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S&P 100 Index (^OEX)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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S&P 100 Index

Popular comparisons: ^OEX vs. SPY, ^OEX vs. QQQ, ^OEX vs. ^NDX, ^OEX vs. SPOT, ^OEX vs. VOO, ^OEX vs. ^GSPC, ^OEX vs. MSFT, ^OEX vs. VIGIX, ^OEX vs. LLY, ^OEX vs. AAPL

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in S&P 100 Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%2024FebruaryMarchAprilMayJune
19.15%
15.60%
^OEX (S&P 100 Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

S&P 100 Index had a return of 18.77% year-to-date (YTD) and 29.31% in the last 12 months. Over the past 10 years, S&P 100 Index had an annualized return of 11.89%, outperforming the S&P 500 benchmark which had an annualized return of 10.85%.


PeriodReturnBenchmark
Year-To-Date18.77%15.04%
1 month5.16%3.37%
6 months20.28%16.79%
1 year29.31%25.03%
5 years (annualized)15.35%13.26%
10 years (annualized)11.89%10.85%

Monthly Returns

The table below presents the monthly returns of ^OEX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.34%5.45%2.72%-3.75%5.69%18.77%
20236.27%-2.13%5.45%2.06%2.28%6.02%3.26%-1.32%-4.93%-1.61%8.97%3.78%30.83%
2022-5.03%-4.04%3.86%-9.89%-0.42%-7.80%9.27%-4.65%-9.58%7.06%5.00%-6.48%-22.43%
2021-0.62%1.27%4.07%5.49%0.20%3.16%2.39%3.35%-4.89%7.30%-0.21%4.05%28.06%
20200.31%-8.45%-10.34%12.68%3.86%2.71%5.44%8.90%-4.78%-3.39%10.02%3.72%19.30%
20196.99%2.67%2.29%4.29%-6.91%6.79%1.51%-1.88%1.77%2.62%3.62%3.11%29.47%
20185.77%-3.96%-3.70%0.29%2.43%0.47%3.96%3.64%0.57%-6.60%1.35%-9.09%-5.86%
20171.31%4.19%-0.05%0.84%0.76%0.45%1.99%0.44%1.68%2.22%2.72%1.32%19.34%
2016-4.73%-1.02%6.22%0.23%1.38%0.05%3.62%-0.17%-0.15%-1.54%2.65%2.33%8.78%
2015-3.59%5.67%-2.54%1.59%1.07%-1.93%2.52%-6.76%-2.30%9.25%-0.03%-1.62%0.34%
2014-4.14%3.61%1.22%0.95%1.99%1.50%-0.77%3.52%-0.88%1.65%2.28%-0.86%10.27%
20134.37%1.13%3.23%2.05%2.04%-1.77%4.80%-3.22%2.35%4.71%2.93%2.16%27.40%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of ^OEX is 92, placing it in the top 8% of indices on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^OEX is 9292
^OEX (S&P 100 Index)
The Sharpe Ratio Rank of ^OEX is 9292Sharpe Ratio Rank
The Sortino Ratio Rank of ^OEX is 9696Sortino Ratio Rank
The Omega Ratio Rank of ^OEX is 9191Omega Ratio Rank
The Calmar Ratio Rank of ^OEX is 8989Calmar Ratio Rank
The Martin Ratio Rank of ^OEX is 9090Martin 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 100 Index (^OEX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^OEX
Sharpe ratio
The chart of Sharpe ratio for ^OEX, currently valued at 2.40, compared to the broader market-1.000.001.002.002.40
Sortino ratio
The chart of Sortino ratio for ^OEX, currently valued at 3.36, compared to the broader market-2.00-1.000.001.002.003.003.36
Omega ratio
The chart of Omega ratio for ^OEX, currently valued at 1.42, compared to the broader market0.801.001.201.401.42
Calmar ratio
The chart of Calmar ratio for ^OEX, currently valued at 2.29, compared to the broader market0.001.002.003.004.005.002.29
Martin ratio
The chart of Martin ratio for ^OEX, currently valued at 10.83, compared to the broader market0.005.0010.0015.0020.0010.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market-1.000.001.002.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market-2.00-1.000.001.002.003.003.07
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.73, compared to the broader market0.001.002.003.004.005.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.005.0010.0015.0020.008.12

Sharpe Ratio

The current S&P 100 Index Sharpe ratio is 2.40. 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 100 Index 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 Ratio1.502.002.503.002024FebruaryMarchAprilMayJune
2.40
2.17
^OEX (S&P 100 Index)
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%2024FebruaryMarchAprilMayJune00
^OEX (S&P 100 Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the S&P 100 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 100 Index was 61.31%, occurring on Mar 9, 2009. Recovery took 1276 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-61.31%Mar 27, 20002250Mar 9, 20091276Apr 1, 20143526
-34.96%Aug 26, 198738Oct 19, 1987496Oct 4, 1989534
-31.53%Feb 20, 202023Mar 23, 202092Aug 3, 2020115
-27.23%Jan 4, 2022195Oct 12, 2022297Dec 18, 2023492
-20.15%Jul 17, 199062Oct 11, 199097Mar 1, 1991159

Volatility

Volatility Chart

The current S&P 100 Index volatility is 2.37%, 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.


2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
2.37%
2.33%
^OEX (S&P 100 Index)
Benchmark (^GSPC)