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Performance
Performance Chart
The chart shows the growth of an initial investment of CN¥10,000 in Shanghai Composite, 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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Different Benchmark Currency
^SSEC is traded in CNY, while the ^GSPC benchmark is in USD. To make them comparable, the benchmark values have been converted to CNY using the latest available exchange rates.
Returns By Period
Shanghai Composite (^SSEC) has returned -1.94% so far this year and 16.67% over the past 12 months. Over the last ten years, ^SSEC has returned 2.60% per year, falling short of the S&P 500 Index benchmark, which averaged 12.84% annually.
Shanghai Composite
- 1D
- -0.80%
- 1M
- -6.51%
- YTD
- -1.94%
- 6M
- 0.23%
- 1Y
- 16.67%
- 3Y*
- 5.94%
- 5Y*
- 2.34%
- 10Y*
- 2.60%
Benchmark (S&P 500 Index)
- 1D
- 2.48%
- 1M
- -4.75%
- YTD
- -6.13%
- 6M
- -5.63%
- 1Y
- 10.34%
- 3Y*
- 16.77%
- 5Y*
- 11.23%
- 10Y*
- 12.84%
Monthly Returns
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, your 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% | -1.94% | |||||||||
| 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 2.35%, beta of 0.09, and R² of 0.01 versus S&P 500 Index. Calculated based on daily prices since December 20, 1990.
- This index participated in 59.05% of S&P 500 Index downside but only 36.22% 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
- 2.35%
- Beta
- 0.09
- R²
- 0.01
- Upside Capture
- 36.22%
- Downside Capture
- 59.05%
Return for Risk
Risk / Return Rank
^SSEC ranks 71 for risk / return — better than 71% 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 Shanghai Composite (^SSEC) and compare them to a chosen benchmark (S&P 500 Index).
| ^SSEC | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.25 | 0.57 | +0.68 |
Sortino ratioReturn per unit of downside risk | 1.53 | 0.93 | +0.60 |
Omega ratioGain probability vs. loss probability | 1.26 | 1.14 | +0.12 |
Calmar ratioReturn relative to maximum drawdown | 1.40 | 0.96 | +0.44 |
Martin ratioReturn relative to average drawdown | 5.40 | 3.76 | +1.64 |
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 ^SSEC 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 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 36.12%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -78.27% | Feb 16, 1993 | 370 | Jul 29, 1994 | 1202 | Jun 21, 1999 | 1572 |
| -72.32% | May 26, 1992 | 124 | Nov 17, 1992 | 57 | Feb 9, 1993 | 181 |
| -71.98% | Oct 17, 2007 | 258 | Nov 4, 2008 | — | — | — |
| -54.89% | Jun 14, 2001 | 984 | Jul 11, 2005 | 350 | Dec 14, 2006 | 1334 |
| -22.65% | Jun 30, 1999 | 123 | Dec 27, 1999 | 51 | Mar 23, 2000 | 174 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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