002.003.002.27
Sortino ratio
The chart of Sortino ratio for COF, currently valued at 3.09, compared to the broader market-1.000.001.002.003.004.003.09
Omega ratio
The chart of Omega ratio for COF, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.39
Calmar ratio
The chart of Calmar ratio for COF, currently valued at 1.50, compared to the broader market0.001.002.003.004.001.50
Martin ratio
The chart of Martin ratio for COF, currently valued at 11.77, compared to the broader market0.005.0010.0015.0020.0011.77

^DJUSFN vs. COF - Sharpe Ratio Comparison

The current ^DJUSFN Sharpe Ratio is 3.13, which is comparable to the COF Sharpe Ratio of 2.67. The chart below compares the historical Sharpe Ratios of ^DJUSFN and COF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio1.002.003.004.00MayJuneJulyAugustSeptemberOctober
3.13
2.27
^DJUSFN
COF

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.


-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.70%
-2.57%
^DJUSFN
COF

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.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
3.81%
9.57%
^DJUSFN
COF