^DJT vs. USMV
Compare and contrast key facts about Dow Jones Transportation Average (^DJT) and iShares Edge MSCI Min Vol USA ETF (USMV).
USMV is a passively managed fund by iShares that tracks the performance of the MSCI USA Minimum Volatility Index. It was launched on Oct 18, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJT or USMV.
Key characteristics
| ^DJT | USMV | |
|---|---|---|
| YTD Return | 0.91% | 17.97% |
| 1Y Return | 2.03% | 24.26% |
| 3Y Return (Ann) | 3.06% | 7.36% |
| 5Y Return (Ann) | 9.66% | 9.38% |
| 10Y Return (Ann) | 6.55% | 11.24% |
| Sharpe Ratio | 0.04 | 2.72 |
| Daily Std Dev | 17.61% | 8.65% |
| Max Drawdown | -60.92% | -33.10% |
| Current Drawdown | -5.84% | 0.00% |
Correlation
The correlation between ^DJT and USMV is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
^DJT vs. USMV - Performance Comparison
In the year-to-date period, ^DJT achieves a 0.91% return, which is significantly lower than USMV's 17.97% return. Over the past 10 years, ^DJT has underperformed USMV with an annualized return of 6.55%, while USMV has yielded a comparatively higher 11.24% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^DJT vs. USMV - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones Transportation Average (^DJT) and iShares Edge MSCI Min Vol USA ETF (USMV). 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.
Drawdowns
^DJT vs. USMV - Drawdown Comparison
The maximum ^DJT drawdown since its inception was -60.92%, which is greater than USMV's maximum drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for ^DJT and USMV. For additional features, visit the drawdowns tool.
Volatility
^DJT vs. USMV - Volatility Comparison
Dow Jones Transportation Average (^DJT) has a higher volatility of 5.34% compared to iShares Edge MSCI Min Vol USA ETF (USMV) at 3.18%. This indicates that ^DJT's price experiences larger fluctuations and is considered to be riskier than USMV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.