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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in S&P Small-Cap 600 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 Small-Cap 600 Index (^SML) has returned 3.10% so far this year and 18.49% over the past 12 months. Over the last ten years, ^SML has returned 8.20% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
S&P Small-Cap 600 Index
- 1D
- 2.75%
- 1M
- -4.28%
- YTD
- 3.10%
- 6M
- 4.41%
- 1Y
- 18.49%
- 3Y*
- 8.58%
- 5Y*
- 2.46%
- 10Y*
- 8.20%
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 31, 1993, ^SML's average daily return is +0.04%, while the average monthly return is +0.86%. At this rate, your investment would double in approximately 6.7 years.
Historically, 62% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +18.0%, while the worst month was Mar 2020 at -22.6%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ^SML closed higher 53% of trading days. The best single day was Mar 24, 2020 with a return of +9.0%, while the worst single day was Mar 16, 2020 at -13.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.55% | 2.05% | -4.28% | 3.10% | |||||||||
| 2025 | 2.85% | -5.84% | -6.36% | -4.28% | 5.07% | 3.85% | 0.85% | 6.89% | 0.80% | -0.95% | 2.51% | -0.26% | 4.23% |
| 2024 | -4.03% | 3.15% | 3.03% | -5.71% | 4.87% | -2.46% | 10.71% | -1.62% | 0.67% | -2.71% | 10.77% | -8.12% | 6.82% |
| 2023 | 9.40% | -1.35% | -5.38% | -2.87% | -1.94% | 8.03% | 5.43% | -4.33% | -6.16% | -5.83% | 7.98% | 12.61% | 13.89% |
| 2022 | -7.31% | 1.30% | 0.18% | -7.87% | 1.72% | -8.71% | 9.93% | -4.51% | -10.05% | 12.27% | 4.00% | -6.91% | -17.42% |
| 2021 | 6.24% | 7.56% | 3.19% | 1.99% | 1.96% | 0.21% | -2.44% | 1.90% | -2.56% | 3.36% | -2.42% | 4.36% | 25.27% |
Benchmark Metrics
S&P Small-Cap 600 Index has an annualized alpha of 0.85%, beta of 1.02, and R² of 0.74 versus S&P 500 Index. Calculated based on daily prices since January 03, 1994.
- This index captured 106.99% of S&P 500 Index gains and 105.12% of its losses — amplifying both gains and losses, but participating more in upside than downside.
- With beta of 1.02 and R² of 0.74, 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
- 0.85%
- Beta
- 1.02
- R²
- 0.74
- Upside Capture
- 106.99%
- Downside Capture
- 105.12%
Return for Risk
Risk / Return Rank
^SML ranks 53 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 Small-Cap 600 Index (^SML) and compare them to a chosen benchmark (S&P 500 Index).
| ^SML | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.82 | 0.90 | -0.08 |
Sortino ratioReturn per unit of downside risk | 1.29 | 1.39 | -0.09 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.21 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.28 | 1.40 | -0.12 |
Martin ratioReturn relative to average drawdown | 5.10 | 6.61 | -1.51 |
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 ^SML 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 Small-Cap 600 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 Small-Cap 600 Index was 59.17%, occurring on Mar 9, 2009. Recovery took 522 trading sessions.
The current S&P Small-Cap 600 Index drawdown is 6.05%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -59.17% | Jul 20, 2007 | 412 | Mar 9, 2009 | 522 | Mar 31, 2011 | 934 |
| -45.77% | Sep 4, 2018 | 390 | Mar 23, 2020 | 186 | Dec 15, 2020 | 576 |
| -37.58% | Apr 22, 1998 | 119 | Oct 8, 1998 | 324 | Jan 21, 2000 | 443 |
| -33.78% | Apr 17, 2002 | 123 | Oct 9, 2002 | 269 | Nov 3, 2003 | 392 |
| -28.39% | Nov 26, 2024 | 91 | Apr 8, 2025 | 191 | Jan 12, 2026 | 282 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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