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NYSE Composite Total Return (^NYATR)
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

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Compare to other instruments

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Performance

Performance Chart


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Returns By Period

NYSE Composite Total Return (^NYATR) returned 1.97% year-to-date (YTD) and 8.90% over the past 12 months. Over the past 10 years, ^NYATR returned 8.29% annually, underperforming the S&P 500 benchmark at 10.46%.


^NYATR

YTD

1.97%

1M

5.19%

6M

-2.01%

1Y

8.90%

5Y*

13.84%

10Y*

8.29%

^GSPC (Benchmark)

YTD

-3.77%

1M

7.44%

6M

-5.60%

1Y

8.37%

5Y*

14.12%

10Y*

10.46%

*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20254.84%0.31%-2.87%-1.28%1.13%1.97%
20240.46%4.32%4.28%-3.71%2.96%-0.12%3.92%3.34%1.34%-1.31%5.56%-5.62%15.79%
20235.74%-3.62%-0.02%1.31%-4.00%6.88%3.61%-2.35%-3.56%-2.98%8.12%4.95%13.77%
2022-2.83%-1.90%2.48%-6.17%1.61%-8.26%5.93%-3.16%-8.77%9.61%7.26%-3.58%-9.35%
2021-0.77%4.42%4.27%4.08%2.26%0.16%0.41%1.43%-3.70%5.52%-3.94%5.38%20.68%
2020-2.01%-8.85%-16.53%10.57%4.09%0.97%4.98%4.89%-2.45%-2.00%12.91%3.91%6.99%
20198.29%3.08%0.66%3.03%-5.79%6.63%0.26%-2.23%2.31%1.44%3.08%2.91%25.51%
20184.47%-5.12%-1.35%0.67%0.44%0.03%3.81%0.70%0.69%-6.55%2.32%-8.52%-8.95%
20171.61%2.85%0.07%0.52%0.90%1.62%1.88%-0.47%2.98%1.21%2.59%1.60%18.73%
2016-4.92%-0.44%7.05%2.42%0.35%0.72%2.96%0.11%-0.19%-2.10%3.68%2.19%11.94%
2015-2.68%5.22%-1.23%1.54%0.35%-2.06%0.84%-6.24%-3.48%6.91%-0.24%-2.38%-4.09%
2014-4.04%4.88%1.19%1.09%1.57%2.24%-2.15%3.22%-2.94%1.48%1.26%-0.88%6.75%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 80, ^NYATR is among the top 20% of indices on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of ^NYATR is 8080
Overall Rank
The Sharpe Ratio Rank of ^NYATR is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of ^NYATR is 7676
Sortino Ratio Rank
The Omega Ratio Rank of ^NYATR is 7878
Omega Ratio Rank
The Calmar Ratio Rank of ^NYATR is 8484
Calmar Ratio Rank
The Martin Ratio Rank of ^NYATR is 8686
Martin 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 Composite Total Return (^NYATR) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

NYSE Composite Total Return Sharpe ratios as of May 10, 2025 (values are recalculated daily):

  • 1-Year: 0.56
  • 5-Year: 0.86
  • 10-Year: 0.48
  • All Time: 0.58

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of NYSE Composite Total Return compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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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 NYSE Composite Total Return. 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 Composite Total Return was 37.81%, occurring on Mar 23, 2020. Recovery took 166 trading sessions.

The current NYSE Composite Total Return drawdown is 4.00%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.81%Jan 21, 202044Mar 23, 2020166Nov 16, 2020210
-20.95%Jan 13, 2022180Sep 30, 2022302Dec 13, 2023482
-19.15%Jan 29, 2018229Dec 24, 2018130Jul 2, 2019359
-18.28%May 22, 2015183Feb 11, 2016143Sep 6, 2016326
-14.75%Feb 19, 202535Apr 8, 2025

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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