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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in S&P 500 Value Total Return 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 500 Value Total Return Index (^SPXVTR) has returned 0.03% so far this year and 12.91% over the past 12 months.
S&P 500 Value Total Return Index
- 1D
- 1.73%
- 1M
- -4.57%
- YTD
- 0.03%
- 6M
- 3.23%
- 1Y
- 12.91%
- 3Y*
- 13.90%
- 5Y*
- 10.50%
- 10Y*
- —
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 May 18, 2020, ^SPXVTR's average daily return is +0.06%, while the average monthly return is +1.25%. At this rate, your investment would double in approximately 4.6 years.
Historically, 63% of months were positive and 37% 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 53% 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% | 0.03% | |||||||||
| 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 3.30%, 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 (90.67%) than losses (86.25%) — typical of diversified or defensive assets.
- This index generated an annualized alpha of 3.30% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Alpha
- 3.30%
- Beta
- 0.79
- R²
- 0.79
- Upside Capture
- 90.67%
- Downside Capture
- 86.25%
Return for Risk
Risk / Return Rank
^SPXVTR ranks 54 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 500 Value Total Return Index (^SPXVTR) and compare them to a chosen benchmark (S&P 500 Index).
| ^SPXVTR | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.83 | 0.90 | -0.06 |
Sortino ratioReturn per unit of downside risk | 1.25 | 1.39 | -0.13 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.21 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.15 | 1.40 | -0.25 |
Martin ratioReturn relative to average drawdown | 5.45 | 6.61 | -1.16 |
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 ^SPXVTR 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 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 4.57%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -17.97% | Apr 21, 2022 | 113 | Sep 30, 2022 | 84 | Feb 1, 2023 | 197 |
| -17.51% | Dec 2, 2024 | 88 | Apr 8, 2025 | 94 | Aug 22, 2025 | 182 |
| -11.64% | Jun 9, 2020 | 14 | Jun 26, 2020 | 94 | Nov 9, 2020 | 108 |
| -10.93% | Aug 1, 2023 | 63 | Oct 27, 2023 | 24 | Dec 1, 2023 | 87 |
| -9.47% | Feb 3, 2023 | 26 | Mar 13, 2023 | 64 | Jun 13, 2023 | 90 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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