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Performance
^SPXVTR Performance Chart
S&P 500 Value Total Return Index (^SPXVTR) is up 7.5% since the beginning of the year. ^SPXVTR is currently trading at $12,984 per share. Investors who bought $1,000 worth of ^SPXVTR shares 5 years ago would now be looking at an investment worth $1,664.
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Returns By Period
S&P 500 Value Total Return Index (^SPXVTR) has returned 7.48% so far this year and 21.30% over the past 12 months.
S&P 500 Value Total Return Index
- 1D
- -0.42%
- 1M
- 2.21%
- YTD
- 7.48%
- 6M
- 7.77%
- 1Y
- 21.30%
- 3Y*
- 15.74%
- 5Y*
- 10.72%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
^SPXVTR Monthly Returns History
Based on dividend-adjusted daily data since May 18, 2020, ^SPXVTR's average daily return is +0.06%, while the average monthly return is +1.30%. At this rate, an investment would double in approximately 4.5 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +12.9%, while the worst month was Sep 2022 at -8.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, ^SPXVTR closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +7.5%, while the worst single day was Jun 11, 2020 at -6.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.49% | 2.27% | -4.57% | 5.87% | 1.96% | -0.47% | 7.48% | ||||||
| 2025 | 2.89% | 0.43% | -2.96% | -3.57% | 3.01% | 3.69% | 0.89% | 3.44% | 1.76% | 1.13% | 1.69% | 0.35% | 13.19% |
| 2024 | 0.30% | 3.05% | 4.55% | -4.30% | 2.97% | -0.65% | 4.75% | 2.96% | 1.12% | -1.27% | 5.78% | -6.80% | 12.29% |
| 2023 | 7.00% | -2.98% | 1.31% | 1.71% | -1.91% | 6.31% | 3.97% | -2.74% | -4.64% | -1.73% | 9.57% | 5.53% | 22.23% |
| 2022 | -1.62% | -1.44% | 2.96% | -4.86% | 1.64% | -8.23% | 5.91% | -2.84% | -8.47% | 11.50% | 6.02% | -3.91% | -5.22% |
| 2021 | -1.58% | 5.92% | 6.26% | 3.73% | 2.41% | -1.17% | 0.79% | 1.72% | -3.29% | 4.59% | -3.26% | 7.04% | 24.90% |
Benchmark Metrics
S&P 500 Value Total Return Index has an annualized alpha of 2.60%, beta of 0.79, and R2 of 0.79 versus S&P 500 Index. Calculated based on daily prices since May 19, 2020.
- This index participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (87.10%) than losses (86.32%) - typical of diversified or defensive assets.
- This index generated an annualized alpha of 2.60% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Alpha
- 2.60%
- Beta
- 0.79
- R²
- 0.79
- Upside Capture
- 87.10%
- Downside Capture
- 86.32%
Return for Risk
Risk / Return Rank
^SPXVTR ranks 78 for risk / return — better than 78% 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 Value Total Return Index (^SPXVTR) and compare them to S&P 500 Index.
| ^SPXVTR | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.05 | ||
| Sortino ratioReturn per unit of downside risk | -0.01 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.41 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 3.44 | 2.93 | +0.52 |
| Martin ratioReturn relative to average drawdown | 13.34 | 13.52 | -0.18 |
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 500 Value Total Return 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 Value Total Return Index was 17.97%, occurring on Sep 30, 2022. Recovery took 84 trading sessions.
The current S&P 500 Value Total Return Index drawdown is 0.60%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -17.97%Sep 2022 | 5mo 12d | 4mo 4d | 9mo 16dApr 2022 - Feb 2023 |
2025 selloff2025 | -17.51%Apr 2025 | 4mo 7d | 4mo 16d | 8mo 23dDec 2024 - Aug 2025 |
2020 correction2020 | -11.64%Jun 2020 | 17d | 4mo 16d | 5mo 3dJun 2020 - Nov 2020 |
2023 correction2023 | -10.93%Oct 2023 | 2mo 27d | 1mo 5d | 4mo 2dAug 2023 - Dec 2023 |
2023 pullback2023 | -9.47%Mar 2023 | 1mo 8d | 3mo 2d | 4mo 10dFeb 2023 - Jun 2023 |
Drawdown Indicators
| ^SPXVTR | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.97% | -56.78% | +38.81% |
Max Drawdown (1Y)Largest decline over 1 year | -6.24% | -9.10% | +2.86% |
Max Drawdown (3Y)Largest decline over 3 years | -17.51% | -18.90% | +1.39% |
Max Drawdown (5Y)Largest decline over 5 years | -17.97% | -25.43% | +7.46% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.60% | -0.74% | +0.14% |
Average DrawdownAverage peak-to-trough decline | -3.32% | -10.72% | +7.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.60% | 1.97% | -0.37% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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