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Spy
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 Spy, 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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.87%
8.87%
8.87%
Spy
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 Dec 19, 2024, the Spy returned 23.11% Year-To-Date and 11.01% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
Spy24.34%-0.64%8.87%24.74%13.01%11.03%
^GSPC
S&P 500
24.34%-0.64%8.87%24.74%13.01%11.03%
*Annualized

Monthly Returns

The table below presents the monthly returns of Spy, 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%5.73%24.34%
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

Spy 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 Spy is 59, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Spy is 5959
Overall Rank
The Sharpe Ratio Rank of Spy is 5959
Sharpe Ratio Rank
The Sortino Ratio Rank of Spy is 5656
Sortino Ratio Rank
The Omega Ratio Rank of Spy is 6161
Omega Ratio Rank
The Calmar Ratio Rank of Spy is 5656
Calmar Ratio Rank
The Martin Ratio Rank of Spy is 6565
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Spy, currently valued at 2.10, compared to the broader market-6.00-4.00-2.000.002.004.002.102.10
The chart of Sortino ratio for Spy, currently valued at 2.80, compared to the broader market-6.00-4.00-2.000.002.004.006.002.802.80
The chart of Omega ratio for Spy, currently valued at 1.39, compared to the broader market0.400.600.801.001.201.401.601.801.391.39
The chart of Calmar ratio for Spy, currently valued at 3.09, compared to the broader market0.002.004.006.008.0010.0012.003.093.09
The chart of Martin ratio for Spy, currently valued at 13.49, compared to the broader market0.0010.0020.0030.0040.0050.0013.4913.49
Spy
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
^GSPC
S&P 500
2.102.801.393.0913.49

The current Spy Sharpe ratio is 1.90. 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 1.28 to 2.10, 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 Spy 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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.10
2.10
2.10
Spy
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield


Spy 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%JulyAugustSeptemberOctoberNovemberDecember
-2.62%
-2.62%
-2.62%
Spy
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Spy. 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 Spy was 56.78%, occurring on Mar 9, 2009. Recovery took 1021 trading sessions.

The current Spy drawdown is 3.58%.


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 Spy volatility is 3.79%, 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%JulyAugustSeptemberOctoberNovemberDecember
3.79%
3.79%
3.79%
Spy
Benchmark (^GSPC)
Portfolio components
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Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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