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Performance
^SPPREF Performance Chart
S&P Preferred Stock Index (^SPPREF) is up 1.5% since the beginning of the year. ^SPPREF is currently trading at $656 per share. Investors who bought $1,000 worth of ^SPPREF shares 5 years ago would now be looking at an investment worth $807.
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Returns By Period
S&P Preferred Stock Index (^SPPREF) has returned 1.51% so far this year and 3.48% over the past 12 months. Over the last ten years, ^SPPREF has returned -2.27% per year, falling short of the S&P 500 Index benchmark, which averaged 13.75% annually.
S&P Preferred Stock Index
- 1D
- 0.10%
- 1M
- 1.10%
- YTD
- 1.51%
- 6M
- 2.00%
- 1Y
- 3.48%
- 3Y*
- 1.04%
- 5Y*
- -4.20%
- 10Y*
- -2.27%
Benchmark (S&P 500 Index)
- 1D
- 0.13%
- 1M
- 5.25%
- YTD
- 11.16%
- 6M
- 11.43%
- 1Y
- 28.20%
- 3Y*
- 21.12%
- 5Y*
- 12.66%
- 10Y*
- 13.75%
^SPPREF Monthly Returns History
Based on dividend-adjusted daily data since Sep 11, 2006, ^SPPREF's average daily return is 0.00%, while the average monthly return is -0.07%.
Historically, 51% of months were positive and 49% were negative. The best month was May 2009 with a return of +18.6%, while the worst month was Sep 2008 at -29.5%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 9 months.
On a daily basis, ^SPPREF closed higher 53% of trading days. The best single day was Oct 13, 2008 with a return of +22.4%, while the worst single day was Mar 18, 2020 at -15.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.81% | -1.35% | -4.28% | 4.28% | 0.62% | 0.62% | 1.51% | ||||||
| 2025 | 0.62% | 0.22% | -3.85% | -0.72% | 0.04% | 1.29% | 2.00% | 0.37% | -0.09% | -1.26% | -0.96% | 0.69% | -1.76% |
| 2024 | 3.23% | 0.82% | -0.25% | -3.36% | 2.18% | -1.02% | 0.32% | 2.21% | 2.54% | -0.89% | 0.36% | -3.79% | 2.10% |
| 2023 | 11.53% | -2.44% | -5.83% | 1.81% | -3.03% | 1.31% | 1.23% | -1.60% | -1.67% | -5.30% | 8.00% | 1.79% | 4.52% |
| 2022 | -4.33% | -4.46% | -0.84% | -6.43% | 2.03% | -5.25% | 6.02% | -4.90% | -4.35% | -3.49% | 4.95% | -4.98% | -23.91% |
| 2021 | -1.21% | -1.52% | 2.14% | 0.97% | 0.61% | 1.54% | -0.10% | -0.68% | -0.52% | 0.66% | -2.94% | 2.15% | 0.98% |
Benchmark Metrics
S&P Preferred Stock Index has an annualized alpha of -5.91%, beta of 0.54, and R2 of 0.34 versus S&P 500 Index. Calculated based on daily prices since September 12, 2006.
- This index participated in 76.94% of S&P 500 Index downside but only 35.12% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.54 may look defensive, but with R2 of 0.34 this index is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this index's risk.
- R2 of 0.34 means the benchmark explains less than half of this index's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- -5.91%
- Beta
- 0.54
- R²
- 0.34
- Upside Capture
- 35.12%
- Downside Capture
- 76.94%
Return for Risk
Risk / Return Rank
^SPPREF ranks 26 for risk / return — below 26% of indices on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for S&P Preferred Stock Index (^SPPREF) and compare them to S&P 500 Index.
| ^SPPREF | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.51 | 2.39 | -1.88 |
Sortino ratioReturn per unit of downside risk | 0.74 | 3.25 | -2.51 |
Omega ratioGain probability vs. loss probability | 1.09 | 1.43 | -0.34 |
Calmar ratioReturn relative to maximum drawdown | 0.46 | 3.11 | -2.66 |
Martin ratioReturn relative to average drawdown | 1.17 | 14.38 | -13.22 |
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 Preferred Stock 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 Preferred Stock Index was 71.08%, occurring on Mar 6, 2009. The portfolio has not yet recovered.
The current S&P Preferred Stock Index drawdown is 37.57%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -71.08%Mar 2009 | 2y 27d | — | 19y 4moFeb 2007 - now |
2006 pullback2006 | -1.01%Sep 2006 | 4d | 8d | 12dSep 2006 - Sep 2006 |
2006 pullback2006 | -0.52%Nov 2006 | 1d | 3d | 4dNov 2006 - Dec 2006 |
2006 pullback2006 | -0.44%Sep 2006 | 0s | 7d | 7dSep 2006 - Oct 2006 |
2006 pullback2006 | -0.31%Dec 2006 | 9d | 7d | 16dDec 2006 - Dec 2006 |
Drawdown Indicators
| ^SPPREF | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -71.08% | -56.78% | -14.30% |
Max Drawdown (1Y)Largest decline over 1 year | -7.66% | -9.10% | +1.44% |
Max Drawdown (3Y)Largest decline over 3 years | -12.86% | -18.90% | +6.04% |
Max Drawdown (5Y)Largest decline over 5 years | -29.30% | -25.43% | -3.87% |
Max Drawdown (10Y)Largest decline over 10 years | -36.46% | -33.92% | -2.54% |
Current DrawdownCurrent decline from peak | -37.57% | 0.00% | -37.57% |
Average DrawdownAverage peak-to-trough decline | -27.01% | -10.72% | -16.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.99% | 1.97% | +1.02% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^SPPREF
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