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SLX vs. ^DJUSST
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between SLX and ^DJUSST is 0.88, 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.


-0.50.00.51.00.9

Performance

SLX vs. ^DJUSST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in VanEck Vectors Steel ETF (SLX) and Dow Jones U.S. Iron & Steel Index (^DJUSST). The values are adjusted to include any dividend payments, if applicable.

-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%15.00%AugustSeptemberOctoberNovemberDecember
-10.20%
-18.97%
SLX
^DJUSST

Key characteristics

Sharpe Ratio

SLX:

-0.90

^DJUSST:

-0.88

Sortino Ratio

SLX:

-1.22

^DJUSST:

-1.29

Omega Ratio

SLX:

0.86

^DJUSST:

0.85

Calmar Ratio

SLX:

-0.97

^DJUSST:

-0.72

Martin Ratio

SLX:

-2.45

^DJUSST:

-1.42

Ulcer Index

SLX:

7.87%

^DJUSST:

17.17%

Daily Std Dev

SLX:

21.40%

^DJUSST:

27.77%

Max Drawdown

SLX:

-82.14%

^DJUSST:

-81.48%

Current Drawdown

SLX:

-19.84%

^DJUSST:

-33.91%

Returns By Period

In the year-to-date period, SLX achieves a -18.64% return, which is significantly higher than ^DJUSST's -24.40% return. Over the past 10 years, SLX has outperformed ^DJUSST with an annualized return of 9.24%, while ^DJUSST has yielded a comparatively lower 8.47% annualized return.


SLX

YTD

-18.64%

1M

-15.85%

6M

-10.02%

1Y

-18.64%

5Y*

13.48%

10Y*

9.24%

^DJUSST

YTD

-24.40%

1M

-21.47%

6M

-18.98%

1Y

-24.40%

5Y*

14.42%

10Y*

8.47%

*Annualized

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Risk-Adjusted Performance

SLX vs. ^DJUSST - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for VanEck Vectors Steel ETF (SLX) and Dow Jones U.S. Iron & Steel Index (^DJUSST). 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 SLX, currently valued at -0.87, compared to the broader market0.002.004.00-0.87-0.88
The chart of Sortino ratio for SLX, currently valued at -1.17, compared to the broader market-2.000.002.004.006.008.0010.00-1.17-1.29
The chart of Omega ratio for SLX, currently valued at 0.86, compared to the broader market0.501.001.502.002.503.000.860.85
The chart of Calmar ratio for SLX, currently valued at -0.94, compared to the broader market0.005.0010.0015.00-0.94-0.72
The chart of Martin ratio for SLX, currently valued at -2.43, compared to the broader market0.0020.0040.0060.0080.00100.00-2.43-1.42
SLX
^DJUSST

The current SLX Sharpe Ratio is -0.90, which is comparable to the ^DJUSST Sharpe Ratio of -0.88. The chart below compares the historical Sharpe Ratios of SLX and ^DJUSST, 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 Ratio-1.00-0.500.000.501.00AugustSeptemberOctoberNovemberDecember
-0.87
-0.88
SLX
^DJUSST

Drawdowns

SLX vs. ^DJUSST - Drawdown Comparison

The maximum SLX drawdown since its inception was -82.14%, roughly equal to the maximum ^DJUSST drawdown of -81.48%. Use the drawdown chart below to compare losses from any high point for SLX and ^DJUSST. For additional features, visit the drawdowns tool.


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember
-19.84%
-33.91%
SLX
^DJUSST

Volatility

SLX vs. ^DJUSST - Volatility Comparison

The current volatility for VanEck Vectors Steel ETF (SLX) is 5.70%, while Dow Jones U.S. Iron & Steel Index (^DJUSST) has a volatility of 6.81%. This indicates that SLX experiences smaller price fluctuations and is considered to be less risky than ^DJUSST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%AugustSeptemberOctoberNovemberDecember
5.70%
6.81%
SLX
^DJUSST
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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