^DJUSFN vs. COF

Last updated Jun 5, 2026

^DJUSFN (Dow Jones U.S. Financials Index) is an index, while COF (Capital One Financial Corporation) is a stock. Over the past 10 years, ^DJUSFN returned 9.79%/yr vs 11.62%/yr for COF. A 0.70 correlation means they provide meaningful diversification when combined.

Performance

^DJUSFN vs. COF - Performance Comparison

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

Returns By Period

In the year-to-date period, ^DJUSFN achieves a -3.03% return, which is significantly higher than COF's -23.80% return. Over the past 10 years, ^DJUSFN has underperformed COF with an annualized return of 9.79%, while COF has yielded a comparatively higher 11.62% 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%

COF

• 1D: 3.14%
• 1M: -3.00%
• YTD: -23.80%
• 6M: -19.60%
• 1Y: -3.61%
• 3Y*: 20.82%
• 5Y*: 3.85%
• 10Y*: 11.62%

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

^DJUSFN vs. COF - 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%
COF Capital One Financial Corporation	-23.80%	37.65%	38.24%	44.32%	-34.59%	49.32%	-2.66%	38.62%	-22.77%	16.30%

Correlation

The correlation between ^DJUSFN and COF is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.76
Correlation (10Y) Calculated over the trailing 10-year period	0.78
Correlation (All Time) Calculated using the full available price history since Nov 17, 1994	0.70

The correlation between ^DJUSFN and COF has been stable across timeframes, ranging from 0.70 to 0.78 - a consistent structural relationship.

Return for Risk

^DJUSFN vs. COF — Risk / Return Rank

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

^DJUSFN

^DJUSFN Risk / Return Rank: 24
^DJUSFN Sharpe Ratio Rank: 26
^DJUSFN Sortino Ratio Rank: 23
^DJUSFN Omega Ratio Rank: 24
^DJUSFN Calmar Ratio Rank: 24
^DJUSFN Martin Ratio Rank: 25

COF

COF Risk / Return Rank: 35
COF Sharpe Ratio Rank: 37
COF Sortino Ratio Rank: 32
COF Omega Ratio Rank: 32
COF Calmar Ratio Rank: 38
COF Martin Ratio Rank: 37

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. COF - Risk-Adjusted Trends 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	COF	Difference
Sharpe ratio: Return per unit of total volatility	0.38	-0.12	+0.50
Sortino ratio: Return per unit of downside risk	0.61	0.05	+0.56
Omega ratio: Gain probability vs. loss probability	1.07	1.01	+0.07
Calmar ratio: Return relative to maximum drawdown	0.38	-0.12	+0.50
Martin ratio: Return relative to average drawdown	1.09	-0.24	+1.32
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. COF - Sharpe Ratio Comparison

The current ^DJUSFN Sharpe Ratio is 0.38, which is higher than the COF Sharpe Ratio of -0.12. The chart below compares the historical Sharpe Ratios of ^DJUSFN and COF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	^DJUSFN	COF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.38	-0.12	+0.50
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.36	0.11	+0.25
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	0.31	+0.16
Sharpe Ratio (All Time) Calculated using the full available price history	0.29	0.29	0.00

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.

Drawdown Indicators

	^DJUSFN	COF	Difference
Max Drawdown Largest peak-to-trough decline	-80.50%	-90.17%	+9.67%
Max Drawdown (1Y) Largest decline over 1 year	-13.22%	-31.47%	+18.25%
Max Drawdown (3Y) Largest decline over 3 years	-15.88%	-31.47%	+15.59%
Max Drawdown (5Y) Largest decline over 5 years	-26.56%	-50.38%	+23.82%
Max Drawdown (10Y) Largest decline over 10 years	-42.78%	-60.25%	+17.47%
Current Drawdown Current decline from peak	-5.50%	-28.40%	+22.90%
Average Drawdown Average peak-to-trough decline	-17.18%	-21.49%	+4.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.68%	15.35%	-10.67%

Volatility

^DJUSFN vs. COF - Volatility Comparison

The current volatility for Dow Jones U.S. Financials Index (^DJUSFN) is 3.98%, while Capital One Financial Corporation (COF) has a volatility of 8.22%. 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.

Volatility by Period

	^DJUSFN	COF	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.98%	8.22%	-4.24%
Volatility (6M) Calculated over the trailing 6-month period	10.08%	24.70%	-14.62%
Volatility (1Y) Calculated over the trailing 1-year period	13.37%	30.91%	-17.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.81%	35.34%	-17.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.58%	37.25%	-16.67%

Frequently Asked Questions

Can I hold both ^DJUSFN and COF in my portfolio?

^DJUSFN and COF have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ^DJUSFN or COF?

COF has higher volatility (8.22%) compared to ^DJUSFN (3.98%). In terms of maximum drawdown, ^DJUSFN dropped -80.50% vs COF's -90.17%.

Which has better risk-adjusted returns?

^DJUSFN currently has the higher Sharpe Ratio (0.38 vs -0.12), 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.