S&P 500 (US Large Cap) (SP500.X)

New York Stock Exchange
USD
31 January 1871  –  5 October 2022

Performance

Annualized Return
8.74%
Sharpe Ratio
0.86
Maximum Drawdown
-81.76%

Metrics

Metric S&P 500 (US Large Cap)
Initial Balance $10,000
Final Balance $3,342,996,454
Returns   [View more details]
Month-To-Date 5.57%
Year-To-Date -19.69%
3M -0.68%
6M -16.75%
Annual Return (3Y) 10.39%
Annual Return (5Y) 10.05%
Annual Return (All) 8.74%
Risk   [View more details]
Annual Volatility 10.16%
Max Drawdown -81.76%
Sharpe Ratio 0.86
Sortino Ratio 1.21
Adjusted Sortino (S/√2) 0.86

  • 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 January 1871.
  • 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 152 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 (US Large Cap) -10.69% 10.39% 10.05% 12.04% 10.29% 8.74%

Annual Returns

Year S&P 500 (US Large Cap)
1871 11.79%
1872 13.64%
1873 -7.12%
1874 11.04%
1875 3.04%
1876 -11.88%
1877 -1.64%
1878 11.97%
1879 49.59%
1880 23.97%
1881 7.92%
1882 2.5%
1883 -3.27%
1884 -13.09%
1885 27.46%
1886 13.2%
1887 -2.45%
1888 2.17%
1889 8.02%
1890 -9.97%
1891 22.78%
1892 6.21%
1893 -15.38%
1894 2.36%
1895 5.04%
1896 2.15%
1897 17.22%
1898 23.14%
1899 10.84%
1900 18.47%
1901 20.53%
1902 5.26%
1903 -14.45%
1904 31.54%
1905 19.71%
1906 7.34%
1907 -29.43%
1908 45%
1909 19.15%
1910 -7.63%
1911 5.73%
1912 8.31%
1913 -9.31%
1914 -3.27%
1915 35.77%
1916 9.25%
1917 -25.38%
1918 26.26%
1919 20.18%
1920 -18.49%
1921 15.03%
1922 27.41%
1923 3.52%
1924 26.13%
1925 29.15%
1926 14%
1927 35.68%
1928 38.25%
1929 -4.21%
1930 -24.01%
1931 -41.78%
1932 -10.96%
1933 54.1%
1934 -2.66%
1935 47.02%
1936 35.75%
1937 -31.93%
1938 22.58%
1939 2.06%
1940 -9.78%
1941 -10.74%
1942 17.15%
1943 27.01%
1944 19.82%
1945 38.37%
1946 -9.09%
1947 4.49%
1948 6.87%
1949 16.35%
1950 27.98%
1951 26.82%
1952 17.92%
1953 0.99%
1954 48.06%
1955 34.9%
1956 6.35%
1957 -9.66%
1958 37.78%
1959 13.92%
1960 -0.52%
1961 30.11%
1962 -9.65%
1963 22.19%
1964 16.58%
1965 12.54%
1966 -8.35%
1967 20.73%
1968 15.43%
1969 -11.67%
1970 2.69%
1971 13.65%
1972 21.7%
1973 -16.74%
1974 -26.1%
1975 38.04%
1976 24.33%
1977 -11.68%
1978 0.77%
1979 11.67%
1980 28.17%
1981 -8.47%
1982 19.3%
1983 17.15%
1984 3.69%
1985 22.71%
1986 9.31%
1987 4.7%
1988 16.22%
1989 31.37%
1990 -3.33%
1991 30.19%
1992 8.21%
1993 8.75%
1994 0.4%
1995 38.03%
1996 22.55%
1997 33.48%
1998 28.69%
1999 20.39%
2000 -9.73%
2001 -11.75%
2002 -21.59%
2003 28.18%
2004 10.7%
2005 4.83%
2006 15.85%
2007 5.14%
2008 -36.81%
2009 26.37%
2010 15.06%
2011 1.89%
2012 15.99%
2013 32.31%
2014 13.46%
2015 1.25%
2016 12%
2017 21.7%
2018 -4.56%
2019 31.22%
2020 18.37%
2021 28.74%
2022 -19.69%

S&P 500 (US Large Cap) had 112 positive years and 40 negative years. That's a positive ratio of 74%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1871 0% 2% 2.9% 2.7% 3.9% -0.9% -0.9% 0.9% 1.8% -4.4% 1% 2.5% 11.2%
1872 3.8% 0.8% 3.2% 3.5% 0% 0% 0% -0.8% -1.6% 0.9% 0% 3.2% 12.8%
1873 1.5% 0.8% 0% -0.8% 0.8% -0.8% 0% 0.8% -6.9% -8.3% -3.4% 10% -7.3%
1874 5.8% 4% -0.6% -2.3% -1.5% -0.1% 0% 1.6% 1.6% 0.8% 1.6% 0% 10.5%
1875 0% 0.7% 1.6% 2.2% -3.6% -0.7% 0.7% 0.7% 0% -1.4% 2.2% 0.7% 3%
1876 2.2% 2.2% 0.7% -3.3% -3.2% 0% -0.7% -3.8% -5.4% -0.1% -0.9% 0% -12.6%
1877 0% -5% -4.3% -6.6% 0% -5.7% 5% 7% 7% 3.1% -0.8% 0% -1.6%
1878 0% -1.7% 2.5% 3.5% 0.9% 2.2% 2.5% 0% 2.3% -0.7% 0% 0% 11.3%
1879 3.8% 4.4% -1.4% 3.6% 5.3% 0.8% 2.6% 0.6% 4.5% 11.4% 5% 0.9% 40.3%
1880 3.9% 2% 2.6% -1.9% -7.7% 1.1% 4.5% 4.6% 0% 3.1% 5.7% 4.7% 21.5%
1881 6.2% 0% 1.6% 0% 4.9% 1.8% -3% -2.1% 1.1% -1.1% 1.1% -2.5% 7.6%
1882 -1.2% -1.5% 0% 0.7% -0.7% 0% 5.9% 3.3% 1.4% -2.1% -4% 1% 2.5%
1883 0.1% -1.9% 1.5% 2.6% -1.1% 1.1% -1.1% -4% 1.8% -2.1% 1.9% -1.9% -3.3%
1884 -2.3% 3.2% 0% -3.8% -7.3% -3.7% 0.4% 6.6% -2.5% -2.6% -1.2% -0.1% -14%
1885 -1.7% 3.8% 0.6% 0.4% -0.4% -0% 4.3% 5.8% -0.8% 6.1% 7.2% -0.3% 24.3%
1886 0.3% 2.3% -1.5% -1% -1.8% 4.9% 2% 1.1% 2.9% 2.7% 3.3% -2.4% 12.4%
1887 -0.6% -0.6% 2.8% 2.6% 2.1% -2.6% -1.9% -2.2% -0.9% -3.1% 2.6% -0.3% -2.5%
1888 1.2% -0.3% -3.3% 0.9% 1.6% -2.4% 2.8% 2.5% 2.6% 0.2% -1.8% -1.5% 2.2%
1889 2.2% 1.5% -1.7% 0.2% 3% 1.9% -1.6% 1.7% 2.9% -1.7% -0.6% 0% 7.7%
1890 1.4% -0.8% -0.3% 2.3% 4.6% -0.4% -0.3% -2% -1.5% -4.2% -6.5% -2.3% -10.5%
1891 5.5% 1.6% -1.4% 3.9% 0% -1.7% -1.2% 3.6% 8.6% 0.3% -1% 3.2% 20.6%
1892 2.2% 0.6% 1.5% 0% 0.5% -0.2% 0.2% 2% -2.2% 2.2% 0% -0.7% 6%
1893 2.2% -1.4% -3.1% 0.2% -8.4% -4.3% -8.8% -1.8% 7.3% 3.8% 2% -2.9% -16.6%
1894 -1.9% 2% 3.3% 1.8% -3.3% -0.8% -1.7% 4% 1.8% -2.3% 0.3% -0.6% 2.4%
1895 -0.8% -0.8% 0.3% 4.9% 6% 2.2% 0.9% 1.7% 1% -1.2% -2.8% -5.6% 5%
1896 -0.8% 4.4% -1.1% 1.3% 0% -1.5% -6% -5.3% 5.6% 2.4% 7.4% -3.3% 2.2%
1897 0.2% -0.5% 0.5% -2.9% 1.1% 5% 4.7% 6.9% 5.2% -2.8% -3.3% 2.5% 15.9%
1898 2.9% 0.2% -4.3% -1.3% 6.8% 4.3% 0.8% 4.1% 0% -1.8% 3.6% 6.3% 20.9%
1899 8.2% 4% 1.8% 1.3% -3.8% -1.9% 3.8% 2.7% -0.7% -0.2% 2.2% -6.1% 10.3%
1900 1.2% 2.1% 1.1% 1.6% -4.3% -2.5% 0.2% 1.6% -1.8% 4% 8.2% 6.3% 17%
1901 3.3% 2.9% 3.6% 9% -4.7% 9.7% -5.8% 1.7% -0.2% -0.8% 2.5% -1.2% 18.8%
1902 2.4% 1.2% 0.4% 3.7% 0.1% -0.3% 2.7% 2.8% 0.7% -2.9% -3.3% -2.1% 5.1%
1903 5.2% -0.1% -3.6% -3.8% -1.5% -5.2% -4.3% -2.7% -1.9% -2.8% 0.7% 5.1% -15.6%
1904 2% -2.1% 0.1% 2.7% -1.5% 0.5% 4.3% 4.1% 4.7% 6.3% 5.8% 1.2% 27.5%
1905 2.5% 4.7% 3.1% -0.8% -4.7% 1.5% 3.5% 4% 0.6% 1.8% -0.2% 2.5% 18%
1906 4% -0.5% -2% -1.1% -2.3% 1.5% -2.1% 7.7% 3.2% -2.4% 2.4% -0.6% 7.1%
1907 -2.5% -2.8% -8.9% 0.2% -3% -2.6% 4.1% -6.8% -0.8% -10.4% -5.2% 5.5% -34.7%
1908 4.8% -3% 4.5% 5.9% 5.5% 1% 4.1% 4.8% -0.7% 1.6% 7.2% 2.6% 37.2%
1909 0.7% -2.3% 1.5% 4.9% 3.6% 2.2% 1.7% 2.9% 0.4% 0.7% -0.1% 1.5% 17.5%
1910 -1.8% -3.2% 2.8% -1.9% -1.4% -4.4% -4.3% 2.5% 1.1% 5% 0.3% -2.3% -7.9%
1911 2.8% 2.1% -0.8% 0% 2.6% 2.4% 0% -4.4% -4.9% 0.8% 4.5% 0.8% 5.6%
1912 0.6% -0.4% 3.1% 3.7% 0.4% 0.4% 0.6% 2.6% 1% 0.2% -0.7% -3.2% 8%
1913 -0.4% -3.2% -1.4% 0.4% -2.2% -4.6% 1.9% 2.9% 1.6% -2.7% -1.9% 0.2% -9.8%
1914 4.5% 1.9% -1.4% -2% 1.1% 0% -5.1% 0.5% 0.5% 0.4% 0.5% -3.8% -3.3%
1915 2.1% -0.7% 3% 8% -1.9% 1.6% 0.1% 4.7% 4.1% 5.6% 4.3% 0.6% 30.6%
1916 -1.2% -1% 0.1% -0.7% 2.6% 1.4% -0.9% 1.2% 4.4% 3.7% 2.8% -3.3% 8.9%
1917 -2.1% -5.1% 3.5% -0.9% -2.8% 2.5% -2.1% -2.4% -3.9% -5% -7.6% -2.6% -29.2%
1918 6.9% 3.8% -1.2% -0.3% 3.9% 0.8% 1.6% 1.5% 0.2% 4.9% 3.1% -1.3% 23.4%
1919 -0% 1% 3.6% 3.9% 7.2% 3.4% 3.7% -5.8% 1.6% 5.6% -2.3% -2.6% 18.4%
1920 -0.5% -7.2% 7% -0.3% -5.8% -1.2% 0.4% -3.4% 4.1% 0.6% -4.5% -8.4% -20.4%
1921 5% -0.1% -1.9% 1% 3.7% -7.4% 0.3% -0.6% 3.1% 1.9% 5.9% 4% 14%
1922 0.5% 2.7% 4.3% 6.1% 4.8% -0.5% 1.2% 4.3% 2.9% 2.8% -4.5% 0.2% 24.3%
1923 1.9% 4.7% 2% -3% -4.3% -3.2% -3% 1% 1.1% -0.8% 3.5% 4% 3.5%
1924 3.8% 1% -1.4% -1.8% 0.2% 2.4% 5.2% 3.7% -0.2% -0.8% 5.7% 6.3% 23.3%
1925 4.4% 1.4% -2.2% -0.6% 3.4% 2.5% 3.2% 1.8% 2.8% 3.6% 3.7% 2% 25.6%
1926 1.8% 0.7% -6.4% -2.3% 1.2% 5.2% 4.5% 4.5% 2% -1.7% 1.6% 2.7% 13.1%
1927 -0.2% 2.4% 2% 2.8% 4% 1.7% 2.5% 5.9% 6.1% -1.2% 2.7% 2.6% 30.6%
1928 0.9% -0.8% 5.6% 6.9% 3.4% -4.4% 0.9% 3.6% 6.9% 2.8% 7.1% 0.7% 32.5%
1929 7.7% 0.8% 1.9% -0.2% 1.8% 2.1% 9.4% 5.8% 4.4% -10.3% -24.4% 2% -3.9%
1930 1.8% 6.6% 4.1% 6.7% -5.5% -9.9% -1.8% -0.8% 0.3% -13.4% -6.3% -6.6% -27.3%
1931 3.4% 8% 2.7% -9.1% -8.6% -3.3% 3.8% -2.5% -14.4% -12.3% 1.5% -18.1% -53.8%
1932 -0.8% -0.1% 1.1% -22.5% -12.2% -12.4% 5.7% 51.9% 10.3% -13.2% -0.4% -2.6% -10.7%
1933 4.5% -11.3% 0.3% 10.5% 30.2% 17.6% 8.4% -4.6% -0.5% -9.4% 2.8% 2.2% 43.7%
1934 6.2% 7.8% -4.6% 1.8% -9.8% 1.7% -4.3% -3.5% -1.9% 1.1% 3.2% 1% -2.6%
1935 0.4% -2.6% -5.5% 7.5% 8.3% 3.9% 5.9% 6.9% 2.7% 3% 9.4% 0.6% 38.6%
1936 5.8% 5.8% 2.6% 0.4% -4.7% 4.2% 6.2% 2.3% 1.5% 5.4% 3.3% -1.4% 30.6%
1937 3.2% 3.3% 0.5% -5.6% -4.1% -3.3% 6.2% 1.6% -13.8% -13.2% -9.2% -1% -38.3%
1938 3.2% -1.8% -6% -3.3% 1.4% 2.9% 19.1% 2.2% -4.1% 11.6% 0.4% -2.5% 20.5%
1939 -1.2% -0.5% 0.3% -11.4% 3.1% 2.2% 2.8% -1.1% 10.7% 1.7% -1.4% -1.8% 2.1%
1940 -0.3% -0.2% -0.1% 1.4% -13.3% -7.5% 3.3% 2.6% 4.9% 1.5% 2.8% -3.5% -10.2%
1941 0.7% -5.7% 1.2% -2.5% -1.5% 4.1% 5.7% 0.1% 0.9% -3.4% -3.8% -6.1% -11.3%
1942 2.5% -2.3% -4.9% -3.5% 1.7% 5.9% 4.4% 0% 1.6% 7.7% 2.4% 1% 15.9%
1943 6.1% 6.4% 4.5% 3.8% 4.4% 2.2% 2.4% -4.5% 2.5% -0.5% -4.2% 1.8% 24%
1944 3.7% -0.2% 3.2% -1.2% 2.1% 5.1% 3% -1.1% -1.2% 2.8% -0.3% 2.4% 18.1%
1945 3.6% 3.7% 0.3% 2.9% 4.2% 2.1% -1.6% 0.7% 6.7% 5% 3.6% 2% 32.5%
1946 4.3% 0.6% -2.5% 6.6% 0.5% -0.3% -2.6% -1.6% -14.5% -1.9% -0% 3.4% -9.4%
1947 0.9% 4.3% -3.7% -3.3% -1.3% 3.9% 6.7% -1.5% -2.3% 3% -0.7% -1.2% 4.4%
1948 -0.8% -4.2% 1.6% 8.2% 5.3% 4.6% -1.9% -2.6% -0.7% 3% -4.9% -0.1% 6.7%
1949 1.6% -3.3% 1.5% 0.4% -0.2% -4.9% 5.9% 4.6% 1.9% 3.2% 2% 3.2% 15.2%
1950 2.7% 2.5% 1.4% 3.2% 4.1% 2.2% -6.7% 6.7% 4% 4.9% 0.4% 0.2% 24.7%
1951 8% 4.3% -1.1% 1.9% 0.6% -1.1% 2.3% 5% 2.9% 0.2% -2.3% 3.6% 23.8%
1952 3.8% -1.3% 0.8% 0.2% 0.4% 3.3% 3.4% 0.8% -1.1% -1.6% 3.4% 4.7% 16.5%
1953 1% -0.7% 0.9% -4.5% 0.9% -3% 1.9% 0.9% -4.1% 3.4% 2.8% 1.8% 1%
1954 2.8% 2.7% 2.8% 4.4% 4.4% 1.2% 4.3% 2.5% 2.7% 2.5% 4.5% 5% 39.3%
1955 2.2% 3.7% -0.4% 3.7% 0% 6.1% 7.2% 0.2% 4.8% -4.7% 7.1% 1.2% 30%
1956 -2.3% 1% 7% 1.7% -2.8% -0.2% 5.7% -0.3% -2.9% -1.2% -0.7% 1.8% 6.2%
1957 -1.9% -4% 1.5% 2.7% 4.2% 1.8% 2.5% -5% -3.9% -5.9% -1.7% 0.3% -10.1%
1958 2.3% 0.7% 2.4% 0.9% 3.4% 2.8% 3.1% 3.8% 3.2% 4.4% 3.1% 2.4% 32.1%
1959 4.1% -1.1% 2.8% 1.9% 1.7% -0.5% 4.2% -0.3% -3.7% 0.2% 0.7% 3.5% 13.1%
1960 -1.4% -3.7% -1.1% 1.5% -0.6% 4% -2.1% 1.3% -2.7% -1.7% 3.5% 2.6% -0.5%
1961 5.5% 4.4% 3.4% 2.7% 1.5% -1.1% -0% 3.8% -0.5% 1.3% 4.8% 1.1% 26.4%
1962 -3.4% 1.9% 0.3% -2.9% -7.2% -11% 2.3% 3% -0.6% -2.9% 7.2% 4.6% -10.1%
1963 4.1% 1.6% -0.1% 5% 2.3% 0.2% -1.2% 2.9% 3% 0.5% -0.3% 2.4% 20.1%
1964 3.3% 1.4% 2.1% 1.7% 1.1% -0.3% 4% -1.2% 2% 1.9% 1% -1.5% 15.4%
1965 2.6% 1.1% 0.4% 1.6% 1.7% -4.5% 0.1% 2.1% 3.6% 2.3% 1.2% -0.2% 11.8%
1966 2% -0.4% -3.9% 3.2% -4.9% -0.6% 0% -5.8% -3.2% -0.6% 5.3% 0.7% -8.7%
1967 4.2% 3.7% 2.6% 1.9% 2.2% -1% 2% 1.9% 1.6% 0.2% -2.9% 2.9% 18.9%
1968 0.2% -4.3% -1.5% 7.6% 2.6% 2.7% 0.2% -1.9% 3.4% 2.7% 1.7% 1.3% 14.4%
1969 -4% -0.2% -1.7% 2.1% 3.4% -4.9% -4.2% -0.3% 0.6% 1.3% 0.9% -5% -12.4%
1970 -0.6% -3.1% 1.9% -2.7% -10.5% -1.1% 0.5% 3.3% 6.3% 2.4% 0.3% 7.2% 2.7%
1971 3.8% 4.1% 3.1% 3.7% -1% -1.7% -0.4% -1.5% 2.5% -1.7% -4.5% 7.2% 12.8%
1972 4.4% 2.1% 2.5% 1.3% -0.7% 0.5% -0.5% 3.8% -1.2% 0.4% 5.3% 2.2% 19.7%
1973 1.1% -3.3% -1.3% -1.7% -2.6% -1.9% 1.1% -1.6% 1.9% 4.4% -6.9% -6.8% -18.3%
1974 1.7% -2.5% 4.3% -4.5% -2.7% 0.4% -11.3% -3.6% -10.1% 2.4% 3.6% -6% -30.1%
1975 8.6% 10.8% 5% 1.5% 6.5% 3.1% 0.4% -6.5% -1.3% 5% 1.9% -1% 32.3%
1976 9.2% 4.2% 1.1% 1.1% -0.3% 0.9% 2.6% -0.5% 2.4% -2.1% -0.1% 4% 21.9%
1977 -5% -1.4% -2.2% 0% -1.5% 3.5% -1.5% -1.4% -1% -4.2% 3.5% -0.8% -12%
1978 -6% -1.7% 1.4% 8.5% 1.3% -2.6% 5.7% 3.4% -1.5% -8.9% 2.6% -0.1% 1.8%
1979 4.1% -2.9% 4.6% 0.4% -1.7% 2.9% 1.1% 6.1% -0.8% -6.5% 5.1% -0.7% 11.7%
1980 5.9% 0.4% -9.8% 4.3% 5.5% 2.8% 6.6% 1.3% 2.7% 2% 11% -5.9% 26.2%
1981 -4.4% 2.1% 3.7% -2.2% 0.6% -0.9% -0% -5.4% -5% 5.2% 4.4% -6.1% -7.8%
1982 -1.5% -5.1% -0.7% 4.1% -2.8% -1.6% -2.2% 12.4% 1% 11.1% 4.2% 0.3% 19.3%
1983 3.4% 2.5% 3.5% 7.6% -0.9% 3.7% -3.2% 1.8% 1.3% -1.4% 2.3% -4% 16.8%
1984 -0.5% -3.3% 1.6% 0.7% -5.4% 2.2% -1.5% 11.2% -0% 0.3% -1% 0.2% 4.4%
1985 7.6% 1.4% 0% -0.3% 6% 1.4% -0.2% -0.7% -3.1% 4.4% 6.9% -2.1% 21.1%
1986 0.4% 7.6% 5.5% -1.3% 5.5% 1.7% -5.7% 7.5% -8.3% 5.6% 2.6% -9.9% 10.3%
1987 13.3% 4% 2.9% -1% 1% 5% 4.9% 3.8% -2.3% -21.7% -8.2% 7.6% 10.1%
1988 4.2% 4.6% -3% 1% 0.8% 4.6% -0.4% -3.4% 4.3% 2.7% -1.5% 1.7% 16.5%
1989 7.3% -2.5% 2.3% 5.2% 4% -0.6% 9% 1.9% -0.4% -2.3% 2% 2.4% 28.1%
1990 -6.7% 1.3% 2.6% -2.5% 9.7% -0.7% -0.4% -9% -4.9% -0.4% 6.4% 2.7% -2.1%
1991 4.4% 7.1% 2.4% 0.2% 4.3% -4.6% 4.6% 2.3% -1.7% 1.3% -4% 11.4% 27.4%
1992 -1.9% 1.2% -1.9% 2.9% 0.5% -1.5% 4% -2.1% 1.2% 0.3% 3.4% 1.9% 8.4%
1993 0.1% 1.1% 2.2% -2.6% 2.7% 0.4% -0.5% 3.8% -0.7% 2% -1.1% 1.2% 8.8%
1994 3.5% -2.9% -4.2% 1.1% 1.6% -2.3% 3.2% 3.8% -2.5% 2.8% -4% 0.7% 1%
1995 3.4% 4.1% 2.8% 3% 4% 2% 3.2% 0.4% 4.2% -0.3% 4.4% 1.6% 32.6%
1996 3.6% 0.3% 1.7% 1.1% 2.3% 0.9% -4.5% 1.9% 5.6% 3.2% 7.3% -2.3% 21.2%
1997 6.2% 1% -4.4% 6.3% 6.3% 4.1% 7.9% -5.2% 4.8% -2.5% 3.9% 1.9% 30.9%
1998 1.3% 6.9% 4.9% 1.3% -2.1% 4.3% -1.4% -14.1% 6.4% 8.1% 5.6% 6.5% 27.7%
1999 3.5% -3.2% 4.2% 3.8% -2.3% 5.5% -3.1% -0.5% -2.2% 6.4% 1.7% 5.7% 20.2%
2000 -5% -1.5% 9.7% -3.5% -1.6% 2% -1.6% 6.5% -5.5% -0.5% -7.5% -0.5% -7.4%
2001 4.4% -9.5% -5.6% 8.5% -0.6% -2.4% -1% -5.9% -8.2% 1.3% 7.8% 0.6% -10.1%
2002 -1% -1.8% 3.3% -5.8% -0.6% -7.4% -7.9% 0.7% -10.5% 8.2% 6.2% -5.7% -20.8%
2003 -2.5% -1.3% 0.2% 8.5% 5.5% 1.1% 1.8% 2.1% -1.1% 5.4% 1.1% 5% 26.2%
2004 2% 1.4% -1.3% -1.9% 1.7% 1.8% -3.2% 0.2% 1% 1.3% 4.5% 3% 10.8%
2005 -2.2% 2.1% -1.8% -1.9% 3.2% 0.1% 3.8% -0.9% 0.8% -2.4% 4.4% -0.2% 5.2%
2006 2.4% 0.6% 1.7% 1.3% -3% 0.3% 0.4% 2.2% 2.7% 3.2% 2% 1.3% 15.2%
2007 1.5% -2% 1.2% 4.4% 3.4% -1.5% -3.1% 1.3% 3.9% 1.4% -3.9% -1.1% 6.3%
2008 -6% -2.6% -0.9% 4.8% 1.5% -8.3% -0.9% 1.5% -9.4% -16.5% -7% 1% -37.4%
2009 -8.2% -10.7% 8.3% 9.9% 5.8% -0.1% 7.5% 3.7% 3.5% -1.9% 6.2% 1.9% 26.9%
2010 -3.6% 3.1% 6.1% 1.5% -7.9% -5.2% 6.8% -4.5% 9% 3.8% -0% 6.7% 15.6%
2011 2.3% 3.5% 0% 2.9% -1.1% -1.7% -2% -5.5% -6.9% 10.9% -0.4% 1% 4.5%
2012 4.6% 4.3% 3.2% -0.7% -6% 4.1% 1.2% 2.5% 2.5% -1.8% 0.6% 0.9% 15.6%
2013 5.1% 1.3% 3.8% 1.9% 2.4% -1.3% 5.2% -3% 3.2% 4.6% 3% 2.6% 28.6%
2014 -3.5% 4.6% 0.8% 0.7% 2.3% 2.1% -1.3% 3.9% -1.4% 2.4% 2.7% -0.3% 13.3%
2015 -3% 5.6% -1.6% 1% 1.3% -2% 2.2% -6.1% -2.5% 8.5% 0.4% -1.7% 2.4%
2016 -5% -0.1% 6.7% 0.4% 1.7% 0.3% 3.6% 0.1% 0% -1.7% 3.7% 2% 12.2%
2017 1.8% 3.9% 0.1% 1% 1.4% 0.6% 2.1% 0.3% 2% 2.4% 3.1% 1.2% 19.9%
2018 5.6% -3.6% -2.7% 0.5% 2.4% 0.6% 3.7% 3.2% 0.6% -6.9% 1.9% -8.8% -3.2%
2019 8% 3.2% 1.8% 4.1% -6.4% 7% 1.5% -1.7% 1.9% 2.2% 3.6% 2.9% 28%
2020 -0% -7.9% -12.5% 12.7% 4.8% 1.8% 5.9% 7% -3.7% -2.5% 10.9% 3.7% 22.5%
2021 -1% 2.8% 4.5% 5.3% 0.7% 2.2% 2.4% 3% -4.7% 7% -0.8% 4.6% 26.1%
2022 -5.3% -3% 3.8% -8.8% 0.2% -8.2% 9.2% -4.1% -9.2% 5.6% 0% 0% -19.7%
Pos 69.6% 56.3% 65.8% 67.1% 59.5% 55.7% 64.2% 64.2% 57.7% 58.6% 64.9% 60.3% 73.7%
Avg 1.7% 0.5% 0.7% 1.1% 0.4% 0.2% 1.4% 1.2% 0.3% 0.3% 1.2% 0.5% 8.9%

Other Return Metrics

Metric S&P 500 (US Large Cap)
Cumulative Return 33429864.54%
Enh Ann Return 10.4%
Best Year 54.1%
Worst Year -41.78%
Best Month 51.88%
Worst Month -24.44%
Best Day 14.52%
Worst Day -20.46%
Win Ratio (Yearly) 73.68%
Win Ratio (Quarterly) 66.12%
Win Ratio (Monthly) 61.97%
Win Ratio (Daily) 59.34%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
S&P 500 (US Large Cap) 22.12% 24.13% 20.92% 17.1% 19.15% 10.16%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
S&P 500 (US Large Cap) -0.4 0.53 0.56 0.75 0.61 0.86

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 (US Large Cap)

start valley end Drawdown days
1929-10-01 1932-06-30 1945-01-02 -81.76% 5572
2007-10-10 2009-03-09 2012-08-16 -55.2% 1772
2000-03-27 2002-10-09 2006-10-26 -47.5% 2404
1973-02-01 1974-12-31 1976-07-22 -39.16% 1267
2020-02-20 2020-03-23 2020-08-10 -33.7% 172

The S&P 500 (US Large Cap) took approximately 75 months on average to recover from a major drawdown. The longest drawdown lasted 186 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 (US Large Cap)
Sharpe Ratio 0.86
Sortino Ratio 1.21
Adjusted Sortino (S/√2) 0.86
Calmar Ratio 0.11
Omega Ratio 0.11
Gain to Pain Ratio 0.24
Winckel Ratio 57.89
Ulcer Index 0.17
Kelly Criterion 11.64%
Skew -0.95
Kurtosis 62.69
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