^XCMP vs. ^DJI
^XCMP (NASDAQ Composite Total Return Index) and ^DJI (Dow Jones Industrial Average) are both indexes. Over the past 10 years, ^XCMP returned 18.34%/yr vs 11.10%/yr for ^DJI. Their correlation of 0.80 means they have usually moved in the same direction.
Performance
^XCMP vs. ^DJI - Performance Comparison
Loading charts...
Returns By Period
The year-to-date returns for both stocks are quite close, with ^XCMP having a 9.53% return and ^DJI slightly lower at 9.20%. Over the past 10 years, ^XCMP has outperformed ^DJI with an annualized return of 18.34%, while ^DJI has yielded a comparatively lower 11.10% annualized return.
^XCMP
- 1D
- 1.01%
- 1M
- -1.76%
- 6M
- 8.48%
- YTD
- 9.53%
- 1Y
- 23.62%
- 3Y*
- 21.95%
- 5Y*
- 12.40%
- 10Y*
- 18.34%
- ALL TIME*
- 13.27%
^DJI
- 1D
- 0.53%
- 1M
- -0.78%
- 6M
- 7.35%
- YTD
- 9.20%
- 1Y
- 20.41%
- 3Y*
- 13.78%
- 5Y*
- 8.48%
- 10Y*
- 11.10%
- ALL TIME*
- 8.47%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $26.51T | $25.71T | $27.60T | |
| $0.00 | $0.00 | $0.00 |
^XCMP vs. ^DJI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^XCMP NASDAQ Composite Total Return Index | 9.53% | 21.14% | 29.57% | 44.64% | -32.54% | 22.18% | 44.92% | 36.69% | -2.84% | 29.64% |
^DJI Dow Jones Industrial Average | 9.20% | 12.97% | 12.88% | 13.70% | -8.78% | 18.73% | 7.25% | 22.34% | -5.63% | 25.08% |
Correlation
The correlation between ^XCMP and ^DJI is 0.65, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.65 |
Correlation (3Y) Balances recent behavior with more history. | 0.66 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.73 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.73 |
Correlation (All Time) Calculated using the full available price history since Sep 25, 2003 | 0.80 |
The correlation between ^XCMP and ^DJI shifts across timeframes, from 0.65 (1 year) to 0.80 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
^XCMP vs. ^DJI — Risk / Return Rank
^XCMP
^DJI
^XCMP vs. ^DJI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ Composite Total Return Index (^XCMP) and Dow Jones Industrial Average (^DJI). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^XCMP | ^DJI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.38 | ||
| Sortino ratioReturn per unit of downside risk | -0.57 | ||
| Omega ratioGain probability vs. loss probability | 1.20 | 1.27 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 1.62 | 1.90 | -0.28 |
| Martin ratioReturn relative to average drawdown | 5.39 | 7.23 | -1.84 |
Loading charts...
Drawdowns
^XCMP vs. ^DJI - Drawdown Comparison
The maximum ^XCMP drawdown since its inception was -55.07%, roughly equal to the maximum ^DJI drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for ^XCMP and ^DJI.
Loading charts...
Drawdown Indicators
| ^XCMP | ^DJI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.07% | -53.78% | -1.29% |
Max Drawdown (1Y)Largest decline over 1 year | -12.96% | -10.01% | -2.95% |
Max Drawdown (3Y)Largest decline over 3 years | -24.16% | -16.37% | -7.79% |
Max Drawdown (5Y)Largest decline over 5 years | -35.83% | -21.94% | -13.89% |
Max Drawdown (10Y)Largest decline over 10 years | -35.83% | -37.09% | +1.26% |
Current DrawdownCurrent decline from peak | -6.27% | -1.08% | -5.19% |
Average DrawdownAverage peak-to-trough decline | -7.99% | -8.00% | +0.01% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.88% | 2.63% | +1.25% |
Volatility
^XCMP vs. ^DJI - Volatility Comparison
NASDAQ Composite Total Return Index (^XCMP) has a higher volatility of 5.74% compared to Dow Jones Industrial Average (^DJI) at 3.76%. This indicates that ^XCMP's price experiences larger fluctuations and is considered to be riskier than ^DJI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| ^XCMP | ^DJI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.74% | 3.76% | +1.98% |
Volatility (6M)Calculated over the trailing 6-month period | 14.70% | 9.89% | +4.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.43% | 12.58% | +5.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.76% | 14.86% | +7.90% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.11% | 17.61% | +4.50% |
Frequently Asked Questions
^XCMP and ^DJI have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^XCMP has higher volatility (5.74%) compared to ^DJI (3.76%). In terms of maximum drawdown, ^XCMP dropped -55.07% vs ^DJI's -53.78%.
^DJI currently has the higher Sharpe Ratio (1.51 vs 1.14), 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.
Find the right allocation for ^XCMP and ^DJI
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer