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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in S&P 500 Total Return, 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 Total Return (^SP500TR) has returned -3.53% so far this year and 17.55% over the past 12 months. Looking at the last ten years, ^SP500TR has achieved an annualized return of 14.22%, outperforming the S&P 500 Index benchmark, which averaged 12.29% per year.
S&P 500 Total Return
- 1D
- 0.12%
- 1M
- -3.32%
- YTD
- -3.53%
- 6M
- -1.37%
- 1Y
- 17.55%
- 3Y*
- 18.50%
- 5Y*
- 11.99%
- 10Y*
- 14.22%
Benchmark (S&P 500 Index)
- 1D
- 0.11%
- 1M
- -3.43%
- YTD
- -3.84%
- 6M
- -1.98%
- 1Y
- 16.08%
- 3Y*
- 16.86%
- 5Y*
- 10.37%
- 10Y*
- 12.29%
Monthly Returns
Based on dividend-adjusted daily data since Jan 4, 1988, ^SP500TR's average daily return is +0.05%, while the average monthly return is +0.97%. At this rate, your investment would double in approximately 6.0 years.
Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +12.8%, while the worst month was Oct 2008 at -16.8%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ^SP500TR closed higher 54% of trading days. The best single day was Oct 13, 2008 with a return of +11.6%, while the worst single day was Mar 16, 2020 at -12.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.45% | -0.76% | -4.98% | 0.84% | -3.53% | ||||||||
| 2025 | 2.78% | -1.30% | -5.63% | -0.68% | 6.29% | 5.09% | 2.24% | 2.03% | 3.65% | 2.34% | 0.25% | 0.06% | 17.88% |
| 2024 | 1.68% | 5.34% | 3.22% | -4.08% | 4.96% | 3.59% | 1.22% | 2.43% | 2.14% | -0.91% | 5.87% | -2.38% | 25.02% |
| 2023 | 6.28% | -2.44% | 3.67% | 1.56% | 0.43% | 6.61% | 3.21% | -1.59% | -4.77% | -2.10% | 9.13% | 4.54% | 26.29% |
| 2022 | -5.17% | -2.99% | 3.71% | -8.72% | 0.18% | -8.25% | 9.22% | -4.08% | -9.21% | 8.10% | 5.59% | -5.76% | -18.11% |
| 2021 | -1.01% | 2.76% | 4.38% | 5.34% | 0.70% | 2.33% | 2.38% | 3.04% | -4.65% | 7.01% | -0.69% | 4.48% | 28.71% |
Benchmark Metrics
S&P 500 Total Return has an annualized alpha of 2.12%, beta of 1.00, and R² of 1.00 versus S&P 500 Index. Calculated based on daily prices since January 05, 1988.
- This index captured 106.77% of S&P 500 Index gains but only 96.18% of its losses — a favorable profile for investors.
- This index generated an annualized alpha of 2.12% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 1.00 and R² of 1.00, 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
- 2.12%
- Beta
- 1.00
- R²
- 1.00
- Upside Capture
- 106.77%
- Downside Capture
- 96.18%
Return for Risk
Risk / Return Rank
^SP500TR ranks 68 for risk / return — better than 68% of indices on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for S&P 500 Total Return (^SP500TR) and compare them to a chosen benchmark (S&P 500 Index).
| ^SP500TR | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.96 | 0.88 | +0.08 |
Sortino ratioReturn per unit of downside risk | 1.48 | 1.37 | +0.11 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.21 | +0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.51 | 1.39 | +0.12 |
Martin ratioReturn relative to average drawdown | 7.14 | 6.43 | +0.70 |
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 ^SP500TR 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 Total Return. 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 Total Return was 55.25%, occurring on Mar 9, 2009. Recovery took 774 trading sessions.
The current S&P 500 Total Return drawdown is 5.44%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -55.25% | Oct 10, 2007 | 355 | Mar 9, 2009 | 774 | Apr 2, 2012 | 1129 |
| -47.41% | Sep 5, 2000 | 525 | Oct 9, 2002 | 1017 | Oct 23, 2006 | 1542 |
| -33.79% | Feb 20, 2020 | 23 | Mar 23, 2020 | 97 | Aug 10, 2020 | 120 |
| -24.49% | Jan 4, 2022 | 195 | Oct 12, 2022 | 294 | Dec 13, 2023 | 489 |
| -19.36% | Sep 21, 2018 | 65 | Dec 24, 2018 | 75 | Apr 12, 2019 | 140 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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