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Performance
^SSEC Performance Chart
Shanghai Composite (^SSEC) is up 2.2% since the beginning of the year. ^SSEC is currently trading at CN¥4,058 per share. Investors who bought CN¥1,000 worth of ^SSEC shares 5 years ago would now be looking at an investment worth CN¥1,130.
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Returns By Period
Shanghai Composite (^SSEC) has returned 2.24% so far this year and 20.77% over the past 12 months. Over the last ten years, ^SSEC has returned 3.30% per year, falling short of the S&P 500 Index benchmark, which averaged 14.14% annually.
Shanghai Composite
- 1D
- -0.64%
- 1M
- -1.34%
- YTD
- 2.24%
- 6M
- 4.30%
- 1Y
- 20.77%
- 3Y*
- 7.87%
- 5Y*
- 2.47%
- 10Y*
- 3.30%
Benchmark (S&P 500 Index)
- 1D
- -0.39%
- 1M
- -0.41%
- YTD
- 5.64%
- 6M
- 4.49%
- 1Y
- 18.37%
- 3Y*
- 17.45%
- 5Y*
- 12.99%
- 10Y*
- 14.14%
^SSEC Monthly Returns History
Based on dividend-adjusted daily data since Dec 19, 1990, ^SSEC's average daily return is +0.07%, while the average monthly return is +1.59%. At this rate, an investment would double in approximately 3.7 years.
Historically, 54% of months were positive and 46% were negative. The best month was May 1992 with a return of +177.2%, while the worst month was May 1993 at -31.2%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 5 months.
On a daily basis, ^SSEC closed higher 53% of trading days. The best single day was May 21, 1992 with a return of +105.3%, while the worst single day was May 23, 1995 at -16.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.76% | 1.09% | -6.51% | 5.66% | -1.06% | -0.27% | 2.24% | ||||||
| 2025 | -3.02% | 2.16% | 0.45% | -1.70% | 2.09% | 2.90% | 3.74% | 7.97% | 0.64% | 1.85% | -1.67% | 2.06% | 18.41% |
| 2024 | -6.27% | 8.13% | 0.86% | 2.09% | -0.58% | -3.87% | -0.97% | -3.28% | 17.39% | -1.70% | 1.42% | 0.76% | 12.67% |
| 2023 | 5.39% | 0.74% | -0.21% | 1.54% | -3.57% | -0.08% | 2.78% | -5.20% | -0.30% | -2.95% | 0.36% | -1.81% | -3.70% |
| 2022 | -7.65% | 3.00% | -6.07% | -6.31% | 4.57% | 6.66% | -4.28% | -1.57% | -5.55% | -4.33% | 8.91% | -1.97% | -15.13% |
| 2021 | 0.29% | 0.75% | -1.91% | 0.14% | 4.89% | -0.67% | -5.40% | 4.31% | 0.68% | -0.58% | 0.47% | 2.13% | 4.80% |
Benchmark Metrics
Shanghai Composite has an annualized alpha of 1.86%, beta of 0.09, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since December 19, 1990.
- This index participated in 58.16% of S&P 500 Index downside but only 33.38% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.09 may look defensive, but with R2 of 0.01 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 0.01 means this index moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 1.86%
- Beta
- 0.09
- R²
- 0.01
- Upside Capture
- 33.38%
- Downside Capture
- 58.16%
Return for Risk
Risk / Return Rank
^SSEC ranks 56 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 Shanghai Composite (^SSEC) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^SSEC | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.16 | ||
| Sortino ratioReturn per unit of downside risk | +0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.28 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.38 | 1.78 | +0.60 |
| Martin ratioReturn relative to average drawdown | 8.63 | 7.02 | +1.61 |
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 Shanghai Composite. 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 Shanghai Composite was 78.27%, occurring on Jul 29, 1994. Recovery took 1202 trading sessions.
The current Shanghai Composite drawdown is 33.39%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
1994 bear market1994 | -78.27%Jul 1994 | 1y 5mo | 4y 10mo | 6y 4moFeb 1993 - Jun 1999 |
1992 bear market1992 | -72.32%Nov 1992 | 5mo 25d | 2mo 24d | 8mo 19dMay 1992 - Feb 1993 |
Financial crisis2007–2009 | -71.98%Nov 2008 | 1y 19d | — | 18y 8moOct 2007 - now |
2005 bear market2005 | -54.89%Jul 2005 | 4y 28d | 1y 5mo | 5y 6moJun 2001 - Dec 2006 |
1999 bear market1999 | -22.65%Dec 1999 | 6mo | 2mo 27d | 8mo 27dJun 1999 - Mar 2000 |
Drawdown Indicators
| ^SSEC | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.27% | -60.67% | -17.60% |
Max Drawdown (1Y)Largest decline over 1 year | -8.83% | -10.37% | +1.54% |
Max Drawdown (3Y)Largest decline over 3 years | -17.89% | -18.28% | +0.39% |
Max Drawdown (5Y)Largest decline over 5 years | -27.27% | -19.53% | -7.74% |
Max Drawdown (10Y)Largest decline over 10 years | -30.77% | -33.05% | +2.28% |
Current DrawdownCurrent decline from peak | -33.39% | -1.72% | -31.67% |
Average DrawdownAverage peak-to-trough decline | -39.93% | -11.83% | -28.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.40% | 2.62% | -0.22% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ^SSEC
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