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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


-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
8.40%
8.53%
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 Dec 20, 2024, the S&P 500 Portfolio returned 24.97% Year-To-Date and 12.92% 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%
S&P 500 Portfolio24.97%-0.35%8.40%25.66%14.57%12.91%
SPY
SPDR S&P 500 ETF
24.97%-0.35%8.40%25.66%14.57%12.91%
*Annualized

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%-0.89%5.96%24.97%
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

With an overall rank of 79, S&P 500 Portfolio is among the top 21% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of S&P 500 Portfolio is 7979
Overall Rank
The Sharpe Ratio Rank of S&P 500 Portfolio is 7979
Sharpe Ratio Rank
The Sortino Ratio Rank of S&P 500 Portfolio is 7878
Sortino Ratio Rank
The Omega Ratio Rank of S&P 500 Portfolio is 8282
Omega Ratio Rank
The Calmar Ratio Rank of S&P 500 Portfolio is 7474
Calmar Ratio Rank
The Martin Ratio Rank of S&P 500 Portfolio is 8383
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 S&P 500 Portfolio, currently valued at 2.17, compared to the broader market-6.00-4.00-2.000.002.004.002.172.10
The chart of Sortino ratio for S&P 500 Portfolio, currently valued at 2.88, compared to the broader market-6.00-4.00-2.000.002.004.006.002.882.80
The chart of Omega ratio for S&P 500 Portfolio, currently valued at 1.41, compared to the broader market0.400.600.801.001.201.401.601.801.411.39
The chart of Calmar ratio for S&P 500 Portfolio, currently valued at 3.19, compared to the broader market0.002.004.006.008.0010.0012.003.193.09
The chart of Martin ratio for S&P 500 Portfolio, currently valued at 14.10, compared to the broader market0.0010.0020.0030.0040.0050.0014.1013.49
S&P 500 Portfolio
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF
2.172.881.413.1914.10

The current S&P 500 Portfolio Sharpe ratio is 2.17. 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 1.26 to 2.06, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.17
2.10
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

S&P 500 Portfolio provided a 0.87% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.87%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
0.87%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Monthly Dividends

The table below shows the monthly dividends paid by this portfolio.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$0.00$0.00$1.59$0.00$0.00$1.76$0.00$0.00$1.75$0.00$0.00$0.00$5.10
2023$0.00$0.00$1.51$0.00$0.00$1.64$0.00$0.00$1.58$0.00$0.00$1.91$6.63
2022$0.00$0.00$1.37$0.00$0.00$1.58$0.00$0.00$1.60$0.00$0.00$1.78$6.32
2021$0.00$0.00$1.28$0.00$0.00$1.38$0.00$0.00$1.43$0.00$0.00$1.64$5.72
2020$0.00$0.00$1.41$0.00$0.00$1.37$0.00$0.00$1.34$0.00$0.00$1.58$5.69
2019$0.00$0.00$1.23$0.00$0.00$1.43$0.00$0.00$1.38$0.00$0.00$1.57$5.62
2018$0.00$0.00$1.10$0.00$0.00$1.25$0.00$0.00$1.32$0.00$0.00$1.44$5.10
2017$0.00$0.00$1.03$0.00$0.00$1.18$0.00$0.00$1.23$0.00$0.00$1.35$4.80
2016$0.00$0.00$1.05$0.00$0.00$1.08$0.00$0.00$1.08$0.00$0.00$1.33$4.54
2015$0.00$0.00$0.93$0.00$0.00$1.03$0.00$0.00$1.03$0.00$0.00$1.21$4.21
2014$0.00$0.00$0.82$0.00$0.00$0.94$0.00$0.00$0.94$0.00$0.00$1.13$3.84
2013$0.69$0.00$0.00$0.84$0.00$0.00$0.84$0.00$0.00$0.98$3.35

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
-3.19%
-2.62%
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.

The current S&P 500 Portfolio drawdown is 3.19%.


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 3.64%, 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
3.64%
3.79%
S&P 500 Portfolio
Benchmark (^GSPC)
Portfolio components
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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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