PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
S&P 400 (^SP400)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Share Price Chart


Loading data...

Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


S&P 400

Popular comparisons: ^SP400 vs. SPY, ^SP400 vs. VOO, ^SP400 vs. TTEK, ^SP400 vs. ^GSPC, ^SP400 vs. VGIT, ^SP400 vs. VIOO, ^SP400 vs. SSO, ^SP400 vs. FIX, ^SP400 vs. R2SC.L, ^SP400 vs. HON

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in S&P 400, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


1,000.00%1,200.00%1,400.00%1,600.00%1,800.00%2,000.00%2024FebruaryMarchAprilMayJune
1,894.87%
1,252.53%
^SP400 (S&P 400)
Benchmark (^GSPC)

S&P 500

Returns By Period

S&P 400 had a return of 5.40% year-to-date (YTD) and 15.24% in the last 12 months. Over the past 10 years, S&P 400 had an annualized return of 7.58%, while the S&P 500 had an annualized return of 10.88%, indicating that S&P 400 did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date5.40%14.57%
1 month-1.95%2.97%
6 months5.18%14.93%
1 year15.24%24.71%
5 years (annualized)8.76%13.14%
10 years (annualized)7.58%10.88%

Monthly Returns

The table below presents the monthly returns of ^SP400, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.77%5.80%5.39%-6.08%4.26%5.40%
20239.14%-1.95%-3.41%-0.87%-3.36%8.96%4.05%-3.04%-5.42%-5.42%8.33%8.50%14.45%
2022-7.27%0.99%1.21%-7.18%0.58%-9.78%10.75%-3.25%-9.36%10.42%5.95%-5.72%-14.48%
20211.45%6.67%4.53%4.44%0.08%-1.15%0.28%1.83%-4.09%5.82%-3.06%4.92%23.21%
2020-2.70%-9.63%-20.43%14.06%7.14%1.09%4.53%3.36%-3.39%2.09%14.12%6.37%11.81%
201910.36%4.08%-0.74%3.93%-8.13%7.46%1.09%-4.35%2.89%1.03%2.80%2.63%24.05%
20182.81%-4.57%0.76%-0.34%3.95%0.27%1.68%3.03%-1.23%-9.63%2.93%-11.48%-12.50%
20171.60%2.50%-0.56%0.76%-0.64%1.45%0.80%-1.69%3.76%2.18%3.49%0.07%14.45%
2016-5.78%1.25%8.32%1.14%2.15%0.23%4.21%0.34%-0.80%-2.76%7.82%2.03%18.73%
2015-1.19%4.98%1.16%-1.56%1.63%-1.48%0.05%-5.73%-3.38%5.54%1.18%-4.33%-3.71%
2014-2.19%4.74%0.23%-1.64%1.62%3.99%-4.34%4.92%-4.67%3.48%1.69%0.68%8.19%
20137.15%0.85%4.63%0.55%2.09%-1.98%6.12%-3.90%5.07%3.64%1.16%2.94%31.57%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^SP400 is 49, 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 ^SP400 is 4949
^SP400 (S&P 400)
The Sharpe Ratio Rank of ^SP400 is 4949Sharpe Ratio Rank
The Sortino Ratio Rank of ^SP400 is 5050Sortino Ratio Rank
The Omega Ratio Rank of ^SP400 is 4949Omega Ratio Rank
The Calmar Ratio Rank of ^SP400 is 5252Calmar Ratio Rank
The Martin Ratio Rank of ^SP400 is 4545Martin 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 400 (^SP400) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^SP400
Sharpe ratio
The chart of Sharpe ratio for ^SP400, currently valued at 0.96, compared to the broader market-1.000.001.002.000.96
Sortino ratio
The chart of Sortino ratio for ^SP400, currently valued at 1.43, compared to the broader market-2.00-1.000.001.002.003.001.43
Omega ratio
The chart of Omega ratio for ^SP400, currently valued at 1.17, compared to the broader market0.801.001.201.401.17
Calmar ratio
The chart of Calmar ratio for ^SP400, currently valued at 0.73, compared to the broader market0.001.002.003.004.005.000.73
Martin ratio
The chart of Martin ratio for ^SP400, currently valued at 2.81, compared to the broader market0.005.0010.0015.0020.002.81
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.24, compared to the broader market-1.000.001.002.002.24
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.16, compared to the broader market-2.00-1.000.001.002.003.003.16
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.78, compared to the broader market0.001.002.003.004.005.001.78
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.36, compared to the broader market0.005.0010.0015.0020.008.36

Sharpe Ratio

The current S&P 400 Sharpe ratio is 0.96. 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 400 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 Ratio0.000.501.001.502.002.503.002024FebruaryMarchAprilMayJune
0.96
2.24
^SP400 (S&P 400)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-3.76%
-0.41%
^SP400 (S&P 400)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the S&P 400. 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 400 was 56.32%, occurring on Mar 9, 2009. Recovery took 470 trading sessions.

The current S&P 400 drawdown is 3.76%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-56.32%Jul 16, 2007416Mar 9, 2009470Jan 14, 2011886
-42.14%Feb 21, 202022Mar 23, 2020162Nov 10, 2020184
-32.25%Apr 17, 2002123Oct 9, 2002269Nov 3, 2003392
-27.51%Apr 23, 1998118Oct 8, 199858Dec 31, 1998176
-26.62%May 2, 2011109Oct 3, 2011239Sep 13, 2012348

Volatility

Volatility Chart

The current S&P 400 volatility is 4.14%, 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.


2.00%3.00%4.00%5.00%6.00%2024FebruaryMarchAprilMayJune
4.14%
2.38%
^SP400 (S&P 400)
Benchmark (^GSPC)