^XBD vs. ^DJI
Compare and contrast key facts about NYSE Arca Securities Broker/Dealer Index (^XBD) and Dow Jones Industrial Average (^DJI).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^XBD or ^DJI.
Key characteristics
| ^XBD | ^DJI | |
|---|---|---|
| YTD Return | 34.29% | 14.82% |
| 1Y Return | 60.85% | 29.51% |
| 3Y Return (Ann) | 14.66% | 6.89% |
| 5Y Return (Ann) | 23.79% | 10.10% |
| 10Y Return (Ann) | 16.40% | 10.07% |
| Sharpe Ratio | 3.61 | 2.67 |
| Sortino Ratio | 4.45 | 3.64 |
| Omega Ratio | 1.60 | 1.49 |
| Calmar Ratio | 4.51 | 2.40 |
| Martin Ratio | 26.87 | 14.85 |
| Ulcer Index | 2.18% | 1.92% |
| Daily Std Dev | 16.21% | 10.71% |
| Max Drawdown | -80.20% | -53.78% |
| Current Drawdown | -0.07% | 0.00% |
Correlation
The correlation between ^XBD and ^DJI is 0.73, 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
^XBD vs. ^DJI - Performance Comparison
In the year-to-date period, ^XBD achieves a 34.29% return, which is significantly higher than ^DJI's 14.82% return. Over the past 10 years, ^XBD has outperformed ^DJI with an annualized return of 16.40%, while ^DJI has yielded a comparatively lower 10.07% 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
^XBD vs. ^DJI - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for NYSE Arca Securities Broker/Dealer Index (^XBD) 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.
Drawdowns
^XBD vs. ^DJI - Drawdown Comparison
The maximum ^XBD drawdown since its inception was -80.20%, which is greater than ^DJI's maximum drawdown of -53.78%. Use the drawdown chart below to compare losses from any high point for ^XBD and ^DJI. For additional features, visit the drawdowns tool.
Volatility
^XBD vs. ^DJI - Volatility Comparison
NYSE Arca Securities Broker/Dealer Index (^XBD) has a higher volatility of 3.37% compared to Dow Jones Industrial Average (^DJI) at 2.55%. This indicates that ^XBD'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.