US Total Stock Market (TOTSTOCKMKT.X)

New York Stock Exchange
USD
30 June 1926  –  16 August 2022

Performance

Annualized Return
10.21%
Sharpe Ratio
0.93
Maximum Drawdown
-83.67%

Metrics

Metric US Total Stock Market
Initial Balance $10,000
Final Balance $115,033,514
Returns   [View more details]
Month-To-Date 4.84%
Year-To-Date -9.8%
3M 8.06%
6M -2.31%
Annual Return (3Y) 15.48%
Annual Return (5Y) 13.24%
Annual Return (All) 10.21%
Risk   [View more details]
Annual Volatility 11%
Max Drawdown -83.67%
Sharpe Ratio 0.93
Sortino Ratio 1.31
Adjusted Sortino (S/√2) 0.93

  • 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 June 1926.
  • Final balance: The amount of capital we've accrued over time as of August 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 96 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
US Total Stock Market -4.74% 15.48% 13.24% 13.6% 10.32% 10.21%

Annual Returns

Year US Total Stock Market
1926 9.7%
1927 33.28%
1928 38.83%
1929 -11.26%
1930 -28.32%
1931 -44.1%
1932 -8.76%
1933 57.27%
1934 2.49%
1935 46.36%
1936 33.7%
1937 -34.83%
1938 28.31%
1939 2.34%
1940 -6.98%
1941 -10.06%
1942 16.76%
1943 27.97%
1944 20.95%
1945 38.64%
1946 -6.24%
1947 3.87%
1948 2.41%
1949 19.86%
1950 30.13%
1951 21.19%
1952 13.69%
1953 0.71%
1954 50.64%
1955 25.72%
1956 8.6%
1957 -9.89%
1958 44.87%
1959 12.83%
1960 0.82%
1961 27.16%
1962 -9.56%
1963 21.21%
1964 16.46%
1965 14.33%
1966 -8.73%
1967 27.17%
1968 13.44%
1969 -10.23%
1970 0.94%
1971 16.39%
1972 16.93%
1973 -17.71%
1974 -27.25%
1975 38.54%
1976 26.86%
1977 -3.48%
1978 8.03%
1979 22.73%
1980 33.33%
1981 -3.3%
1982 22.1%
1983 23.05%
1984 4.53%
1985 32.47%
1986 16.77%
1987 2.15%
1988 17.86%
1989 29.33%
1990 -5.47%
1991 34.45%
1992 8.22%
1993 10.62%
1994 -0.17%
1995 35.79%
1996 20.96%
1997 30.99%
1998 23.3%
1999 23.81%
2000 -10.57%
2001 -11.14%
2002 -20.48%
2003 30.75%
2004 12.79%
2005 6.31%
2006 15.69%
2007 5.37%
2008 -36.98%
2009 28.89%
2010 17.42%
2011 0.97%
2012 16.45%
2013 33.45%
2014 12.54%
2015 0.36%
2016 12.83%
2017 21.21%
2018 -5.21%
2019 30.67%
2020 21.03%
2021 25.67%
2022 -9.8%

US Total Stock Market had 73 positive years and 24 negative years. That's a positive ratio of 75%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1926 0% 0% 0% 0% 0% 0% 3.2% 3% 0.5% -2.8% 2.8% 2.7% 9.3%
1927 0.2% 4.5% 0.4% 0.8% 5.5% -2% 7.4% 2.7% 4.9% -4.1% 7% 2.3% 28.8%
1928 -0.3% -1.1% 9.2% 4.7% 1.5% -4% 0.5% 6.9% 2.5% 1.7% 12.2% 0.5% 32.9%
1929 5.3% 0.4% 0.1% 1.7% -5.3% 9.8% 5.3% 8.7% -4.5% -18.8% -11.4% 0.8% -11.7%
1930 5.2% 2.6% 7.5% -2.5% -0.8% -15.4% 4.4% 0.3% -12.3% -8.8% -2.5% -7.4% -33.1%
1931 5.8% 10.7% -6% -9.8% -12.2% 13.1% -6.6% 0.2% -28.9% 7.7% -8.6% -13.5% -57.5%
1932 -1.8% 5.6% -11.3% -17.9% -21.2% -1.1% 31.5% 39.8% -2.7% -13.1% -4.7% 4.8% -8.2%
1933 1.1% -15.5% 3.1% 36.3% 23.8% 13.3% -9.9% 12.2% -10.4% -8.4% 10.3% 2% 46.1%
1934 13% -2.5% -0% -2% -7.5% 2.4% -11.1% 5.6% -0.2% -1.8% 8.5% 0.5% 2.6%
1935 -3.4% -2% -3.3% 8.7% 3.6% 5.7% 7.9% 2.6% 2.8% 7.2% 5% 4.9% 38.2%
1936 6.9% 2.8% 1.3% -8.2% 4.9% 2.9% 6.8% 1% 1% 7.3% 3.3% 0.3% 29.1%
1937 3.1% 1.3% 0% -7.4% -0.6% -4.3% 8.7% -4.7% -13.8% -9.1% -9% -4.3% -42.6%
1938 0.5% 5.9% -24.2% 14.1% -3.6% 24.4% 6.9% -2.2% 0.9% 7.8% -1.7% 3.9% 25.4%
1939 -6% 3.6% -12.1% -0.3% 6.8% -5.6% 10.4% -6.6% 16.8% -0.2% -3.8% 2.7% 2.5%
1940 -2.3% 1.4% 1.9% 0.3% -22% 6.2% 3.7% 2.1% 2.6% 3.1% -1.5% 0.5% -7%
1941 -4.3% -1.5% 1% -5.5% 1.5% 5.8% 6% -0.1% -0.9% -5% -1.6% -5.1% -10.6%
1942 0.5% -2.3% -6.4% -4.4% 5.4% 3.2% 3.6% 1.9% 2.8% 6.5% 0.5% 5.2% 15.6%
1943 6.5% 6.3% 6.4% 0.7% 5.7% 1.8% -4.5% 1.1% 2.4% -1% -5.9% 6.4% 24.7%
1944 1.6% 0.5% 2.6% -1.5% 4.8% 5.5% -1.5% 1.4% 0.1% 0.2% 1.8% 3.9% 19%
1945 2.3% 6.3% -3.8% 7.6% 1.7% 0.3% -2.2% 6.1% 4.5% 4.4% 5.4% 1.3% 32.7%
1946 6.2% -5.9% 5.5% 4.7% 4% -3.5% -2.9% -6.2% -10.3% -1.5% 0.1% 5% -6.3%
1947 1.2% -0.9% -1.5% -4.7% -1% 5.2% 4.2% -1.6% -0.6% 2.7% -1.8% 3.1% 3.8%
1948 -3.8% -4.2% 8% 3.9% 7.6% 0.1% -4.9% 0.2% -2.9% 5.7% -9% 3.5% 2.5%
1949 0.2% -2.9% 4.2% -1.6% -3% 0.2% 5.2% 3.1% 3.2% 3.2% 1.9% 5% 18.2%
1950 1.8% 1.5% 1.4% 3.9% 4.8% -5.8% 1.4% 5% 4.7% 0.1% 3% 5.3% 26.4%
1951 6.2% 1.6% -2% 5.1% -2.3% -2.4% 7% 4.4% 0.7% -2.4% 0.7% 3.5% 19.3%
1952 1.6% -2.5% 4.7% -4.8% 3.2% 4.1% 1.1% -0.6% -1.9% -0.5% 5.7% 3.5% 12.9%
1953 -0.2% -0.1% -1.3% -2.7% 0.7% -1.7% 2.5% -4.4% 0.4% 4.6% 3.1% 0.2% 0.7%
1954 4.9% 1.9% 3.9% 4.4% 3.2% 1.1% 4.9% -2.2% 6.6% -1.5% 9.4% 5.6% 41%
1955 0.7% 3.1% -0.1% 3.2% 1.2% 6.9% 1.9% 0.5% -0.2% -2.5% 7.2% 1.6% 22.9%
1956 -2.8% 4% 6.7% 0.7% -5% 3.6% 5.2% -3.1% -4.7% 0.4% 0.6% 3.5% 8.3%
1957 -3.5% -1.8% 2.2% 4.8% 3.8% -0.4% 1% -4.7% -5.9% -4% 2.5% -3.5% -10.4%
1958 4.8% -1.4% 3.4% 3.2% 2.3% 3.1% 4.5% 1.8% 5% 2.8% 2.9% 5.6% 37.1%
1959 0.8% 1% 0.5% 4% 1.9% 0.2% 3.4% -1.2% -4.5% 1.4% 1.9% 2.9% 12.1%
1960 -6.3% 1% -1.3% -1.6% 3.2% 2.3% -2.1% 3.1% -5.8% -0.4% 4.8% 4.7% 0.9%
1961 6.6% 3.6% 3% 0.4% 2.7% -2.8% 3% 2.7% -1.9% 2.7% 4.7% 0.1% 24.1%
1962 -3.6% 2% -0.5% -6.4% -8.3% -8% 6.2% 2.3% -4.6% 0.1% 11.1% 1.4% -9.9%
1963 5% -2.2% 3.2% 5% 2% -1.7% -0.2% 5.2% -1.2% 2.9% -0.5% 2.2% 19.3%
1964 2.7% 1.7% 1.8% 0.4% 1.5% 1.7% 2.1% -1.1% 3% 0.8% 0.3% 0.4% 15.3%
1965 3.6% 0.8% -1% 3.4% -0.4% -4.9% 1.7% 3.1% 3.3% 2.7% 0.4% 1.3% 13.4%
1966 0.9% -1% -2.1% 2.3% -5% -1.1% -1.1% -7.5% -0.6% 4.5% 1.7% 0.4% -9.1%
1967 8.3% 1% 4.3% 3.9% -3.8% 2.4% 4.8% -0.6% 3.3% -2.5% 0.7% 2.9% 24.1%
1968 -3.5% -3.1% 0.6% 9.2% 2.5% 1.1% -2% 1.6% 4.3% 0.9% 5.5% -3.5% 12.7%
1969 -0.8% -5.1% 2.9% 2.4% 0.3% -6.1% -6.4% 4.7% -2.2% 5.5% -3% -2.1% -10.7%
1970 -7.2% 5.3% -0.1% -10.1% -5.8% -5.6% 7.4% 5% 4.5% -1.7% 5.1% 6.2% 1.1%
1971 4.7% 1.9% 4.5% 3.6% -3.4% -0% -4% 4.1% -0.5% -3.7% -0.3% 9.1% 15.2%
1972 2.6% 3% 0.8% 0.6% 1.7% -2.1% -0.4% 3.6% -0.7% 0.9% 5% 1% 15.7%
1973 -2.5% -4.1% -0.6% -4.6% -2% -0.9% 5.5% -3.1% 5% 0.1% -12.2% 1.3% -19.4%
1974 0.3% 0.1% -2.2% -4.7% -3.6% -1.9% -7.6% -8.4% -11.2% 16.9% -3.8% -2.8% -31.6%
1975 14% 6.1% 3.1% 4.7% 5.5% 5.4% -6.2% -2.2% -3.8% 6% 2.9% -0.9% 32.7%
1976 12.2% 0.8% 2.8% -1.1% -0.9% 4.5% -0.6% -0.1% 2.5% -2% 0.6% 6% 23.9%
1977 -3.8% -1.7% -1% 0.4% -1% 5.1% -1.2% -1.4% 0.1% -3.9% 4.4% 0.7% -3.5%
1978 -5.5% -1% 3.3% 8% 2.7% -1.3% 5.7% 4.3% -0.8% -11.2% 3.5% 1.5% 7.8%
1979 5% -3% 6.2% 0.9% -1.5% 4.5% 1.8% 6.2% -0.1% -7.1% 6.2% 2.6% 20.6%
1980 6.2% -0.6% -11.3% 5% 5.8% 3.6% 7% 2.2% 3.2% 2.1% 10.1% -2.4% 28.9%
1981 -4% 1.7% 4.5% -1% 1% -0.8% -0.1% -5.8% -5.7% 6% 4.5% -2.7% -3.3%
1982 -2.1% -4.7% -1% 4.5% -2.5% -2.2% -2.1% 11.8% 1.8% 11.1% 5.9% 1.2% 20.1%
1983 4.1% 3.3% 3.5% 7.1% 1.1% 3.8% -3% 0.3% 1.8% -2.4% 2.7% -0.9% 20.8%
1984 -1.1% -3.9% 1.2% 0.6% -5% 2.8% -2% 11.4% -0.1% 0.2% -1.1% 2.5% 4.5%
1985 8.6% 1.9% -0.2% -0.4% 5.8% 1.6% -0.1% -0.5% -3.9% 4.7% 6.9% 4.9% 28.2%
1986 1% 7.7% 5.5% -0.8% 5% 1.8% -5.9% 6.2% -7.8% 5.2% 1.6% -2.6% 15.6%
1987 12.3% 4.9% 2.3% -1.6% 0.6% 4.7% 4.3% 4% -2.2% -21.6% -8.3% 7.2% 2.4%
1988 4.3% 5.3% -2% 0.9% 0.4% 5.2% -0.7% -2.7% 4% 1.9% -1.7% 2.1% 16.5%
1989 6.7% -1.8% 2.3% 4.8% 4.5% -0.6% 8% 2.1% -0% -2.8% 1.7% 1.8% 25.8%
1990 -7% 1.6% 2.4% -2.6% 9.1% -0.5% -1.2% -9.4% -5% -1.4% 6.9% 3% -5.5%
1991 5.2% 7.6% 2.8% 0.6% 4.1% -4.2% 4.3% 2.7% -1.1% 1.7% -3.5% 11% 29.7%
1992 -0.5% 1.3% -2.1% 3.1% 0.7% -2% 4% -2.2% 0.7% 1.2% 4.2% -0% 8.2%
1993 1% 0.5% 2.5% -2.8% 3% 0.5% -0.3% 3.9% 0% 1.6% -1.6% 1.9% 10.4%
1994 3.1% -2.2% -4.4% 0.9% 1% -2.7% 3.1% 4.4% -1.8% 1.6% -3.7% 1.2% 0.3%
1995 2.2% 4% 2.7% 2.5% 3.5% 3% 4% 1.1% 3.6% -1.2% 4.2% 1.5% 30.9%
1996 2.7% 1.6% 1.1% 2.4% 2.7% -0.8% -5.4% 3.1% 5.4% 1.4% 6.8% -1.3% 19.7%
1997 5.5% -0.1% -4.5% 4.5% 7.1% 4.4% 7.8% -3.7% 5.8% -3.4% 3.3% 1.7% 28.3%
1998 0.4% 7.3% 5.1% 1.1% -2.7% 3.5% -2.3% -15.7% 6.7% 7.5% 6.2% 6.5% 22.9%
1999 3.6% -3.7% 3.9% 4.7% -2% 5.2% -3.2% -0.9% -2.4% 6.3% 3.4% 7.6% 22.9%
2000 -4.2% 2.5% 5.7% -5.2% -3.4% 4.4% -2% 7.3% -4.7% -2% -9.9% 1.8% -8.3%
2001 3.8% -9.4% -6.7% 8.2% 1% -1.3% -1.9% -5.8% -8.7% 2.1% 7.6% 1.4% -9.4%
2002 -0.9% -1.8% 3.7% -4.4% -1.4% -6.9% -8.3% 0.8% -10.1% 7.5% 6% -5.1% -19.7%
2003 -2.8% -1.5% 0.8% 8.6% 5.8% 1.6% 2.3% 2.4% -1.1% 6.1% 1.5% 4% 28.2%
2004 2.6% 1.4% -1% -2.2% 1.5% 2% -3.6% 0.1% 1.7% 1.8% 4.7% 3.4% 12.7%
2005 -2.5% 2.1% -1.9% -2.2% 3.9% 0.8% 4.4% -1.1% 0.8% -2.3% 4.6% 0% 6.7%
2006 3.2% 0.2% 2.1% 1% -3.2% 0.1% -0.1% 2.3% 2.3% 3.6% 2.2% 1.2% 15.1%
2007 1.9% -1.6% 1.1% 4% 3.7% -1.8% -3.5% 1.5% 3.8% 1.8% -4.5% -0.7% 6.5%
2008 -6.2% -2.5% -0.9% 4.9% 2% -8.1% -0.6% 1.5% -9.2% -17.5% -8% 1.8% -38.1%
2009 -8% -10.5% 8.3% 11% 5.5% 0.4% 7.7% 3.7% 4.1% -2.6% 5.7% 2.9% 29%
2010 -3.6% 3.4% 6.4% 2.2% -7.9% -5.8% 7% -4.7% 9.5% 4% 0.5% 7% 17.8%
2011 2% 3.7% 0.4% 2.9% -1.1% -1.8% -2.3% -6.1% -7.6% 11.4% -0.4% 1% 3.8%
2012 5.1% 4.2% 3.1% -0.6% -6.2% 4.1% 0.9% 2.7% 2.5% -1.8% 0.8% 1.3% 16.1%
2013 5.4% 1.3% 3.9% 1.6% 2.4% -1.4% 5.7% -3% 3.9% 4.3% 2.7% 2.7% 29.5%
2014 -3.2% 4.9% 0.5% 0.1% 2.1% 2.6% -2% 4.2% -2.1% 2.7% 2.5% -0% 12.5%
2015 -2.7% 5.7% -1.2% 0.6% 1.3% -1.7% 1.7% -6.1% -2.9% 7.9% 0.6% -2.1% 1.5%
2016 -5.7% -0% 7.1% 0.7% 1.7% 0.3% 4% 0.2% 0.2% -2.2% 4.5% 2% 13%
2017 1.9% 3.7% 0.1% 1.1% 1% 0.9% 1.9% 0.1% 2.4% 2.2% 3% 1.2% 19.5%
2018 5.2% -3.8% -2% 0.4% 2.7% 0.7% 3.3% 3.4% 0.2% -7.4% 2% -9.2% -4%
2019 8.5% 3.6% 1.4% 3.9% -6.4% 7.1% 1.4% -2.1% 1.8% 2.1% 3.8% 2.8% 27.6%
2020 -0.1% -8% -13.9% 13.1% 5.4% 2.3% 5.7% 7.1% -3.5% -1.9% 11.8% 4.7% 25%
2021 -0.3% 3.1% 3.6% 5% 0.5% 2.5% 1.7% 2.9% -4.5% 6.7% -1.5% 3.8% 23.8%
2022 -6.1% -2.5% 3.3% -9.1% -0.3% -8.2% 9.3% 4.8% 0% 0% 0% 0% -8.4%
Pos 62.5% 59.4% 64.6% 66.7% 63.5% 58.3% 58.8% 63.9% 50% 59.4% 70.8% 79.2% 76.3%
Avg 1.4% 0.6% 0.7% 1.4% 0.6% 0.9% 1.7% 1.3% -0.7% 0.4% 1.7% 1.7% 10.3%

Other Return Metrics

Metric US Total Stock Market
Cumulative Return 1150235.14%
Enh Ann Return 12.11%
Best Year 57.27%
Worst Year -44.1%
Best Month 39.79%
Worst Month -28.87%
Best Day 12.83%
Worst Day -11.38%
Win Ratio (Yearly) 75.26%
Win Ratio (Quarterly) 69.09%
Win Ratio (Monthly) 63.08%
Win Ratio (Daily) 59.55%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
US Total Stock Market 21.31% 24.41% 20.98% 17.22% 19.31% 11%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
US Total Stock Market -0.12 0.71 0.7 0.83 0.61 0.93

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.

US Total Stock Market

start valley end Drawdown days
1929-09-02 1932-06-30 1944-12-05 -83.67% 5573
2007-10-10 2009-03-09 2012-03-13 -55.45% 1616
2000-03-27 2002-10-09 2006-09-27 -48.26% 2375
1973-01-02 1974-09-30 1976-09-22 -45.22% 1359
2020-02-20 2020-03-23 2020-08-12 -35% 174

The US Total Stock Market took approximately 74 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 US Total Stock Market
Sharpe Ratio 0.93
Sortino Ratio 1.31
Adjusted Sortino (S/√2) 0.93
Calmar Ratio 0.12
Omega Ratio 0.12
Gain to Pain Ratio 0.25
Winckel Ratio 60.82
Ulcer Index 0.21
Kelly Criterion 11.79%
Skew -0.27
Kurtosis 30.67
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