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Performance

^GSPC Performance Chart

S&P 500 Index (^GSPC) is up 8.6% since the beginning of the year. ^GSPC is currently trading at $7,431 per share. Investors who bought $1,000 worth of ^GSPC shares 5 years ago would now be looking at an investment worth $1,750.


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S&P 500 Index

Returns By Period

S&P 500 Index (^GSPC) has returned 8.56% so far this year and 24.33% over the past 12 months. Over the last ten years, ^GSPC and the S&P 500 Index benchmark have both delivered an annualized return of 13.61%.


S&P 500 Index

1D
0.50%
1M
-0.93%
YTD
8.56%
6M
8.85%
1Y
24.33%
3Y*
19.37%
5Y*
11.84%
10Y*
13.61%

Benchmark (S&P 500 Index)

1D
0.50%
1M
-0.93%
YTD
8.56%
6M
8.85%
1Y
24.33%
3Y*
19.37%
5Y*
11.84%
10Y*
13.61%
*Multi-year figures are annualized to reflect compound growth (CAGR)

^GSPC Monthly Returns History

Based on dividend-adjusted daily data since Jan 2, 1970, ^GSPC's average daily return is +0.04%, while the average monthly return is +0.75%. At this rate, an investment would double in approximately 7.7 years.

Historically, 60% of months were positive and 40% were negative. The best month was Oct 1974 with a return of +16.3%, while the worst month was Oct 1987 at -21.8%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 9 months.

On a daily basis, ^GSPC closed higher 53% of trading days. The best single day was Oct 13, 2008 with a return of +11.6%, while the worst single day was Oct 19, 1987 at -20.5%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20261.37%-0.87%-5.09%10.42%5.15%-1.96%8.56%
20252.70%-1.42%-5.75%-0.76%6.15%4.96%2.17%1.91%3.53%2.27%0.13%-0.05%16.39%
20241.59%5.17%3.10%-4.16%4.80%3.47%1.13%2.28%2.02%-0.99%5.73%-2.50%23.31%
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%

Benchmark Metrics

S&P 500 Index has an annualized alpha of 0.00%, beta of 1.00, and R2 of 1.00 versus S&P 500 Index. Calculated based on daily prices since January 02, 1970.

  • With beta of 1.00 and R2 of 1.00, this index moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha
0.00%
Beta
1.00
1.00
Upside Capture
100.00%
Downside Capture
100.00%

Return for Risk

Risk / Return Rank

^GSPC ranks 71 for risk / return — better than 71% of indices on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.


^GSPC Risk / Return Rank: 7171
Overall Rank
^GSPC Sharpe Ratio Rank: 7070
Sharpe Ratio Rank
^GSPC Sortino Ratio Rank: 6767
Sortino Ratio Rank
^GSPC Omega Ratio Rank: 7575
Omega Ratio Rank
^GSPC Calmar Ratio Rank: 6565
Calmar Ratio Rank
^GSPC Martin Ratio Rank: 7979
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below present risk-adjusted performance metrics for S&P 500 Index (^GSPC) and compare them to S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.


^GSPCBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

0.00

Sortino ratioReturn per unit of downside risk

0.00

Omega ratioGain probability vs. loss probability

1.34

1.34

0.00

Calmar ratioReturn relative to maximum drawdown

2.53

2.53

0.00

Martin ratioReturn relative to average drawdown

11.37

11.37

0.00

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.


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Worst Drawdowns

The table below displays the maximum drawdowns of the S&P 500 Index. 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 Index was 56.78%, occurring on Mar 9, 2009. Recovery took 1021 trading sessions.

The current S&P 500 Index drawdown is 2.34%.


Related event

Drawdown

Fall

Recovery

Underwater

Financial crisis2007–2009
-56.78%Mar 2009
1y 5mo4y 20d
5y 5moOct 2007 - Mar 2013
Dot-com crash2000–2002
-49.15%Oct 2002
2y 6mo4y 7mo
7y 2moMar 2000 - May 2007
1974 bear market1974
-48.20%Oct 1974
1y 8mo5y 9mo
7y 6moJan 1973 - Jul 1980
COVID crash2020
-33.92%Mar 2020
1mo 2d4mo 28d
6moFeb 2020 - Aug 2020
Black Monday1987
-33.51%Dec 1987
3mo 10d1y 7mo
1y 11moAug 1987 - Jul 1989

Drawdown Indicators


^GSPCBenchmarkDifference

Max Drawdown

Largest peak-to-trough decline

-56.78%

-56.78%

0.00%

Max Drawdown (1Y)

Largest decline over 1 year

-9.10%

-9.10%

0.00%

Max Drawdown (3Y)

Largest decline over 3 years

-18.90%

-18.90%

0.00%

Max Drawdown (5Y)

Largest decline over 5 years

-25.43%

-25.43%

0.00%

Max Drawdown (10Y)

Largest decline over 10 years

-33.92%

-33.92%

0.00%

Current Drawdown

Current decline from peak

-2.34%

-2.34%

0.00%

Average Drawdown

Average peak-to-trough decline

-10.72%

-10.72%

0.00%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.02%

2.02%

0.00%

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Portfolio Analyzer

Build a portfolio with ^GSPC

Add S&P 500 Index to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Analyzer with ^GSPC