^DJUSST vs. STLD
Compare and contrast key facts about Dow Jones U.S. Iron & Steel Index (^DJUSST) and Steel Dynamics, Inc. (STLD).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^DJUSST or STLD.
Key characteristics
| ^DJUSST | STLD | |
|---|---|---|
| YTD Return | -6.42% | 16.86% |
| 1Y Return | 16.92% | 39.61% |
| 3Y Return (Ann) | 15.47% | 31.22% |
| 5Y Return (Ann) | 21.81% | 39.60% |
| 10Y Return (Ann) | 9.72% | 22.82% |
| Sharpe Ratio | 0.68 | 1.20 |
| Sortino Ratio | 1.08 | 1.80 |
| Omega Ratio | 1.14 | 1.21 |
| Calmar Ratio | 0.54 | 1.24 |
| Martin Ratio | 1.12 | 2.89 |
| Ulcer Index | 13.83% | 11.76% |
| Daily Std Dev | 22.91% | 28.25% |
| Max Drawdown | -81.48% | -87.05% |
| Current Drawdown | -18.18% | -7.83% |
Correlation
The correlation between ^DJUSST and STLD is 0.81, 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.
Performance
^DJUSST vs. STLD - Performance Comparison
In the year-to-date period, ^DJUSST achieves a -6.42% return, which is significantly lower than STLD's 16.86% return. Over the past 10 years, ^DJUSST has underperformed STLD with an annualized return of 9.72%, while STLD has yielded a comparatively higher 22.82% 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. STLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Iron & Steel Index (^DJUSST) and Steel Dynamics, Inc. (STLD). 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. STLD - Drawdown Comparison
The maximum ^DJUSST drawdown since its inception was -81.48%, smaller than the maximum STLD drawdown of -87.05%. Use the drawdown chart below to compare losses from any high point for ^DJUSST and STLD. For additional features, visit the drawdowns tool.
Volatility
^DJUSST vs. STLD - Volatility Comparison
The current volatility for Dow Jones U.S. Iron & Steel Index (^DJUSST) is 5.10%, while Steel Dynamics, Inc. (STLD) has a volatility of 7.22%. This indicates that ^DJUSST experiences smaller price fluctuations and is considered to be less risky than STLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.