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NYSE Arca Major Market Index (^XMI)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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NYSE Arca Major Market Index

Popular comparisons: ^XMI vs. GLUE

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in NYSE Arca Major Market Index, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.


2,600.00%2,700.00%2,800.00%2,900.00%3,000.00%3,100.00%3,200.00%3,300.00%December2024FebruaryMarchAprilMay
2,940.17%
3,217.76%
^XMI (NYSE Arca Major Market Index)
Benchmark (^GSPC)

S&P 500

Returns By Period

NYSE Arca Major Market Index had a return of 5.77% year-to-date (YTD) and 17.71% in the last 12 months. Over the past 10 years, NYSE Arca Major Market Index had an annualized return of 6.75%, while the S&P 500 had an annualized return of 10.62%, indicating that NYSE Arca Major Market Index did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date5.77%10.42%
1 month-0.46%2.95%
6 months10.85%15.74%
1 year17.71%25.24%
5 years (annualized)7.20%13.90%
10 years (annualized)6.75%10.62%

Monthly Returns

The table below presents the monthly returns of ^XMI, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.06%4.11%2.92%-3.15%5.77%
20233.86%-2.82%2.66%3.22%-3.64%5.47%2.46%-2.32%-4.61%-0.86%8.02%3.76%15.32%
2022-0.65%-1.87%1.00%-5.16%-0.02%-7.76%6.67%-3.78%-9.54%13.79%6.24%-3.20%-6.42%
2021-2.98%4.13%6.23%2.48%1.46%0.20%0.99%-0.31%-2.78%3.39%-4.87%6.18%14.29%
2020-1.08%-10.49%-16.24%10.03%2.15%1.32%0.40%7.12%-3.12%-4.72%13.75%3.81%-1.00%
20196.92%5.41%-1.05%2.66%-6.35%7.31%0.09%-0.80%1.47%-2.43%3.63%0.18%17.41%
20186.11%-5.20%-3.99%0.25%0.52%0.02%4.92%0.81%2.22%-4.52%3.51%-8.20%-4.49%
20170.95%4.30%-0.18%0.43%0.27%1.96%2.85%-0.48%2.30%3.66%3.27%1.54%22.82%
2016-5.85%0.59%6.95%1.72%0.17%0.95%1.80%-0.29%-0.81%-0.60%4.39%2.88%11.97%
2015-3.63%4.57%-2.53%1.25%-0.59%-2.76%0.05%-7.51%-1.27%8.78%0.33%-0.80%-4.92%
2014-5.54%4.29%2.14%2.00%0.15%0.14%-1.63%2.75%-0.79%-0.57%1.86%-0.46%4.07%
20135.37%1.71%4.26%1.86%2.31%-1.56%3.76%-4.42%2.39%3.56%3.53%2.79%28.27%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of ^XMI is 71, suggesting that the investment has average results relative to other indices in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of ^XMI is 7171
^XMI (NYSE Arca Major Market Index)
The Sharpe Ratio Rank of ^XMI is 7070Sharpe Ratio Rank
The Sortino Ratio Rank of ^XMI is 7171Sortino Ratio Rank
The Omega Ratio Rank of ^XMI is 6969Omega Ratio Rank
The Calmar Ratio Rank of ^XMI is 8181Calmar Ratio Rank
The Martin Ratio Rank of ^XMI is 6464Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for NYSE Arca Major Market Index (^XMI) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


^XMI
Sharpe ratio
The chart of Sharpe ratio for ^XMI, currently valued at 1.81, compared to the broader market-1.000.001.002.003.001.81
Sortino ratio
The chart of Sortino ratio for ^XMI, currently valued at 2.61, compared to the broader market-2.00-1.000.001.002.003.004.002.61
Omega ratio
The chart of Omega ratio for ^XMI, currently valued at 1.32, compared to the broader market0.801.001.201.401.32
Calmar ratio
The chart of Calmar ratio for ^XMI, currently valued at 1.80, compared to the broader market0.001.002.003.004.005.001.80
Martin ratio
The chart of Martin ratio for ^XMI, currently valued at 5.74, compared to the broader market0.005.0010.0015.0020.005.74
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.21, compared to the broader market-1.000.001.002.003.002.21
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.15, compared to the broader market-2.00-1.000.001.002.003.004.003.15
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.78, compared to the broader market0.001.002.003.004.005.001.78
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.37, compared to the broader market0.005.0010.0015.0020.008.37

Sharpe Ratio

The current NYSE Arca Major Market Index Sharpe ratio is 1.81. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of NYSE Arca Major Market Index with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
1.81
2.21
^XMI (NYSE Arca Major Market Index)
Benchmark (^GSPC)

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay
-2.96%
-1.02%
^XMI (NYSE Arca Major Market Index)
Benchmark (^GSPC)

Worst Drawdowns

The table below displays the maximum drawdowns of the NYSE Arca Major Market 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 NYSE Arca Major Market Index was 47.65%, occurring on Mar 9, 2009. Recovery took 760 trading sessions.

The current NYSE Arca Major Market Index drawdown is 2.96%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.65%Oct 15, 2007352Mar 9, 2009760Mar 13, 20121112
-38.91%Feb 13, 202027Mar 23, 2020233Feb 24, 2021260
-36.2%Aug 26, 198738Oct 19, 1987470Aug 28, 1989508
-33.18%Jan 18, 2000789Mar 11, 2003912Oct 20, 20061701
-21.5%Jan 5, 2022186Sep 30, 2022198Jul 18, 2023384

Volatility

Volatility Chart

The current NYSE Arca Major Market Index volatility is 2.97%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
2.97%
3.13%
^XMI (NYSE Arca Major Market Index)
Benchmark (^GSPC)