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^SIXRE vs. ^DJI
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SIXRE and ^DJI is 0.57, 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.


-0.50.00.51.00.6

Performance

^SIXRE vs. ^DJI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Real Estate Select Sector Index (^SIXRE) and Dow Jones Industrial Average (^DJI). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2025February
-0.35%
14.25%
^SIXRE
^DJI

Key characteristics

Sharpe Ratio

^SIXRE:

0.40

^DJI:

1.31

Sortino Ratio

^SIXRE:

0.64

^DJI:

1.91

Omega Ratio

^SIXRE:

1.08

^DJI:

1.24

Calmar Ratio

^SIXRE:

0.21

^DJI:

2.23

Martin Ratio

^SIXRE:

1.28

^DJI:

6.07

Ulcer Index

^SIXRE:

5.16%

^DJI:

2.51%

Daily Std Dev

^SIXRE:

16.48%

^DJI:

11.62%

Max Drawdown

^SIXRE:

-38.93%

^DJI:

-53.78%

Current Drawdown

^SIXRE:

-19.85%

^DJI:

-1.02%

Returns By Period

In the year-to-date period, ^SIXRE achieves a 1.53% return, which is significantly lower than ^DJI's 4.73% return. Over the past 10 years, ^SIXRE has underperformed ^DJI with an annualized return of 2.86%, while ^DJI has yielded a comparatively higher 9.62% annualized return.


^SIXRE

YTD

1.53%

1M

1.19%

6M

-0.35%

1Y

10.17%

5Y*

0.99%

10Y*

2.86%

^DJI

YTD

4.73%

1M

4.27%

6M

14.25%

1Y

16.09%

5Y*

8.71%

10Y*

9.62%

*Annualized

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Risk-Adjusted Performance

^SIXRE vs. ^DJI — Risk-Adjusted Performance Rank

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

^SIXRE
The Risk-Adjusted Performance Rank of ^SIXRE is 2222
Overall Rank
The Sharpe Ratio Rank of ^SIXRE is 2626
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SIXRE is 2020
Sortino Ratio Rank
The Omega Ratio Rank of ^SIXRE is 2020
Omega Ratio Rank
The Calmar Ratio Rank of ^SIXRE is 1717
Calmar Ratio Rank
The Martin Ratio Rank of ^SIXRE is 2828
Martin Ratio Rank

^DJI
The Risk-Adjusted Performance Rank of ^DJI is 6464
Overall Rank
The Sharpe Ratio Rank of ^DJI is 6060
Sharpe Ratio Rank
The Sortino Ratio Rank of ^DJI is 6464
Sortino Ratio Rank
The Omega Ratio Rank of ^DJI is 5858
Omega Ratio Rank
The Calmar Ratio Rank of ^DJI is 7676
Calmar Ratio Rank
The Martin Ratio Rank of ^DJI 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.

^SIXRE vs. ^DJI - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Real Estate Select Sector Index (^SIXRE) and Dow Jones Industrial Average (^DJI). 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.


Sharpe ratio
The chart of Sharpe ratio for ^SIXRE, currently valued at 0.48, compared to the broader market-0.500.000.501.001.502.002.500.481.31
The chart of Sortino ratio for ^SIXRE, currently valued at 0.75, compared to the broader market-1.000.001.002.003.000.751.91
The chart of Omega ratio for ^SIXRE, currently valued at 1.10, compared to the broader market1.001.201.401.601.101.24
The chart of Calmar ratio for ^SIXRE, currently valued at 0.26, compared to the broader market0.001.002.003.004.000.262.23
The chart of Martin ratio for ^SIXRE, currently valued at 1.54, compared to the broader market0.005.0010.0015.0020.001.546.07
^SIXRE
^DJI

The current ^SIXRE Sharpe Ratio is 0.40, which is lower than the ^DJI Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of ^SIXRE and ^DJI, 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-0.500.000.501.001.502.002.503.00SeptemberOctoberNovemberDecember2025February
0.48
1.31
^SIXRE
^DJI

Drawdowns

^SIXRE vs. ^DJI - Drawdown Comparison

The maximum ^SIXRE drawdown since its inception was -38.93%, smaller than the maximum ^DJI drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for ^SIXRE and ^DJI. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2025February
-19.85%
-1.02%
^SIXRE
^DJI

Volatility

^SIXRE vs. ^DJI - Volatility Comparison

Real Estate Select Sector Index (^SIXRE) has a higher volatility of 5.70% compared to Dow Jones Industrial Average (^DJI) at 3.36%. This indicates that ^SIXRE's price experiences larger fluctuations and is considered to be riskier than ^DJI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%SeptemberOctoberNovemberDecember2025February
5.70%
3.36%
^SIXRE
^DJI
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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