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^DJI vs. CLF
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJI and CLF is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

^DJI vs. CLF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Industrial Average (^DJI) and Cleveland-Cliffs Inc. (CLF). The values are adjusted to include any dividend payments, if applicable.

-40.00%-30.00%-20.00%-10.00%0.00%10.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
8.20%
-36.40%
^DJI
CLF

Key characteristics

Sharpe Ratio

^DJI:

1.13

CLF:

-1.25

Sortino Ratio

^DJI:

1.64

CLF:

-2.20

Omega Ratio

^DJI:

1.21

CLF:

0.75

Calmar Ratio

^DJI:

2.10

CLF:

-0.62

Martin Ratio

^DJI:

6.06

CLF:

-1.71

Ulcer Index

^DJI:

2.10%

CLF:

32.67%

Daily Std Dev

^DJI:

11.32%

CLF:

44.83%

Max Drawdown

^DJI:

-53.78%

CLF:

-98.78%

Current Drawdown

^DJI:

-5.94%

CLF:

-90.50%

Returns By Period

In the year-to-date period, ^DJI achieves a 12.34% return, which is significantly higher than CLF's -54.31% return. Over the past 10 years, ^DJI has outperformed CLF with an annualized return of 8.98%, while CLF has yielded a comparatively lower 4.82% annualized return.


^DJI

YTD

12.34%

1M

-2.14%

6M

8.20%

1Y

14.19%

5Y*

8.29%

10Y*

8.98%

CLF

YTD

-54.31%

1M

-18.44%

6M

-36.40%

1Y

-55.17%

5Y*

3.02%

10Y*

4.82%

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Risk-Adjusted Performance

^DJI vs. CLF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) and Cleveland-Cliffs Inc. (CLF). 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 ^DJI, currently valued at 1.13, compared to the broader market0-1.000.001.002.001.13
The chart of Sortino ratio for ^DJI, currently valued at 1.64, compared to the broader market0-1.000.001.002.003.001.64
The chart of Omega ratio for ^DJI, currently valued at 1.21, compared to the broader market00.800.901.001.101.201.301.401.21
The chart of Calmar ratio for ^DJI, currently valued at 2.10, compared to the broader market0.001.002.003.004.002.10-0.62
The chart of Martin ratio for ^DJI, currently valued at 6.06, compared to the broader market00.005.0010.0015.006.06
^DJI
CLF

The current ^DJI Sharpe Ratio is 1.13, which is higher than the CLF Sharpe Ratio of -1.25. The chart below compares the historical Sharpe Ratios of ^DJI and CLF, 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-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
1.13
-1.25
^DJI
CLF

Drawdowns

^DJI vs. CLF - Drawdown Comparison

The maximum ^DJI drawdown since its inception was -53.78%, smaller than the maximum CLF drawdown of -98.78%. Use the drawdown chart below to compare losses from any high point for ^DJI and CLF. For additional features, visit the drawdowns tool.


-100.00%-80.00%-60.00%-40.00%-20.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.94%
-90.50%
^DJI
CLF

Volatility

^DJI vs. CLF - Volatility Comparison

The current volatility for Dow Jones Industrial Average (^DJI) is 3.60%, while Cleveland-Cliffs Inc. (CLF) has a volatility of 15.17%. This indicates that ^DJI experiences smaller price fluctuations and is considered to be less risky than CLF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
3.60%
15.17%
^DJI
CLF
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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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