DSI vs. ^DJI
DSI (iShares MSCI KLD 400 Social ETF) is Large Cap Growth Equities fund tracking the MSCI KLD 400 Social Index, while ^DJI (Dow Jones Industrial Average) is an index. Over the past 10 years, DSI returned 15.50%/yr vs 11.54%/yr for ^DJI. Their correlation of 0.86 suggests significant overlap in exposure.
Performance
DSI vs. ^DJI - Performance Comparison
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Returns By Period
In the year-to-date period, DSI achieves a 8.47% return, which is significantly higher than ^DJI's 7.88% return. Over the past 10 years, DSI has outperformed ^DJI with an annualized return of 15.50%, while ^DJI has yielded a comparatively lower 11.54% annualized return.
DSI
- 1D
- -1.53%
- 1M
- -1.32%
- YTD
- 8.47%
- 6M
- 7.30%
- 1Y
- 24.79%
- 3Y*
- 20.37%
- 5Y*
- 12.35%
- 10Y*
- 15.50%
^DJI
- 1D
- 0.35%
- 1M
- 2.51%
- YTD
- 7.88%
- 6M
- 6.40%
- 1Y
- 20.33%
- 3Y*
- 15.41%
- 5Y*
- 8.53%
- 10Y*
- 11.54%
DSI vs. ^DJI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DSI iShares MSCI KLD 400 Social ETF | 8.47% | 18.03% | 22.38% | 28.51% | -21.71% | 31.32% | 20.94% | 31.15% | -3.90% | 20.89% |
^DJI Dow Jones Industrial Average | 7.88% | 12.97% | 12.88% | 13.70% | -8.78% | 18.73% | 7.25% | 22.34% | -5.63% | 25.08% |
Correlation
The correlation between DSI and ^DJI 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 | 0.77 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Nov 17, 2006 | 0.86 |
The correlation between DSI and ^DJI shifts across timeframes, from 0.75 (1 year) to 0.86 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
DSI vs. ^DJI — Risk / Return Rank
DSI
^DJI
DSI vs. ^DJI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI KLD 400 Social ETF (DSI) 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.
| DSI | ^DJI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.16 | ||
| Sortino ratioReturn per unit of downside risk | +0.06 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.29 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.25 | 2.04 | +0.21 |
| Martin ratioReturn relative to average drawdown | 9.27 | 7.74 | +1.53 |
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Drawdowns
DSI vs. ^DJI - Drawdown Comparison
The maximum DSI drawdown since its inception was -54.23%, roughly equal to the maximum ^DJI drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for DSI and ^DJI.
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Drawdown Indicators
| DSI | ^DJI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.23% | -53.78% | -0.45% |
Max Drawdown (1Y)Largest decline over 1 year | -11.05% | -10.01% | -1.04% |
Max Drawdown (3Y)Largest decline over 3 years | -20.58% | -16.37% | -4.21% |
Max Drawdown (5Y)Largest decline over 5 years | -28.36% | -21.94% | -6.42% |
Max Drawdown (10Y)Largest decline over 10 years | -34.10% | -37.09% | +2.99% |
Current DrawdownCurrent decline from peak | -3.50% | -0.29% | -3.21% |
Average DrawdownAverage peak-to-trough decline | -7.51% | -8.02% | +0.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.68% | 2.63% | +0.05% |
Volatility
DSI vs. ^DJI - Volatility Comparison
iShares MSCI KLD 400 Social ETF (DSI) has a higher volatility of 5.59% compared to Dow Jones Industrial Average (^DJI) at 4.20%. This indicates that DSI'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.
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Volatility by Period
| DSI | ^DJI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.59% | 4.20% | +1.39% |
Volatility (6M)Calculated over the trailing 6-month period | 11.08% | 9.85% | +1.23% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.79% | 12.45% | +1.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.04% | 14.87% | +3.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.73% | 17.61% | +1.12% |
Frequently Asked Questions
DSI and ^DJI 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.
DSI has higher volatility (5.59%) compared to ^DJI (4.20%). In terms of maximum drawdown, DSI dropped -54.23% vs ^DJI's -53.78%.
DSI currently has the higher Sharpe Ratio (1.81 vs 1.65), 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.
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