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Performance
^S5TELS Performance Chart
S&P 500 Communication Services Index (^S5TELS) is up 4.5% since the beginning of the year. ^S5TELS is currently trading at $473 per share. Investors who bought $1,000 worth of ^S5TELS shares 5 years ago would now be looking at an investment worth $1,851.
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Returns By Period
S&P 500 Communication Services Index (^S5TELS) has returned 4.48% so far this year and 34.23% over the past 12 months. Over the last ten years, ^S5TELS has returned 10.95% per year, falling short of the S&P 500 Index benchmark, which averaged 13.66% annually.
S&P 500 Communication Services Index
- 1D
- -2.61%
- 1M
- -4.48%
- YTD
- 4.48%
- 6M
- 3.95%
- 1Y
- 34.23%
- 3Y*
- 30.37%
- 5Y*
- 13.11%
- 10Y*
- 10.95%
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
^S5TELS Monthly Returns History
Based on dividend-adjusted daily data since Dec 5, 2001, ^S5TELS's average daily return is +0.03%, while the average monthly return is +0.51%. At this rate, an investment would double in approximately 11.4 years.
Historically, 54% of months were positive and 46% were negative. The best month was Oct 2002 with a return of +31.9%, while the worst month was Apr 2002 at -15.9%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.
On a daily basis, ^S5TELS closed higher 52% of trading days. The best single day was Oct 13, 2008 with a return of +13.8%, while the worst single day was Mar 16, 2020 at -10.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.69% | -5.14% | -7.34% | 18.43% | -0.92% | -4.16% | 4.48% | ||||||
| 2025 | 8.98% | -6.30% | -8.35% | 0.60% | 9.62% | 7.18% | 2.30% | 3.57% | 5.53% | 1.74% | 6.34% | -1.06% | 32.41% |
| 2024 | 4.84% | 5.66% | 4.33% | -2.22% | 6.57% | 4.71% | -4.16% | 1.23% | 4.54% | 1.80% | 3.09% | 3.49% | 38.89% |
| 2023 | 14.22% | -4.67% | 10.37% | 3.56% | 6.21% | 2.57% | 6.74% | -0.40% | -3.27% | -2.00% | 7.81% | 4.78% | 54.36% |
| 2022 | -6.38% | -6.98% | 0.93% | -15.76% | 1.78% | -7.70% | 3.50% | -4.21% | -12.16% | -0.09% | 6.85% | -7.85% | -40.42% |
| 2021 | -1.51% | 6.18% | 3.10% | 7.64% | -0.07% | 2.71% | 3.39% | 4.99% | -6.59% | 2.65% | -5.17% | 2.52% | 20.53% |
Benchmark Metrics
S&P 500 Communication Services Index has an annualized alpha of -1.84%, beta of 0.90, and R2 of 0.60 versus S&P 500 Index. Calculated based on daily prices since December 06, 2001.
- This index participated in 103.71% of S&P 500 Index downside but only 86.96% of its upside - more exposed to losses than it benefited from rallies.
- With beta of 0.90 and R2 of 0.60, 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
- -1.84%
- Beta
- 0.90
- R²
- 0.60
- Upside Capture
- 86.96%
- Downside Capture
- 103.71%
Return for Risk
Risk / Return Rank
^S5TELS ranks 59 for risk / return — on par with similar indices. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for S&P 500 Communication Services Index (^S5TELS) and compare them to S&P 500 Index.
| ^S5TELS | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.74 | 2.24 | -0.50 |
Sortino ratioReturn per unit of downside risk | 2.67 | 3.07 | -0.41 |
Omega ratioGain probability vs. loss probability | 1.31 | 1.41 | -0.10 |
Calmar ratioReturn relative to maximum drawdown | 2.03 | 2.93 | -0.90 |
Martin ratioReturn relative to average drawdown | 8.08 | 13.52 | -5.44 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 Communication Services 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 Communication Services Index was 54.53%, occurring on Sep 30, 2002. Recovery took 1165 trading sessions.
The current S&P 500 Communication Services Index drawdown is 7.08%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Dot-com crash2000–2002 | -54.53%Sep 2002 | 8mo 29d | 4y 7mo | 5y 4moJan 2002 - May 2007 |
Financial crisis2007–2009 | -51.34%Mar 2009 | 1y 9mo | 7y 3mo | 9y 1moJun 2007 - Jun 2016 |
Bear market2022 | -48.09%Nov 2022 | 1y 2mo | 1y 5mo | 2y 7moSep 2021 - Apr 2024 |
Rate-hike selloffLate 2018 | -28.82%Dec 2018 | 2y 5mo | 1y 9d | 3y 6moJul 2016 - Jan 2020 |
COVID crash2020 | -28.61%Mar 2020 | 1mo 2d | 3mo 29d | 5mo 1dFeb 2020 - Jul 2020 |
Drawdown Indicators
| ^S5TELS | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.53% | -56.78% | +2.25% |
Max Drawdown (1Y)Largest decline over 1 year | -16.42% | -9.10% | -7.32% |
Max Drawdown (3Y)Largest decline over 3 years | -22.81% | -18.90% | -3.91% |
Max Drawdown (5Y)Largest decline over 5 years | -48.09% | -25.43% | -22.66% |
Max Drawdown (10Y)Largest decline over 10 years | -48.09% | -33.92% | -14.17% |
Current DrawdownCurrent decline from peak | -7.08% | -0.74% | -6.34% |
Average DrawdownAverage peak-to-trough decline | -20.24% | -10.72% | -9.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.12% | 1.97% | +2.15% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^S5TELS
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