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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in S&P 500 Communication Services Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
S&P 500 Communication Services Index (^S5TELS) has returned -7.10% so far this year and 31.44% over the past 12 months. Over the last ten years, ^S5TELS has returned 9.33% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
S&P 500 Communication Services Index
- 1D
- 4.41%
- 1M
- -7.34%
- YTD
- -7.10%
- 6M
- -0.55%
- 1Y
- 31.44%
- 3Y*
- 29.95%
- 5Y*
- 11.47%
- 10Y*
- 9.33%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Dec 5, 2001, ^S5TELS's average daily return is +0.02%, while the average monthly return is +0.47%. At this rate, your investment would double in approximately 12.3 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% | -7.10% | |||||||||
| 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 -1.77%, 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 87.36% 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
- -1.77%
- Beta
- 0.90
- R²
- 0.60
- Upside Capture
- 87.36%
- Downside Capture
- 103.71%
Return for Risk
Risk / Return Rank
^S5TELS ranks 85 for risk / return — in the top 85% of indices on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for S&P 500 Communication Services Index (^S5TELS) and compare them to a chosen benchmark (S&P 500 Index).
| ^S5TELS | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.39 | 0.90 | +0.49 |
Sortino ratioReturn per unit of downside risk | 2.18 | 1.39 | +0.80 |
Omega ratioGain probability vs. loss probability | 1.27 | 1.21 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 1.93 | 1.40 | +0.53 |
Martin ratioReturn relative to average drawdown | 7.84 | 6.61 | +1.23 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ^S5TELS risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 12.40%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -54.53% | Jan 4, 2002 | 186 | Sep 30, 2002 | 1165 | May 15, 2007 | 1351 |
| -51.34% | Jun 1, 2007 | 447 | Mar 9, 2009 | 1845 | Jun 30, 2016 | 2292 |
| -48.09% | Sep 2, 2021 | 297 | Nov 3, 2022 | 352 | Apr 2, 2024 | 649 |
| -28.82% | Jul 5, 2016 | 624 | Dec 24, 2018 | 257 | Jan 2, 2020 | 881 |
| -28.61% | Feb 20, 2020 | 23 | Mar 23, 2020 | 82 | Jul 20, 2020 | 105 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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