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S&P 500 Portfolio

Last updated Dec 9, 2023

The S&P 500 Portfolio is an excellent choice for those who want to invest in the 500 biggest U.S. companies. The portfolio is conventionally used as a representation of the overall U.S. stock market and as a benchmark for other investments.

Asset Allocation


SPY 100%EquityEquity
PositionCategory/SectorWeight
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities100%

Performance

The chart shows the growth of an initial investment of $10,000 in S&P 500 Portfolio, 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


800.00%1,000.00%1,200.00%1,400.00%1,600.00%1,800.00%JulyAugustSeptemberOctoberNovemberDecember
1,745.45%
949.36%
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 29, 1993, corresponding to the inception date of SPY

Returns

As of Dec 9, 2023, the S&P 500 Portfolio returned 21.67% Year-To-Date and 11.83% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
S&P 500 Portfolio21.67%4.45%7.82%18.86%13.66%12.01%
SPY
SPDR S&P 500 ETF
21.67%5.25%7.82%17.97%13.69%11.83%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20230.46%6.48%3.27%-1.63%-4.74%-2.17%9.13%

Sharpe Ratio

The current S&P 500 Portfolio Sharpe ratio is 1.38. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.001.38

The Sharpe ratio of S&P 500 Portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
1.38
1.25
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

S&P 500 Portfolio granted a 1.41% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
S&P 500 Portfolio1.41%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%2.18%
SPY
SPDR S&P 500 ETF
1.41%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%2.18%

Expense Ratio

The S&P 500 Portfolio has an expense ratio of 0.09% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.09%
0.00%2.15%

Risk-Adjusted Performance

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SPY
SPDR S&P 500 ETF
1.38

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JulyAugustSeptemberOctoberNovemberDecember
-1.02%
-4.01%
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the S&P 500 Portfolio. 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 S&P 500 Portfolio was 55.19%, occurring on Mar 9, 2009. Recovery took 869 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-55.19%Oct 10, 2007355Mar 9, 2009869Aug 16, 20121224
-47.52%Mar 27, 2000637Oct 9, 20021020Oct 26, 20061657
-33.72%Feb 20, 202023Mar 23, 202097Aug 10, 2020120
-24.5%Jan 4, 2022195Oct 12, 2022
-19.35%Sep 21, 201865Dec 24, 201875Apr 12, 2019140

Volatility Chart

The current S&P 500 Portfolio volatility is 2.78%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.78%
2.77%
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components
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