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S&P 500 (^GSPC)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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S&P 500

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


5,200.00%5,400.00%5,600.00%5,800.00%6,000.00%FebruaryMarchAprilMayJuneJuly
5,819.35%
5,819.35%
^GSPC (S&P 500)
Benchmark (^GSPC)

S&P 500

Returns By Period

S&P 500 had a return of 15.41% year-to-date (YTD) and 21.39% in the last 12 months. Over the past 10 years, S&P 500 had an annualized return of 10.77%, the same as the S&P 500 benchmark.


PeriodReturnBenchmark
Year-To-Date15.41%15.41%
1 month0.33%0.33%
6 months13.74%13.74%
1 year21.39%21.39%
5 years (annualized)13.11%13.11%
10 years (annualized)10.77%10.77%

Monthly Returns

The table below presents the monthly returns of ^GSPC, 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%15.41%
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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^GSPC is 73, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^GSPC is 7373
^GSPC (S&P 500)
The Sharpe Ratio Rank of ^GSPC is 7474Sharpe Ratio Rank
The Sortino Ratio Rank of ^GSPC is 7373Sortino Ratio Rank
The Omega Ratio Rank of ^GSPC is 6969Omega Ratio Rank
The Calmar Ratio Rank of ^GSPC is 7373Calmar Ratio Rank
The Martin Ratio Rank of ^GSPC is 7575Martin 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

The charts below present risk-adjusted performance metrics for S&P 500 (^GSPC) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.001.002.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-1.000.001.002.003.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market1.001.201.401.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.001.002.003.004.005.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.005.0010.0015.0020.006.82
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.001.002.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-1.000.001.002.003.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market1.001.201.401.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.001.002.003.004.005.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.005.0010.0015.0020.006.82

Sharpe Ratio

The current S&P 500 Sharpe ratio is 1.82. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of S&P 500 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 Ratio1.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.82
1.82
^GSPC (S&P 500)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-2.86%
-2.86%
^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.

The current S&P 500 drawdown is 2.86%.


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 2.76%, 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%FebruaryMarchAprilMayJuneJuly
2.76%
2.76%
^GSPC (S&P 500)
Benchmark (^GSPC)