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^DJUSST vs. STLD
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^DJUSST and STLD is 0.53, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

^DJUSST vs. STLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Iron & Steel Index (^DJUSST) and Steel Dynamics, Inc. (STLD). The values are adjusted to include any dividend payments, if applicable.

0.00%1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%NovemberDecember2025FebruaryMarchApril
467.47%
5,185.35%
^DJUSST
STLD

Key characteristics

Sharpe Ratio

^DJUSST:

-0.62

STLD:

-0.10

Sortino Ratio

^DJUSST:

-0.77

STLD:

0.14

Omega Ratio

^DJUSST:

0.91

STLD:

1.02

Calmar Ratio

^DJUSST:

-0.54

STLD:

-0.13

Martin Ratio

^DJUSST:

-1.39

STLD:

-0.26

Ulcer Index

^DJUSST:

14.97%

STLD:

13.89%

Daily Std Dev

^DJUSST:

33.57%

STLD:

37.74%

Max Drawdown

^DJUSST:

-81.48%

STLD:

-87.05%

Current Drawdown

^DJUSST:

-30.72%

STLD:

-16.81%

Returns By Period

In the year-to-date period, ^DJUSST achieves a 3.34% return, which is significantly lower than STLD's 12.09% return. Over the past 10 years, ^DJUSST has underperformed STLD with an annualized return of 9.12%, while STLD has yielded a comparatively higher 21.81% annualized return.


^DJUSST

YTD

3.34%

1M

-1.58%

6M

-10.36%

1Y

-20.77%

5Y*

24.78%

10Y*

9.12%

STLD

YTD

12.09%

1M

3.13%

6M

-0.93%

1Y

-3.52%

5Y*

41.64%

10Y*

21.81%

*Annualized

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Risk-Adjusted Performance

^DJUSST vs. STLD — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^DJUSST
The Risk-Adjusted Performance Rank of ^DJUSST is 44
Overall Rank
The Sharpe Ratio Rank of ^DJUSST is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSST is 44
Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSST is 44
Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSST is 22
Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSST is 44
Martin Ratio Rank

STLD
The Risk-Adjusted Performance Rank of STLD is 4444
Overall Rank
The Sharpe Ratio Rank of STLD is 4747
Sharpe Ratio Rank
The Sortino Ratio Rank of STLD is 4242
Sortino Ratio Rank
The Omega Ratio Rank of STLD is 4141
Omega Ratio Rank
The Calmar Ratio Rank of STLD is 4444
Calmar Ratio Rank
The Martin Ratio Rank of STLD is 4747
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^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.


The chart of Sharpe ratio for ^DJUSST, currently valued at -0.62, compared to the broader market-0.500.000.501.001.50
^DJUSST: -0.62
STLD: -0.01
The chart of Sortino ratio for ^DJUSST, currently valued at -0.77, compared to the broader market-1.00-0.500.000.501.001.502.00
^DJUSST: -0.77
STLD: 0.27
The chart of Omega ratio for ^DJUSST, currently valued at 0.91, compared to the broader market0.901.001.101.201.30
^DJUSST: 0.91
STLD: 1.03
The chart of Calmar ratio for ^DJUSST, currently valued at -0.54, compared to the broader market-0.500.000.501.00
^DJUSST: -0.54
STLD: -0.02
The chart of Martin ratio for ^DJUSST, currently valued at -1.39, compared to the broader market0.002.004.006.00
^DJUSST: -1.39
STLD: -0.03

The current ^DJUSST Sharpe Ratio is -0.62, which is lower than the STLD Sharpe Ratio of -0.10. The chart below compares the historical Sharpe Ratios of ^DJUSST and STLD, 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-1.00-0.500.000.501.00NovemberDecember2025FebruaryMarchApril
-0.62
-0.01
^DJUSST
STLD

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.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-30.72%
-16.81%
^DJUSST
STLD

Volatility

^DJUSST vs. STLD - Volatility Comparison

The current volatility for Dow Jones U.S. Iron & Steel Index (^DJUSST) is 18.12%, while Steel Dynamics, Inc. (STLD) has a volatility of 19.17%. 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.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%20.00%NovemberDecember2025FebruaryMarchApril
18.12%
19.17%
^DJUSST
STLD