Invesco Dow Jones Industrial Average Dividend ETF

10-Year Study

DJD.US · · US · ETF

Executive Summary: Invesco Dow Jones Industrial Average Dividend ETF has compounded at 12.1% annually over the last 10 years, with a maximum drawdown of 23.1% and an annualized volatility of 15.6%.

1Y CAGR
+20.2%
3Y CAGR
+17.3%
5Y CAGR
+9.5%
10Y CAGR
+12.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
23.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.61
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.89
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.4%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +22.4%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -0.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
90%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20264.55.1-4.90.6————————5.2%
20255.02.3-2.4-4.22.53.3-0.23.51.20.93.8-0.515.8%
20240.90.63.8-3.23.1-0.45.73.22.6-3.26.4-5.813.7%
20231.8-3.91.11.7-5.34.73.1-1.0-4.2-1.56.47.29.4%
20220.1-1.94.0-2.73.4-8.32.8-4.4-8.813.87.1-3.6-0.7%
2021-0.35.78.10.82.5-0.80.01.3-3.63.5-3.37.222.4%
2020-3.7-9.9-11.410.63.4-1.71.64.4-1.6-3.412.23.20.9%
20195.13.70.91.8-5.97.01.2-2.12.21.13.12.422.0%
20184.5-5.0-2.22.3-0.10.23.92.02.6-3.43.8-7.70.0%
2017-0.64.9-0.10.70.70.32.11.02.23.23.02.922.3%
2016———2.0-0.41.72.8-0.0-0.90.34.43.113.8%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 15.6%. The dominant macroeconomic risk driver is VTV.US, accounting for 83.9% of variance. Idiosyncratic stock-specific factors contribute 4.3%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110203.383606557376
2016-05-0110165.03606557377
2016-06-0110342.137704918034
2016-07-0110635.698360655739
2016-08-0110631.868852459016
2016-09-0110539.960655737703
2016-10-0110574.845901639344
2016-11-0111037.639344262296
2016-12-0111380.249180327868
2017-01-0111307.278688524591
2017-02-0111855.84262295082
2017-03-0111847.76393442623
2017-04-0111936.262295081968
2017-05-0112022.71475409836
2017-06-0112064.052459016391
2017-07-0112312.86557377049
2017-08-0112442.019672131148
2017-09-0112718.740983606558
2017-10-0113126.71475409836
2017-11-0113524.983606557376
2017-12-0113913.599999999999
2018-01-0114540.64262295082
2018-02-0113811.567213114753
2018-03-0113506.990163934424
2018-04-0113818.281967213115
2018-05-0113806.006557377048
2018-06-0113837.586885245903
2018-07-0114374.819672131147
2018-08-0114657.154098360656
2018-09-0115035.278688524591
2018-10-0114527.999999999998
2018-11-0115086.478688524592
2018-12-0113917.377049180328
2019-01-0114632.445901639343
2019-02-0115176.07868852459
2019-03-0115313.888524590164
2019-04-0115594.334426229509
2019-05-0114671.318032786885
2019-06-0115697.04918032787
2019-07-0115888.104918032786
2019-08-0115561.180327868851
2019-09-0115909.245901639346
2019-10-0116081.836065573769
2019-11-0116583.501639344264
2019-12-0116978.675409836065
2020-01-0116350.00655737705
2020-02-0114739.514754098362
2020-03-0113053.481967213114
2020-04-0114439.868852459016
2020-05-0114929.468852459016
2020-06-0114679.44918032787
2020-07-0114910.426229508195
2020-08-0115562.334426229509
2020-09-0115315.147540983608
2020-10-0114793.495081967212
2020-11-0116602.64918032787
2020-12-0117125.77049180328
2021-01-0117066.70163934426
2021-02-0118047.947540983605
2021-03-0119505.993442622952
2021-04-0119670.137704918034
2021-05-0120160.8393442623
2021-06-0120001.41639344262
2021-07-0120005.980327868852
2021-08-0120274.045901639343
2021-09-0119536.524590163935
2021-10-0120223.265573770495
2021-11-0119550.268852459016
2021-12-0120961.67868852459
2022-01-0120989.37704918033
2022-02-0120587.85573770492
2022-03-0121418.072131147543
2022-04-0120841.495081967216
2022-05-0121552.94426229508
2022-06-0119761.101639344262
2022-07-0120318.740983606556
2022-08-0119432.026229508196
2022-09-0117717.03606557377
2022-10-0120164.983606557376
2022-11-0121587.46229508197
2022-12-0120806.767213114756
2023-01-0121188.039344262295
2023-02-0120363.59344262295
2023-03-0120577.99344262295
2023-04-0120919.501639344264
2023-05-0119808.367213114754
2023-06-0120731.016393442624
2023-07-0121370.859016393446
2023-08-0121163.331147540983
2023-09-0120271.265573770488
2023-10-0119974.242622950816
2023-11-0121244.06557377049
2023-12-0122768.47213114754
2024-01-0122972.118032786882
2024-02-0123109.875409836062
2024-03-0123988.983606557376
2024-04-0123215.16065573771
2024-05-0123924.09180327869
2024-06-0123820.642622950818
2024-07-0125184.15737704918
2024-08-0125981.954098360657
2024-09-0126651.96065573771
2024-10-0125805.639344262294
2024-11-0127464.236065573772
2024-12-0125877.5606557377
2025-01-0127161.44262295082
2025-02-0127799.239344262296
2025-03-0127143.44918032787
2025-04-0126007.396721311474
2025-05-0126646.66229508197
2025-06-0127524.14426229508
2025-07-0127461.92786885246
2025-08-0128424.655737704918
2025-09-0128772.196721311477
2025-10-0129038.740983606556
2025-11-0130132.98360655738
2025-12-0129975.081967213115
2026-01-0131328.524590163935
2026-02-0132937.96721311475
2026-03-0131339.016393442624
2026-04-0131538.360655737706
Annual Return Matrix
YearAnnual Return
20170.22260943319688753
20180.00027146455125404145
20190.2199623068224652
20200.008663519292087862
20210.2239845616614593
2022-0.007390222782807987
20230.0942820620781637
20240.13655235655171127
20250.1583426415645126
20260.05215260763038154
Total Factor Risk
0.15567708765824173
VTI.US Exposure
-0.23766453821359035
VEA.US Exposure
-0.029441454394606707
VWO.US Exposure
-0.0022991990473347334
QQQ.US Exposure
0.09866668533326478
VTV.US Exposure
0.8390704741589654
IJR.US Exposure
-0.0014239789118656334
QUAL.US Exposure
0.035663297392386044
SHV.US Exposure
0.1683338938828847
TLT.US Exposure
-0.012666888260584997
LQD.US Exposure
0.014100160274368782
HYG.US Exposure
0.027704311498986597
GLD.US Exposure
-0.00689333060090118
USO.US Exposure
0.0009551035539008947
VNQ.US Exposure
0.004451198757603943
BTC-USD.CC Exposure
-0.004892325467204657
CPER.US Exposure
-0.0012255448418868446
VIX.INDX Exposure
0.009791612992930254
UUP.US Exposure
0.010951212867083084
TIP.US Exposure
0.04348095536575394
Idiosyncratic Exposure
0.04333835365984669
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
15.6%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$205
Avg Yield on Cost
2.05%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$205.112.05%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-1.3%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+6.0%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
4.3% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.70
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Invesco Dow Jones Industrial Average Dividend ETF a high-risk investment?

Invesco Dow Jones Industrial Average Dividend ETF (DJD.US) has an annualized volatility of 15.6% and experienced a maximum drawdown of 23.1% over the last 10 years. Its primary macro risk driver is VTV.US.

What is the 10-year return of DJD.US?

Over the past 10 years, DJD.US has generated a Compound Annual Growth Rate (CAGR) of 12.1%. It has had a positive return in 90% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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