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

Correlation

The correlation between ^DJUSST and VOO is 0.62, 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

^DJUSST vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dow Jones U.S. Iron & Steel Index (^DJUSST) and Vanguard S&P 500 ETF (VOO). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

^DJUSST:

-0.60

VOO:

0.58

Sortino Ratio

^DJUSST:

-0.74

VOO:

0.96

Omega Ratio

^DJUSST:

0.91

VOO:

1.14

Calmar Ratio

^DJUSST:

-0.52

VOO:

0.62

Martin Ratio

^DJUSST:

-1.32

VOO:

2.36

Ulcer Index

^DJUSST:

15.29%

VOO:

4.90%

Daily Std Dev

^DJUSST:

33.69%

VOO:

19.45%

Max Drawdown

^DJUSST:

-81.48%

VOO:

-33.99%

Current Drawdown

^DJUSST:

-30.47%

VOO:

-4.62%

Returns By Period

In the year-to-date period, ^DJUSST achieves a 3.72% return, which is significantly higher than VOO's -0.22% return. Over the past 10 years, ^DJUSST has underperformed VOO with an annualized return of 9.16%, while VOO has yielded a comparatively higher 12.59% annualized return.


^DJUSST

YTD

3.72%

1M

9.98%

6M

-14.48%

1Y

-20.23%

3Y*

4.96%

5Y*

24.83%

10Y*

9.16%

VOO

YTD

-0.22%

1M

13.42%

6M

-0.65%

1Y

11.15%

3Y*

16.14%

5Y*

16.32%

10Y*

12.59%

*Annualized

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Dow Jones U.S. Iron & Steel Index

Vanguard S&P 500 ETF

Risk-Adjusted Performance

^DJUSST vs. VOO — 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 22
Overall Rank
The Sharpe Ratio Rank of ^DJUSST is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJUSST is 22
Sortino Ratio Rank
The Omega Ratio Rank of ^DJUSST is 33
Omega Ratio Rank
The Calmar Ratio Rank of ^DJUSST is 11
Calmar Ratio Rank
The Martin Ratio Rank of ^DJUSST is 22
Martin Ratio Rank

VOO
The Risk-Adjusted Performance Rank of VOO is 5959
Overall Rank
The Sharpe Ratio Rank of VOO is 5656
Sharpe Ratio Rank
The Sortino Ratio Rank of VOO is 5757
Sortino Ratio Rank
The Omega Ratio Rank of VOO is 6161
Omega Ratio Rank
The Calmar Ratio Rank of VOO is 6262
Calmar Ratio Rank
The Martin Ratio Rank of VOO is 6161
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. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Dow Jones U.S. Iron & Steel Index (^DJUSST) and Vanguard S&P 500 ETF (VOO). 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 current ^DJUSST Sharpe Ratio is -0.60, which is lower than the VOO Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of ^DJUSST and VOO, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Drawdowns

^DJUSST vs. VOO - Drawdown Comparison

The maximum ^DJUSST drawdown since its inception was -81.48%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for ^DJUSST and VOO. For additional features, visit the drawdowns tool.


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Volatility

^DJUSST vs. VOO - Volatility Comparison

Dow Jones U.S. Iron & Steel Index (^DJUSST) has a higher volatility of 7.32% compared to Vanguard S&P 500 ETF (VOO) at 4.80%. This indicates that ^DJUSST's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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