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100Sp500
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


^GSPC 100%EquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500
100%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 100Sp500, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
12.76%
12.76%
12.76%
100Sp500
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 2, 1970, corresponding to the inception date of ^GSPC

Returns By Period

As of Nov 14, 2024, the 100Sp500 returned 25.48% Year-To-Date and 11.39% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
25.48%2.14%12.76%33.14%13.96%11.39%
100Sp50025.48%2.14%12.76%33.14%13.96%11.39%
^GSPC
S&P 500
25.48%2.14%12.76%33.14%13.96%11.39%

Monthly Returns

The table below presents the monthly returns of 100Sp500, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.59%5.17%3.10%-4.16%4.80%3.47%1.13%2.28%2.02%-0.99%25.48%
20236.18%-2.61%3.51%1.46%0.25%6.47%3.11%-1.77%-4.87%-2.20%8.92%4.42%24.23%
2022-5.26%-3.14%3.58%-8.80%0.01%-8.39%9.11%-4.24%-9.34%7.99%5.38%-5.90%-19.44%
2021-1.11%2.61%4.24%5.24%0.55%2.22%2.27%2.90%-4.76%6.91%-0.83%4.36%26.89%
2020-0.16%-8.41%-12.51%12.68%4.53%1.84%5.51%7.01%-3.92%-2.77%10.75%3.71%16.26%
20197.87%2.97%1.79%3.93%-6.58%6.89%1.31%-1.81%1.72%2.04%3.40%2.86%28.88%
20185.62%-3.89%-2.69%0.27%2.16%0.48%3.60%3.03%0.43%-6.94%1.79%-9.18%-6.24%
20171.79%3.72%-0.04%0.91%1.16%0.48%1.93%0.05%1.93%2.22%2.81%0.98%19.42%
2016-5.07%-0.41%6.60%0.27%1.53%0.09%3.56%-0.12%-0.12%-1.94%3.42%1.82%9.54%
2015-3.10%5.49%-1.74%0.85%1.05%-2.10%1.97%-6.26%-2.64%8.30%0.05%-1.75%-0.73%
2014-3.56%4.31%0.69%0.62%2.10%1.91%-1.51%3.77%-1.55%2.32%2.45%-0.42%11.39%
20135.04%1.11%3.60%1.81%2.08%-1.50%4.95%-3.13%2.97%4.46%2.80%2.36%29.60%

Expense Ratio

100Sp500 has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 100Sp500 is 73, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of 100Sp500 is 7373
Combined Rank
The Sharpe Ratio Rank of 100Sp500 is 7373Sharpe Ratio Rank
The Sortino Ratio Rank of 100Sp500 is 7070Sortino Ratio Rank
The Omega Ratio Rank of 100Sp500 is 7777Omega Ratio Rank
The Calmar Ratio Rank of 100Sp500 is 7272Calmar Ratio Rank
The Martin Ratio Rank of 100Sp500 is 7373Martin 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.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. 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.


100Sp500
Sharpe ratio
The chart of Sharpe ratio for 100Sp500, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for 100Sp500, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for 100Sp500, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for 100Sp500, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for 100Sp500, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
^GSPC
S&P 500
2.913.881.554.2018.80

Sharpe Ratio

The current 100Sp500 Sharpe ratio is 2.91. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.06 to 2.97, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of 100Sp500 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.91
2.91
2.91
100Sp500
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


100Sp500 doesn't pay dividends

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.27%
-0.27%
-0.27%
100Sp500
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 100Sp500. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the 100Sp500 was 56.78%, occurring on Mar 9, 2009. Recovery took 1021 trading sessions.

The current 100Sp500 drawdown is 0.27%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-56.78%Oct 10, 2007355Mar 9, 20091021Mar 28, 20131376
-49.15%Mar 27, 2000637Oct 9, 20021166May 30, 20071803
-48.2%Jan 12, 1973436Oct 3, 19741462Jul 17, 19801898
-33.92%Feb 20, 202023Mar 23, 2020103Aug 18, 2020126
-33.51%Aug 26, 198771Dec 4, 1987414Jul 26, 1989485

Volatility

Volatility Chart

The current 100Sp500 volatility is 3.75%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.75%
3.75%
3.75%
100Sp500
Benchmark (^GSPC)
Portfolio components