PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
S&P 500 (^GSPC)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


Loading data...

Compare to other instruments

Search for stocks, ETFs, and funds to compare with ^GSPC

S&P 500

Popular comparisons: ^GSPC vs. SCHD, ^GSPC vs. XLY, ^GSPC vs. SPHD, ^GSPC vs. KOLD, ^GSPC vs. IWM, ^GSPC vs. XLP, ^GSPC vs. ONEQ, ^GSPC vs. ETV, ^GSPC vs. QQQ, ^GSPC vs. IVV

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in S&P 500, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


4,400.00%4,600.00%4,800.00%5,000.00%5,200.00%5,400.00%5,600.00%OctoberNovemberDecember2024FebruaryMarch
5,543.54%
5,543.54%
^GSPC (S&P 500)
Benchmark (^GSPC)

S&P 500

Returns By Period

S&P 500 had a return of 10.04% year-to-date (YTD) and 32.16% in the last 12 months. Over the past 10 years, S&P 500 had an annualized return of 10.96%, the same as the S&P 500 benchmark.


PeriodReturnBenchmark
Year-To-Date10.04%10.04%
1 month3.53%3.53%
6 months22.79%22.79%
1 year32.16%32.16%
5 years (annualized)13.15%13.15%
10 years (annualized)10.96%10.96%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.59%5.17%
2023-1.77%-4.87%-2.20%8.92%4.42%

Risk-Adjusted Performance

Risk-Adjusted Performance Indicators

This table presents risk-adjusted performance metrics for S&P 500 (^GSPC) and compares them with a selected benchmark (^GSPC). These performance indicators assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.76
^GSPC
S&P 500
2.76

Sharpe Ratio

The current S&P 500 Sharpe ratio is 2.76. A Sharpe ratio higher than 2.0 is considered very good.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
2.76
2.76
^GSPC (S&P 500)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
^GSPC (S&P 500)
Benchmark (^GSPC)

Worst Drawdowns

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


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 S&P 500 volatility is 2.82%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.82%
2.82%
^GSPC (S&P 500)
Benchmark (^GSPC)