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

Correlation

The correlation between ^DJI and XLV is 0.73, 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.


-0.50.00.51.00.7

Performance

^DJI vs. XLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones Industrial Average (^DJI) and Health Care Select Sector SPDR Fund (XLV). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
8.20%
-5.10%
^DJI
XLV

Key characteristics

Sharpe Ratio

^DJI:

1.13

XLV:

0.46

Sortino Ratio

^DJI:

1.64

XLV:

0.70

Omega Ratio

^DJI:

1.21

XLV:

1.09

Calmar Ratio

^DJI:

2.10

XLV:

0.39

Martin Ratio

^DJI:

6.06

XLV:

1.35

Ulcer Index

^DJI:

2.10%

XLV:

3.74%

Daily Std Dev

^DJI:

11.32%

XLV:

10.89%

Max Drawdown

^DJI:

-53.78%

XLV:

-39.17%

Current Drawdown

^DJI:

-5.94%

XLV:

-11.99%

Returns By Period

In the year-to-date period, ^DJI achieves a 12.34% return, which is significantly higher than XLV's 2.23% return. Both investments have delivered pretty close results over the past 10 years, with ^DJI having a 8.98% annualized return and XLV not far behind at 8.78%.


^DJI

YTD

12.34%

1M

-2.14%

6M

8.20%

1Y

14.19%

5Y*

8.29%

10Y*

8.98%

XLV

YTD

2.23%

1M

-2.37%

6M

-5.10%

1Y

5.05%

5Y*

7.82%

10Y*

8.78%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^DJI vs. XLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones Industrial Average (^DJI) and Health Care Select Sector SPDR Fund (XLV). 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 1.26, compared to the broader market-1.000.001.002.001.260.46
The chart of Sortino ratio for ^DJI, currently valued at 1.83, compared to the broader market-1.000.001.002.003.001.830.70
The chart of Omega ratio for ^DJI, currently valued at 1.24, compared to the broader market0.800.901.001.101.201.301.401.241.09
The chart of Calmar ratio for ^DJI, currently valued at 2.34, compared to the broader market0.001.002.003.004.002.340.39
The chart of Martin ratio for ^DJI, currently valued at 6.64, compared to the broader market0.005.0010.0015.006.641.35
^DJI
XLV

The current ^DJI Sharpe Ratio is 1.13, which is higher than the XLV Sharpe Ratio of 0.46. The chart below compares the historical Sharpe Ratios of ^DJI and XLV, 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 Ratio0.501.001.502.002.503.00JulyAugustSeptemberOctoberNovemberDecember
1.26
0.46
^DJI
XLV

Drawdowns

^DJI vs. XLV - Drawdown Comparison

The maximum ^DJI drawdown since its inception was -53.78%, which is greater than XLV's maximum drawdown of -39.17%. Use the drawdown chart below to compare losses from any high point for ^DJI and XLV. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-5.94%
-11.99%
^DJI
XLV

Volatility

^DJI vs. XLV - Volatility Comparison

Dow Jones Industrial Average (^DJI) and Health Care Select Sector SPDR Fund (XLV) have volatilities of 3.57% and 3.41%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.57%
3.41%
^DJI
XLV
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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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