^DJUSST vs. MAGN.ME
Compare and contrast key facts about Dow Jones U.S. Iron & Steel Index (^DJUSST) and Public Joint Stock Company Magnitogorsk Iron & Steel Works (MAGN.ME).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJUSST or MAGN.ME.
Key characteristics
| ^DJUSST | MAGN.ME | |
|---|---|---|
| YTD Return | -6.42% | -17.52% |
| 1Y Return | 16.92% | -19.19% |
| 3Y Return (Ann) | 15.47% | -13.51% |
| 5Y Return (Ann) | 21.81% | 9.01% |
| 10Y Return (Ann) | 9.72% | 26.07% |
| Sharpe Ratio | 0.68 | -0.79 |
| Sortino Ratio | 1.08 | -1.00 |
| Omega Ratio | 1.14 | 0.87 |
| Calmar Ratio | 0.54 | -0.48 |
| Martin Ratio | 1.12 | -1.54 |
| Ulcer Index | 13.83% | 12.53% |
| Daily Std Dev | 22.91% | 24.27% |
| Max Drawdown | -81.48% | -87.40% |
| Current Drawdown | -18.18% | -40.49% |
Correlation
The correlation between ^DJUSST and MAGN.ME is 0.21, 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.
Performance
^DJUSST vs. MAGN.ME - Performance Comparison
In the year-to-date period, ^DJUSST achieves a -6.42% return, which is significantly higher than MAGN.ME's -17.52% return. Over the past 10 years, ^DJUSST has underperformed MAGN.ME with an annualized return of 9.72%, while MAGN.ME has yielded a comparatively higher 26.07% 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
^DJUSST vs. MAGN.ME - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Iron & Steel Index (^DJUSST) and Public Joint Stock Company Magnitogorsk Iron & Steel Works (MAGN.ME). 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
^DJUSST vs. MAGN.ME - Drawdown Comparison
The maximum ^DJUSST drawdown since its inception was -81.48%, smaller than the maximum MAGN.ME drawdown of -87.40%. Use the drawdown chart below to compare losses from any high point for ^DJUSST and MAGN.ME. For additional features, visit the drawdowns tool.
Volatility
^DJUSST vs. MAGN.ME - Volatility Comparison
The current volatility for Dow Jones U.S. Iron & Steel Index (^DJUSST) is 5.10%, while Public Joint Stock Company Magnitogorsk Iron & Steel Works (MAGN.ME) has a volatility of 11.11%. This indicates that ^DJUSST experiences smaller price fluctuations and is considered to be less risky than MAGN.ME based on this measure. The chart below showcases a comparison of their rolling one-month volatility.