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S&P 500 Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Asset Allocation


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

Performance

Performance Chart

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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
14.17%
13.50%
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 By Period

As of Oct 12, 2024, the S&P 500 Portfolio returned 23.09% Year-To-Date and 13.96% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
21.91%4.70%13.50%33.69%14.40%11.99%
S&P 500 Portfolio23.09%4.86%14.17%35.46%16.17%13.96%
SPY
SPDR S&P 500 ETF
23.09%4.86%14.17%35.46%16.17%13.96%

Monthly Returns

The table below presents the monthly returns of S&P 500 Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.59%5.22%3.27%-4.03%5.06%3.53%1.21%2.34%2.10%23.09%
20236.29%-2.51%3.71%1.60%0.46%6.48%3.27%-1.63%-4.74%-2.17%9.13%4.57%26.18%
2022-5.27%-2.95%3.76%-8.78%0.23%-8.25%9.21%-4.08%-9.24%8.13%5.56%-5.76%-18.18%
2021-1.02%2.78%4.54%5.29%0.66%2.24%2.44%2.98%-4.66%7.02%-0.80%4.63%28.73%
2020-0.04%-7.92%-12.49%12.70%4.76%1.77%5.89%6.98%-3.74%-2.49%10.88%3.70%18.33%
20198.01%3.24%1.81%4.09%-6.38%6.96%1.51%-1.67%1.95%2.21%3.62%2.91%31.22%
20185.64%-3.64%-2.74%0.52%2.43%0.57%3.70%3.19%0.59%-6.91%1.85%-8.80%-4.57%
20171.79%3.93%0.13%0.99%1.41%0.64%2.06%0.29%2.01%2.36%3.06%1.21%21.71%
2016-4.98%-0.08%6.73%0.39%1.70%0.35%3.65%0.12%0.01%-1.73%3.68%2.03%12.00%
2015-2.96%5.62%-1.57%0.98%1.29%-2.03%2.26%-6.10%-2.55%8.51%0.37%-1.73%1.23%
2014-3.52%4.55%0.83%0.70%2.32%2.06%-1.34%3.95%-1.38%2.36%2.75%-0.25%13.46%
20135.12%1.28%3.80%1.92%2.36%-1.33%5.17%-3.00%3.16%4.63%2.96%2.59%32.31%

Expense Ratio

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


Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of S&P 500 Portfolio is 69, 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 S&P 500 Portfolio is 6969
S&P 500 Portfolio
The Sharpe Ratio Rank of S&P 500 Portfolio is 7575Sharpe Ratio Rank
The Sortino Ratio Rank of S&P 500 Portfolio is 6666Sortino Ratio Rank
The Omega Ratio Rank of S&P 500 Portfolio is 7070Omega Ratio Rank
The Calmar Ratio Rank of S&P 500 Portfolio is 6565Calmar Ratio Rank
The Martin Ratio Rank of S&P 500 Portfolio is 6868Martin 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.


S&P 500 Portfolio
Sharpe ratio
The chart of Sharpe ratio for S&P 500 Portfolio, currently valued at 2.79, compared to the broader market0.002.004.002.79
Sortino ratio
The chart of Sortino ratio for S&P 500 Portfolio, currently valued at 3.73, compared to the broader market-2.000.002.004.006.003.73
Omega ratio
The chart of Omega ratio for S&P 500 Portfolio, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.801.51
Calmar ratio
The chart of Calmar ratio for S&P 500 Portfolio, currently valued at 2.97, compared to the broader market0.002.004.006.008.0010.0012.002.97
Martin ratio
The chart of Martin ratio for S&P 500 Portfolio, currently valued at 17.29, compared to the broader market0.0010.0020.0030.0040.0050.0017.29
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.63, compared to the broader market0.002.004.002.63
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.52, compared to the broader market-2.000.002.004.006.003.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.48, compared to the broader market0.801.001.201.401.601.801.48
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.32, compared to the broader market0.002.004.006.008.0010.0012.002.32
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.07, compared to the broader market0.0010.0020.0030.0040.0050.0016.07

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF
2.793.731.512.9717.29

Sharpe Ratio

The current S&P 500 Portfolio Sharpe ratio is 2.79. 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 2.12 to 2.90, 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 S&P 500 Portfolio 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 Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.79
2.63
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

S&P 500 Portfolio granted a 1.21% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
S&P 500 Portfolio1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
SPY
SPDR S&P 500 ETF
1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

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%MayJuneJulyAugustSeptemberOctober00
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, 2022294Dec 13, 2023489
-19.35%Sep 21, 201865Dec 24, 201875Apr 12, 2019140

Volatility

Volatility Chart

The current S&P 500 Portfolio volatility is 2.77%, 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%MayJuneJulyAugustSeptemberOctober
2.77%
2.82%
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components