S&P 500 (GSPC.IX)

Indices
USD
30 December 1927  –  5 October 2022

Performance

Annualized Return
5.82%
Sharpe Ratio
0.39
Maximum Drawdown
-86.19%

Metrics

Metric S&P 500
Initial Balance $10,000
Final Balance $2,142,288
Returns   [View more details]
Month-To-Date 5.51%
Year-To-Date -20.62%
3M -1.1%
6M -17.44%
Annual Return (3Y) 8.63%
Annual Return (5Y) 8.19%
Annual Return (All) 5.82%
Risk   [View more details]
Annual Volatility 19.03%
Max Drawdown -86.19%
Sharpe Ratio 0.39
Sortino Ratio 0.56
Adjusted Sortino (S/√2) 0.39

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on December 1927.
  • Final balance: The amount of capital we've accrued over time as of October 2022.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 95 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
S&P 500 -12.03% 8.63% 8.19% 9.99% 8.24% 5.82%

Annual Returns

Year S&P 500
1927 0%
1928 37.88%
1929 -11.91%
1930 -28.48%
1931 -47.07%
1932 -14.78%
1933 44.08%
1934 -4.71%
1935 41.37%
1936 27.92%
1937 -38.59%
1938 24.55%
1939 -5.18%
1940 -15.09%
1941 -17.86%
1942 12.43%
1943 19.45%
1944 13.8%
1945 30.72%
1946 -11.87%
1947 -0%
1948 -0.65%
1949 10.46%
1950 21.68%
1951 16.35%
1952 11.78%
1953 -6.62%
1954 45.02%
1955 26.4%
1956 2.62%
1957 -14.31%
1958 38.06%
1959 8.48%
1960 -2.97%
1961 23.13%
1962 -11.81%
1963 18.89%
1964 12.97%
1965 9.06%
1966 -13.09%
1967 20.09%
1968 7.66%
1969 -11.36%
1970 0.1%
1971 10.79%
1972 15.63%
1973 -17.37%
1974 -29.72%
1975 31.55%
1976 19.15%
1977 -11.5%
1978 1.06%
1979 12.31%
1980 25.77%
1981 -9.73%
1982 14.76%
1983 17.27%
1984 1.4%
1985 26.33%
1986 14.62%
1987 2.03%
1988 12.4%
1989 27.25%
1990 -6.56%
1991 26.31%
1992 4.46%
1993 7.06%
1994 -1.54%
1995 34.11%
1996 20.26%
1997 31.01%
1998 26.67%
1999 19.53%
2000 -10.14%
2001 -13.04%
2002 -23.37%
2003 26.38%
2004 8.99%
2005 3%
2006 13.62%
2007 3.53%
2008 -38.49%
2009 23.45%
2010 12.78%
2011 -0%
2012 13.41%
2013 29.6%
2014 11.39%
2015 -0.73%
2016 9.54%
2017 19.42%
2018 -6.24%
2019 28.88%
2020 16.26%
2021 26.89%
2022 -20.62%

S&P 500 had 63 positive years and 31 negative years. That's a positive ratio of 67%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1927 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1928 -0.5% -1.8% 11.7% 2.4% 1.3% -4.3% 1.5% 7.4% 1.3% 2.6% 12% 0.3% 33.2%
1929 5.7% -0.6% -0.2% 1.6% -4.3% 10.4% 5.4% 9.8% -4.9% -19.9% -13.4% 2.5% -5.7%
1930 6.2% 2.2% 3.7% 3.1% -1.6% -16.5% 3.7% 0.8% -13% -8.9% -3.3% -6.3% -29.6%
1931 5.5% 11.4% -7.4% -9.6% -13.7% 13.9% -7.4% 0.9% -29.9% 7.4% -8.9% -14.5% -55%
1932 -2.2% 4.4% -11.8% -20.2% -23.3% -0.9% 36.1% 39.1% -3.7% -13.9% -5.9% 5.6% -1.9%
1933 0.3% -18.4% 3.4% 33.8% 23.1% 13.2% -8.8% 11.5% -12.4% -7.8% 10.3% 0.9% 47.8%
1934 12% -3.7% -1.3% -1.5% -8.1% 2.1% -11.5% 5.4% -0.8% -3% 8.3% -0.4% -1.4%
1935 -4.2% -4% -3.3% 9.8% 3.2% 6.9% 8.2% 1.4% 3.1% 7.5% 3.9% 3.8% 38.6%
1936 6.6% 2% 2.2% -7.7% 4.6% 3.1% 6.8% 0.9% 0.1% 7.6% 0.3% -0.6% 26.5%
1937 3.4% 1.6% -0.8% -8.3% -1% -5.3% 8.9% -4.4% -14.2% -10.2% -10% -5% -44.4%
1938 1.3% 6.1% -25% 15.1% -5.2% 24.7% 6.7% -2.2% 1.5% 7.6% -3.3% 3.2% 27.8%
1939 -6.4% 3.3% -13.5% -0.5% 6.1% -6.4% 10.9% -7.1% 14.4% 0.3% -4.9% 2.1% -2%
1940 -3.3% 0.7% 0.4% 0.1% -24% 7.7% 3.1% 2% 1.5% 3.9% -4.6% 0.1% -13.9%
1941 -4.8% -1.5% 0.4% -6.5% 0.8% 5% 5.5% -1.1% -0.8% -6.9% -4% -4.7% -18.6%
1942 1.8% -2.9% -6.8% -4.4% 6.4% 1.8% 3.1% 0.7% 2.7% 5.8% -0.7% 5.2% 12.6%
1943 6.9% 5.1% 5.6% 0.1% 4% 2.5% -4% -0.4% 2.4% -1.4% -7.5% 5.9% 18.6%
1944 1.5% -0.3% 1.7% -1.2% 4% 5.1% -2.1% 0.9% -0.6% 0.3% 0.4% 3.5% 13.3%
1945 1.4% 6.2% -4.8% 9% 1.1% -0.9% -1.4% 5.8% 3.5% 3.7% 3.2% 1% 27.6%
1946 7% -6.9% 4.4% 4% 2.2% -3.9% -2.6% -7.3% -10.2% -0.8% -1.1% 4.2% -10%
1947 2.4% -1.5% -1.7% -3.9% -0.9% 5.3% 3.6% -2.8% -1.4% 2.1% -2.9% 2.1% 1%
1948 -4.1% -5.1% 8.3% 2.7% 7.8% 0.3% -5.3% 0.8% -3% 6.5% -10.6% 3.1% 0.5%
1949 0.1% -3.9% 3% -2.3% -3.5% -0.2% 6.2% 1.2% 2.4% 3% 0.1% 4.5% 10.6%
1950 1.5% 1% 0.4% 3.9% 4.6% -5.8% 0.8% 3.3% 5.6% 0.4% -0.1% 4.7% 20.7%
1951 6% 0.6% -1.5% 4.4% -4.1% -2.6% 6.9% 3.9% -0.1% -1.4% -0.3% 3.9% 15.7%
1952 1.6% -3.6% 4.8% -4.3% 2.3% 4.6% 1.8% -1.5% -2% -0.1% 4.6% 3.5% 11.4%
1953 -0.7% -1.8% -2.4% -2.6% -0.3% -1.6% 2.5% -5.8% 0.1% 5.1% 0.9% 0.2% -6.4%
1954 5.1% 0.3% 3% 4.9% 3.3% 0.1% 5.7% -3.4% 8.3% -1.9% 8.1% 5.1% 37.6%
1955 1.8% 0.4% -0.5% 3.8% -0.1% 8.2% 6.1% -0.8% 1.1% -3% 7.5% -0.1% 24.6%
1956 -3.7% 3.5% 6.9% -0.2% -6.6% 3.9% 5.2% -3.8% -4.5% 0.5% -1.1% 3.5% 3.3%
1957 -4.2% -3.3% 2% 3.7% 3.7% -0.1% 1.1% -5.6% -6.2% -3.2% 1.6% -4.1% -14.6%
1958 4.3% -2.1% 3.1% 3.2% 1.5% 2.6% 4.3% 1.2% 4.8% 2.5% 2.2% 5.2% 32.7%
1959 0.4% -0.1% 0.1% 3.9% 1.9% -0.4% 3.5% -1.5% -4.6% 1.1% 1.3% 2.8% 8.6%
1960 -7.1% 0.9% -1.4% -1.8% 2.7% 2% -2.5% 2.6% -6% -0.2% 4% 4.6% -2.5%
1961 6.3% 2.7% 2.6% 0.4% 1.9% -2.9% 3.3% 2% -2% 2.8% 3.9% 0.3% 21.3%
1962 -3.8% 1.6% -0.6% -6.2% -8.6% -8.2% 6.4% 1.5% -4.8% 0.4% 10.2% 1.3% -11.2%
1963 4.9% -2.9% 3.5% 4.9% 1.4% -2% -0.3% 4.9% -1.1% 3.2% -1.1% 2.4% 17.7%
1964 2.7% 1% 1.5% 0.6% 1.1% 1.6% 1.8% -1.6% 2.9% 0.8% -0.5% 0.4% 12.3%
1965 3.3% -0.1% -1.5% 3.4% -0.8% -4.9% 1.3% 2.3% 3.2% 2.7% -0.9% 0.9% 8.9%
1966 0.5% -1.8% -2.2% 2.1% -5.4% -1.6% -1.3% -7.8% -0.7% 4.8% 0.3% -0.1% -13.3%
1967 7.8% 0.2% 3.9% 4.2% -5.2% 1.8% 4.5% -1.2% 3.3% -3.5% 0.8% 2.6% 18.7%
1968 -4.4% -3.1% 0.9% 8% 1.3% 0.9% -1.8% 1.1% 3.9% 0.7% 4.8% -4.2% 7.8%
1969 -0.8% -4.7% 3.4% 2.1% -0.2% -5.6% -6% 4% -2.5% 4.3% -3.4% -1.9% -11.6%
1970 -7.6% 5.3% 0.1% -9% -6.1% -5% 7.3% 4.4% 3.4% -1.2% 4.7% 5.7% 1.2%
1971 4% 0.9% 3.7% 3.6% -4.2% -0.9% -3.2% 3.6% -0.7% -4.2% -0.3% 8.6% 10.8%
1972 1.8% 2.5% 0.6% 0.4% 1.7% -2.2% 0.2% 3.4% -0.5% 0.9% 4.6% 1.2% 14.8%
1973 -1.7% -3.7% -0.1% -4.1% -1.9% -0.7% 3.8% -3.7% 4% -0.1% -11.4% 1.7% -17.8%
1974 -1% -0.4% -2.3% -3.9% -3.4% -1.5% -7.8% -9% -11.9% 16.3% -5.3% -2% -32.9%
1975 12.3% 6% 2.2% 4.7% 4.4% 4.4% -6.8% -2.1% -3.5% 6.2% 2.5% -1.2% 28.6%
1976 11.8% -1.1% 3.1% -1.1% -1.4% 4.1% -0.8% -0.5% 2.3% -2.2% -0.8% 5.2% 18.1%
1977 -5.1% -2.2% -1.4% 0% -2.4% 4.5% -1.6% -2.1% -0.2% -4.3% 2.7% 0.3% -11.8%
1978 -6.2% -2.5% 2.5% 8.5% 0.4% -1.8% 5.4% 2.6% -0.7% -9.2% 1.7% 1.5% 1.8%
1979 4% -3.7% 5.5% 0.2% -2.6% 3.9% 0.9% 5.3% 0% -6.9% 4.3% 1.7% 12.2%
1980 5.8% -0.4% -10.2% 4.1% 4.7% 2.7% 6.5% 0.6% 2.5% 1.6% 10.2% -3.4% 24.3%
1981 -4.6% 1.3% 3.6% -2.3% -0.2% -1% -0.2% -6.2% -5.4% 4.9% 3.7% -3% -9.3%
1982 -1.8% -6.1% -1% 4% -3.9% -2% -2.3% 11.6% 0.8% 11% 3.6% 1.5% 15.4%
1983 3.3% 1.9% 3.3% 7.5% -1.2% 3.2% -3% 1.1% 1% -1.5% 1.7% -0.9% 16.8%
1984 -0.9% -3.9% 1.3% 0.5% -5.9% 1.7% -1.6% 10.6% -0.3% -0% -1.5% 2.2% 2.2%
1985 7.4% 0.9% -0.3% -0.5% 5.4% 1.2% -0.5% -1.2% -3.5% 4.3% 6.5% 4.5% 23.9%
1986 0.2% 7.1% 5.3% -1.4% 5% 1.4% -5.9% 7.1% -8.5% 5.5% 2.1% -2.8% 14.7%
1987 13.2% 3.7% 2.6% -1.1% 0.6% 4.8% 4.8% 3.5% -2.4% -21.8% -8.5% 7.3% 7.5%
1988 4% 4.2% -3.3% 0.9% 0.3% 4.3% -0.5% -3.9% 4% 2.6% -1.9% 1.5% 13.2%
1989 7.1% -2.9% 2.1% 5% 3.5% -0.8% 8.8% 1.6% -0.7% -2.5% 1.7% 2.1% 25%
1990 -6.9% 0.9% 2.4% -2.7% 9.2% -0.9% -0.5% -9.4% -5.1% -0.7% 6% 2.5% -5.5%
1991 4.2% 6.7% 2.2% 0% 3.9% -4.8% 4.5% 2% -1.9% 1.2% -4.4% 11.2% 24.4%
1992 -2% 1% -2.2% 2.8% 0.1% -1.7% 3.9% -2.4% 0.9% 0.2% 3% 1% 4.8%
1993 0.7% 1% 1.9% -2.5% 2.3% 0.1% -0.5% 3.4% -1% 1.9% -1.3% 1% 7.2%
1994 3.3% -3% -4.6% 1.2% 1.2% -2.7% 3.1% 3.8% -2.7% 2.1% -4% 1.2% -1.1%
1995 2.4% 3.6% 2.7% 2.8% 3.6% 2.1% 3.2% -0% 4% -0.5% 4.1% 1.7% 29.7%
1996 3.3% 0.7% 0.8% 1.3% 2.3% 0.2% -4.6% 1.9% 5.4% 2.6% 7.3% -2.2% 19.2%
1997 6.1% 0.6% -4.3% 5.8% 5.9% 4.3% 7.8% -5.7% 5.3% -3.4% 4.5% 1.6% 28.7%
1998 1% 7% 5% 0.9% -1.9% 3.9% -1.2% -14.6% 6.2% 8% 5.9% 5.6% 25.7%
1999 4.1% -3.2% 3.9% 3.8% -2.5% 5.4% -3.2% -0.6% -2.9% 6.3% 1.9% 5.8% 19.5%
2000 -5.1% -2% 9.7% -3.1% -2.2% 2.4% -1.6% 6.1% -5.3% -0.5% -8% 0.4% -8.2%
2001 3.5% -9.2% -6.4% 7.7% 0.5% -2.5% -1.1% -6.4% -8.2% 1.8% 7.5% 0.8% -11.7%
2002 -1.6% -2.1% 3.7% -6.1% -0.9% -7.2% -7.9% 0.5% -11% 8.6% 5.7% -6% -23.2%
2003 -2.7% -1.7% 0.8% 8.1% 5.1% 1.1% 1.6% 1.8% -1.2% 5.5% 0.7% 5.1% 24.9%
2004 1.7% 1.2% -1.6% -1.7% 1.2% 1.8% -3.4% 0.2% 0.9% 1.4% 3.9% 3.2% 9.2%
2005 -2.5% 1.9% -1.9% -2% 3% -0% 3.6% -1.1% 0.7% -1.8% 3.5% -0.1% 3.5%
2006 2.5% 0% 1.1% 1.2% -3.1% 0% 0.5% 2.1% 2.5% 3.2% 1.6% 1.3% 13.3%
2007 1.4% -2.2% 1% 4.3% 3.3% -1.8% -3.2% 1.3% 3.6% 1.5% -4.4% -0.9% 4.7%
2008 -6.1% -3.5% -0.6% 4.8% 1.1% -8.6% -1% 1.2% -9.1% -16.9% -7.5% 0.8% -40.1%
2009 -8.6% -11% 8.5% 9.4% 5.3% 0% 7.4% 3.4% 3.6% -2% 5.7% 1.8% 24.8%
2010 -3.7% 2.9% 5.9% 1.5% -8.2% -5.4% 6.9% -4.7% 8.8% 3.7% -0.2% 6.5% 13.7%
2011 2.3% 3.2% -0.1% 2.8% -1.4% -1.8% -2.1% -5.7% -7.2% 10.8% -0.5% 0.9% 2.7%
2012 4.4% 4.1% 3.1% -0.7% -6.3% 4% 1.3% 2% 2.4% -2% 0.3% 0.7% 13.4%
2013 5% 1.1% 3.6% 1.8% 2.1% -1.5% 4.9% -3.1% 3% 4.5% 2.8% 2.4% 26.6%
2014 -3.6% 4.3% 0.7% 0.6% 2.1% 1.9% -1.5% 3.8% -1.6% 2.3% 2.5% -0.4% 11.4%
2015 -3.1% 5.5% -1.7% 0.9% 1% -2.1% 2% -6.3% -2.6% 8.3% 0.1% -1.8% 0.5%
2016 -5.1% -0.4% 6.6% 0.3% 1.5% 0.1% 3.6% -0.1% -0.1% -1.9% 3.4% 1.8% 10%
2017 1.8% 3.7% -0% 0.9% 1.2% 0.5% 1.9% 0.1% 1.9% 2.2% 2.8% 1% 18%
2018 5.6% -3.9% -2.7% 0.3% 2.2% 0.5% 3.6% 3% 0.4% -6.9% 1.8% -9.2% -5%
2019 7.9% 3% 1.8% 3.9% -6.6% 6.9% 1.3% -1.8% 1.7% 2% 3.4% 2.9% 26.2%
2020 -0.2% -8.4% -12.5% 12.7% 4.5% 1.8% 5.5% 7% -3.9% -2.8% 10.8% 3.7% 21.1%
2021 -1.1% 2.6% 4.2% 5.2% 0.5% 2.2% 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% 24.7%
2022 -5.3% -3.1% 3.6% -8.8% 0% -8.4% 9.1% -4.2% -9.3% 5.5% 0% 0% -20.9%
Pos 61.1% 52.6% 61.1% 66.3% 58.9% 55.8% 60% 57.9% 45.3% 60% 60.6% 74.5% 70.5%
Avg 1.1% -0.1% 0.5% 1.3% -0% 0.7% 1.7% 0.7% -1.2% 0.5% 0.8% 1.4% 7.5%

Other Return Metrics

Metric S&P 500
Cumulative Return 21322.88%
Enh Ann Return 7.77%
Best Year 45.02%
Worst Year -47.07%
Best Month 39.14%
Worst Month -29.94%
Best Day 16.61%
Worst Day -20.47%
Win Ratio (Yearly) 66.32%
Win Ratio (Quarterly) 63.16%
Win Ratio (Monthly) 59.49%
Win Ratio (Daily) 53.04%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
S&P 500 22.14% 24.64% 21.27% 17.32% 19.29% 19.03%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
S&P 500 -0.47 0.46 0.48 0.64 0.51 0.39

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

S&P 500

start valley end Drawdown days
1929-09-17 1932-06-01 1954-09-22 -86.19% 9136
2007-10-10 2009-03-09 2013-03-28 -56.78% 1996
2000-03-27 2002-10-09 2007-05-30 -49.15% 2620
1973-01-12 1974-10-03 1980-07-17 -48.2% 2743
1968-12-02 1970-05-26 1972-03-06 -36.06% 1190

The S&P 500 took approximately 118 months on average to recover from a major drawdown. The longest drawdown lasted 305 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric S&P 500
Sharpe Ratio 0.39
Sortino Ratio 0.56
Adjusted Sortino (S/√2) 0.39
Calmar Ratio 0.07
Omega Ratio 0.07
Gain to Pain Ratio 0.08
Winckel Ratio 57.29
Ulcer Index 0.31
Kelly Criterion 3.97%
Skew -0.12
Kurtosis 17.29
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