S&P 500 - Russel 2000

The chart shows the growth of an initial investment of $10,000 in S&P 500 - Russel 2000, 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 when any position deviates by more than 0.0% from its target allocation.

As of Apr 2, 2026, the S&P 500 - Russel 2000 returned -6.14% Year-To-Date and 1.95% of annualized return in the last 10 years.

Based on dividend-adjusted daily data since May 27, 2000, S&P 500 - Russel 2000's average daily return is 0.00%, while the average monthly return is -0.10%.

Historically, 50% of months were positive and 50% were negative. The best month was Mar 2020 with a return of +10.5%, while the worst month was Jul 2024 at -8.6%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 6 months.

On a daily basis, S&P 500 - Russel 2000 closed higher 34% of trading days. The best single day was Oct 13, 2008 with a return of +5.9%, while the worst single day was Oct 10, 2008 at -7.4%.

S&P 500 - Russel 2000 has an annualized alpha of -0.17%, beta of -0.12, and R² of 0.04 versus S&P 500 Index. Calculated based on daily prices since May 27, 2000.

• This portfolio tended to rise when S&P 500 Index fell (downside capture of -25.50%), but participation in market rallies was also limited (-17.31%) — a profile typical of counter-cyclical assets.
• Beta of -0.12 may look defensive, but with R² of 0.04 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
• R² of 0.04 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

S&P 500 - Russel 2000 has an expense ratio of -0.10%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

S&P 500 - Russel 2000 ranks 1 for risk / return — in the bottom 1% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

S&P 500 - Russel 2000 Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

• 1-Year: -0.78
• 5-Year: 0.49
• 10-Year: 0.17
• All Time: -0.15

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.01 to 1.70, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of S&P 500 - Russel 2000 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

S&P 500 - Russel 2000 provided a 0.12% dividend yield over the last twelve months.

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.

The table below displays the maximum drawdowns of the S&P 500 - Russel 2000. 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 - Russel 2000 was 55.82%, occurring on Mar 4, 2014. The portfolio has not yet recovered.

The current S&P 500 - Russel 2000 drawdown is 35.65%.

The chart below shows the rolling one-month volatility.