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IYJ vs. DJD
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

IYJ vs. DJD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares U.S. Industrials ETF (IYJ) and Invesco Dow Jones Industrial Average Dividend ETF (DJD). The values are adjusted to include any dividend payments, if applicable.

0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
14.89%
14.02%
IYJ
DJD

Returns By Period

In the year-to-date period, IYJ achieves a 23.91% return, which is significantly higher than DJD's 18.93% return.


IYJ

YTD

23.91%

1M

3.97%

6M

15.45%

1Y

34.49%

5Y (annualized)

12.36%

10Y (annualized)

11.43%

DJD

YTD

18.93%

1M

2.18%

6M

14.02%

1Y

29.29%

5Y (annualized)

10.42%

10Y (annualized)

N/A

Key characteristics


IYJDJD
Sharpe Ratio2.642.65
Sortino Ratio3.703.95
Omega Ratio1.461.49
Calmar Ratio5.715.45
Martin Ratio15.1116.55
Ulcer Index2.32%1.77%
Daily Std Dev13.26%11.06%
Max Drawdown-61.97%-34.66%
Current Drawdown-1.44%0.00%

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IYJ vs. DJD - Expense Ratio Comparison

IYJ has a 0.42% expense ratio, which is higher than DJD's 0.07% expense ratio.


IYJ
iShares U.S. Industrials ETF
Expense ratio chart for IYJ: current value at 0.42% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.42%
Expense ratio chart for DJD: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Correlation

-0.50.00.51.00.8

The correlation between IYJ and DJD is 0.77, 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.

Risk-Adjusted Performance

IYJ vs. DJD - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares U.S. Industrials ETF (IYJ) and Invesco Dow Jones Industrial Average Dividend ETF (DJD). 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.


Sharpe ratio
The chart of Sharpe ratio for IYJ, currently valued at 2.60, compared to the broader market0.002.004.002.602.65
The chart of Sortino ratio for IYJ, currently valued at 3.65, compared to the broader market-2.000.002.004.006.008.0010.0012.003.653.95
The chart of Omega ratio for IYJ, currently valued at 1.46, compared to the broader market0.501.001.502.002.503.001.461.49
The chart of Calmar ratio for IYJ, currently valued at 5.63, compared to the broader market0.005.0010.0015.005.635.45
The chart of Martin ratio for IYJ, currently valued at 14.87, compared to the broader market0.0020.0040.0060.0080.00100.0014.8716.55
IYJ
DJD

The current IYJ Sharpe Ratio is 2.64, which is comparable to the DJD Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of IYJ and DJD, 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
2.60
2.65
IYJ
DJD

Dividends

IYJ vs. DJD - Dividend Comparison

IYJ's dividend yield for the trailing twelve months is around 0.83%, less than DJD's 2.96% yield.


TTM20232022202120202019201820172016201520142013
IYJ
iShares U.S. Industrials ETF
0.83%1.05%1.05%0.76%1.01%1.32%1.43%1.29%1.38%1.53%1.46%1.14%
DJD
Invesco Dow Jones Industrial Average Dividend ETF
2.96%3.49%3.16%2.82%3.47%2.80%2.66%3.26%3.65%0.16%0.00%0.00%

Drawdowns

IYJ vs. DJD - Drawdown Comparison

The maximum IYJ drawdown since its inception was -61.97%, which is greater than DJD's maximum drawdown of -34.66%. Use the drawdown chart below to compare losses from any high point for IYJ and DJD. For additional features, visit the drawdowns tool.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.44%
0
IYJ
DJD

Volatility

IYJ vs. DJD - Volatility Comparison

iShares U.S. Industrials ETF (IYJ) has a higher volatility of 5.23% compared to Invesco Dow Jones Industrial Average Dividend ETF (DJD) at 3.40%. This indicates that IYJ's price experiences larger fluctuations and is considered to be riskier than DJD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
5.23%
3.40%
IYJ
DJD