US Small Cap (USSMALLCAP.X)

New York Stock Exchange
USD
30 June 1926  –  1 July 2022

Performance

Annualized Return
10.37%
Sharpe Ratio
0.73
Maximum Drawdown
-84.97%

Metrics

Metric US Small Cap
Initial Balance $10,000
Final Balance $131,195,499
Returns   [View more details]
Month-To-Date 0.94%
Year-To-Date -18.17%
3M -14.18%
6M -18.64%
Annual Return (3Y) 7.52%
Annual Return (5Y) 7.4%
Annual Return (All) 10.37%
Risk   [View more details]
Annual Volatility 14.89%
Max Drawdown -84.97%
Sharpe Ratio 0.73
Sortino Ratio 1.02
Adjusted Sortino (S/√2) 0.72

  • 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 July 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 Small Cap -16.13% 7.52% 7.4% 11.25% 9.75% 10.37%

Annual Returns

Year US Small Cap
1926 5.67%
1927 35.18%
1928 41.5%
1929 -25.29%
1930 -34.18%
1931 -46.55%
1932 -3.47%
1933 118.71%
1934 3.65%
1935 44.14%
1936 42.67%
1937 -43.75%
1938 29.83%
1939 0.96%
1940 -2.64%
1941 -8.89%
1942 20.95%
1943 44.04%
1944 33.52%
1945 64.05%
1946 -8.06%
1947 1.68%
1948 -2.67%
1949 19.75%
1950 37.51%
1951 15.49%
1952 11.41%
1953 -1.43%
1954 55.33%
1955 17.74%
1956 11.48%
1957 -13.06%
1958 58.72%
1959 18.7%
1960 1.49%
1961 25.77%
1962 -12.66%
1963 16.57%
1964 18.65%
1965 30.66%
1966 -1.02%
1967 40.79%
1968 35.19%
1969 -20.54%
1970 -6.58%
1971 21.86%
1972 6.2%
1973 -29.75%
1974 -27.86%
1975 54.03%
1976 44.52%
1977 12.03%
1978 23.49%
1979 37.18%
1980 21.52%
1981 -2.83%
1982 14.05%
1983 16.55%
1984 -19.41%
1985 13.47%
1986 -12.51%
1987 -8.19%
1988 24.64%
1989 10.55%
1990 -18.13%
1991 45.26%
1992 18.2%
1993 18.7%
1994 -0.51%
1995 28.74%
1996 18.12%
1997 31.45%
1998 -2.61%
1999 17.3%
2000 11.25%
2001 6.42%
2002 -14.31%
2003 38.5%
2004 22.41%
2005 7.53%
2006 15.09%
2007 -0.48%
2008 -31.52%
2009 25.88%
2010 26.6%
2011 0.79%
2012 16.29%
2013 41.32%
2014 5.85%
2015 -2.07%
2016 26.61%
2017 13.15%
2018 -8.49%
2019 22.82%
2020 11.28%
2021 26.6%
2022 -18.17%

US Small Cap had 67 positive years and 30 negative years. That's a positive ratio of 69%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1926 0% 0% 0% 0% 0% 0% 2.3% 2.2% -0.8% 0.3% 0.3% 1.4% 5.5%
1927 1.6% 6.5% -1.1% 3.7% 3.7% -1.1% 2.7% 2.9% 4.1% -2.6% 7.8% 2.6% 30.2%
1928 2.6% -3.1% 7.2% 6.4% 1.8% -2.9% -3.1% 7.3% 3.1% 3.5% 11.9% 1.7% 34.8%
1929 2.4% 1.7% -1.1% -1.1% -8.2% 5.9% 6.4% -0.1% -0.1% -20% -5.2% -6.3% -29%
1930 6.7% 2% 8.9% -4.2% -9.7% -10.3% 4.2% -7.1% -8% -10.1% -5% -6.1% -41.7%
1931 4% 3.5% 3.7% -13.3% -0.1% -0.1% -7.4% -0% -30.1% 0% 0% -14.6% -62.2%
1932 1.1% 1.1% -11.4% -16.3% -20.5% 2.8% 54.2% 38.5% -5.7% -18.5% -7.4% 2.5% -2.5%
1933 2.4% -15.5% 11% 48.6% 37.6% 15.9% -11.7% 15.9% -10.6% -12.4% 7.9% 11.2% 79.3%
1934 11% -0.6% -0.6% -0.6% -9.2% -6.9% -7.7% 7.4% -0.8% -1% 12.6% 2.7% 3.7%
1935 -4% -2.4% 0.2% 0.2% 0.9% 7.1% 7.7% 3.2% 3% 7.7% 7.3% 7.2% 36.6%
1936 8% 2.7% 2.9% -10.6% 2.5% 2.6% 8.3% 2.7% 2.9% 6.8% 6% 2.8% 35.6%
1937 3% 2.8% 3.1% -9.2% -1.8% -6.5% 1.8% 1.8% -19.2% -9.5% -11% -8.5% -57.3%
1938 3.1% 6% -26.1% 5.3% 5.3% 26.7% 3.3% 3.5% -1.3% 12.9% -2.2% -1.8% 26.5%
1939 -1.9% 4.8% -18.1% 4.3% 4.7% -7.6% 14.4% -10.9% 12.2% 11.4% -7% 0.3% 1.2%
1940 0.3% 3% 1.7% 1.7% -27.1% 5.4% 5.9% 3% 2.8% 6% -0.2% -0.2% -2.4%
1941 -4% -1.9% 1% -5.7% 3.8% 3.5% 10.4% -0.8% -0.9% -5.7% -3.5% -4.2% -9.2%
1942 -0.7% -0.6% -0.7% -5.4% 2.6% 2.6% 4.4% 2.3% 3% 4% 3.6% 4.7% 19.1%
1943 10.3% 8.9% 9.4% 3.4% 7.4% 1% -2.8% -2.9% 3.3% -4.1% -4.5% 9.5% 36.6%
1944 3.4% 0.9% 3.8% 1.7% 2% 9% -1% 3.1% -0.3% -0.3% 2% 5.3% 28.9%
1945 5.5% 8.7% 1.8% 1.7% 2.7% -0.3% -0.3% 7.1% 5.8% 6.3% 9.3% 2.9% 49.6%
1946 8.4% -6.9% 6.7% 6.5% 6.1% -4.4% -5.3% -10.3% -11% -1.4% 2.9% 3% -8.3%
1947 2.2% -0.7% -2.7% -7.8% 1.1% 1% 6.4% -0% -0% 3.5% -0.3% -0.4% 1.7%
1948 0.2% 0.2% 0.2% 4.1% 8.5% -1.5% -2.6% -2.6% -4.2% -2.9% -3.1% 1.7% -2.7%
1949 1.1% -3.8% 6% -3.3% -3.6% -1.3% 4.5% 4.8% 4.5% 3.1% 1.6% 5.5% 18.1%
1950 5.2% 1.3% -0.3% 3.9% 4.3% -7.3% 4.1% 5% 2.7% 2.8% 3.5% 7.7% 31.9%
1951 7.9% 0.9% 0.2% 0.2% -2.2% 0.4% 0.4% 4.4% -0.2% -0.3% 1.5% 1.5% 14.4%
1952 1.6% -1.8% 2.9% -4.2% 3.2% 2.9% 1% -0.6% -0.6% -1.1% 3.8% 4.2% 10.8%
1953 0.7% 0.6% 0.7% -2.2% -1.2% -1.2% 1.6% -4.8% -0.7% 3.4% 3.1% -1.1% -1.4%
1954 3.8% 3.5% 3.9% 1.7% 4.2% 1.6% 2.7% 2.6% 4.5% 4.4% 4.4% 7.8% 44.1%
1955 1.6% 4.5% 0% 1.3% 1.4% 3.2% 0.7% 0.8% -1.1% -1.5% 6.1% -0.4% 16.4%
1956 -0.4% 3.5% 3% 2.8% -3.9% 3.6% 3.6% -2.1% -1.3% -1.5% 1% 2.8% 10.9%
1957 -0.7% -2.3% 2.5% 2.6% 2.3% -0.3% -0.3% -5.3% -5.4% -5.5% -0.5% -0.6% -14%
1958 9.4% -0.4% 3.9% 2.5% 3.5% 3.2% 5.6% 4.2% 4.2% 3.5% 3.7% 4.1% 46.3%
1959 2.7% 2.4% 2.6% 3.9% 1.4% 1.4% 3.1% -1.4% -4.7% 2.2% 2.1% 1.9% 17.2%
1960 -2% -2.1% -2.5% 0.5% 0.5% 2.5% 0.7% 0.8% -5.9% -2.2% 5.4% 6.4% 1.5%
1961 6% 6.1% 4.9% 2.1% 2.4% -4% 1.1% 2.1% -0.2% -0.2% 4.7% -1.3% 23%
1962 -1.4% 1.5% -3.7% -3.6% -10.1% -1.2% -1.3% 3% -3.6% -4.3% 13.3% -0.5% -13.5%
1963 6.6% -1.8% 2.9% 2.9% 2.9% -1.5% -1.7% 1.6% 1.5% 1.8% 0.2% 0.2% 15.4%
1964 1.7% 3.1% 3.3% -0.5% 1.7% 1.7% 2.3% -0.7% 3.3% 0.9% 0.8% -0.4% 17.1%
1965 3.1% 2.9% 3.2% 3.9% -0.7% -8.2% 4.2% 4% 3.6% 4.2% 4.2% 3.3% 26.8%
1966 3.6% 2% -2.7% -2.2% -2.4% -0.1% -5.1% -5.9% -1.1% 1.2% 4.5% 8.1% -1%
1967 7.5% 1.9% 5.8% 1.3% 1.5% 5.6% 6.6% 0.2% 0.7% 0.7% 1% 2.4% 34.3%
1968 2.6% -5% 6.3% 6.2% 6.7% -1.3% -1.4% 5% 4.6% 1.3% 3.1% 3.2% 30.2%
1969 -1.4% -8% 2.4% 1.6% -5.4% -5.5% -8.8% 2.4% 2.4% 8.3% -4.2% -5% -22.9%
1970 -1.2% -1.1% -1.2% -15% -7.7% -8.7% 7.8% 6.5% 10.1% -0.9% -0.9% 8.8% -6.6%
1971 6.1% 5.5% 6% 4.3% -3.8% -0.8% -0% -0% -0.6% -3.5% -3.8% 11.9% 19.8%
1972 6.1% 3.6% 0.8% -0% -0% -2.5% -2.8% 2.1% -1.6% -1.7% 6.2% -3.4% 6%
1973 -3.9% -7.2% -4.8% -4.8% -6.5% 3.6% 3.7% -3.4% 4.6% 5.1% -18.4% -0.1% -35.1%
1974 6.6% 0.4% -3.5% -3.8% -7.6% -3.3% -3.9% -8.4% -8.8% 11.6% -4.5% -5% -32.5%
1975 23.8% 4.5% 6.5% 4.5% 7.1% 6.3% -3.9% -4% -4.3% 3.6% 1.3% 1.4% 43.4%
1976 9.1% 7.6% 8.1% -1% -1.8% 4.6% -0.8% -0.8% 2.9% 0.9% 1% 8.7% 36.9%
1977 0.7% -1.5% 0.3% 0.8% 0.8% 6.7% -0.4% -0.5% 1% -2.6% 7.6% -1% 11.4%
1978 -1% 1.6% 6.4% 6.6% 7.2% 0.2% 5.8% 7.9% -10% -11.7% 5.7% 5% 21.2%
1979 5.2% -2.7% 6.2% 5.6% -1.5% 4.5% 4.6% 7.9% -4.9% -5.9% 8.5% 5.8% 31.7%
1980 13.1% 0.5% -18.4% 3.1% 7.5% 2.7% 10.3% 3.8% 8.2% 2% 8.6% -16% 25.6%
1981 -3% -1.7% 13.1% 4% 10.8% -7.6% -6.8% -11.6% -9.6% 14.3% 1.7% -2.2% 1.3%
1982 -2% -19.7% 0% 4.6% -1.4% -1.6% 1.3% 5.9% 6.3% 21.8% 7.6% -4.3% 17.8%
1983 9.3% 7.5% 0.8% 8.7% 7.3% 3.9% -6.8% -7.1% 1.5% -10.3% 6.3% -3.1% 18.7%
1984 -3.7% -7.9% -0.6% -3.3% -7.7% 3.3% -5.3% 12% -4.4% -1.6% -10% 10.5% -18.8%
1985 5.8% 3.2% -5% -0.7% 4.4% 0.2% 0.2% -0.9% -8.6% 4% 6.1% 5.2% 13.6%
1986 4.2% 8.2% 1.6% 2.1% 5.1% -0.4% -11.5% 0% -9.9% -9.2% 0.5% -1.8% -11.6%
1987 12.6% 8% 0.4% -1.7% 3% 0.9% 3.6% 5% -0.9% -32.1% -9% 10.5% -1.2%
1988 3.8% 9% 4.9% 3.3% -2.4% 4.8% -1.2% -2.2% 2.1% -0.8% -4.8% 6.5% 22.7%
1989 4.9% -1.8% 2.9% 4.3% 3.9% -3.2% 3.2% 4.2% -1.2% -6.7% 0.5% -0.2% 10.5%
1990 -8.3% 2% 4.8% -3.4% 7.1% 0.3% -4.3% -12.9% -8.8% -6% 7.8% 4.5% -19.1%
1991 8.6% 11.4% 6.9% -0.4% 4.4% -5.5% 3.8% 4.1% 0.4% 2.7% -4.9% 8% 38.1%
1992 8% 3.5% -3.4% -3% 1.2% -4.8% 3.6% -2.4% 1.7% 3.2% 7% 3.4% 17.2%
1993 3.8% -1.8% 3.1% -2.8% 4.3% 0.3% 0.9% 4.2% 2.8% 2.7% -2.9% 3.3% 17.5%
1994 3.6% -0.4% -5.1% 0.7% -0.8% -3.3% 1.8% 5.5% -0.3% -0.4% -3.9% 2.6% -0.1%
1995 -1% 3.6% 2.1% 2.2% 1.9% 5% 5.8% 2.1% 1.7% -4.3% 3.9% 2.8% 25.6%
1996 0.2% 3.4% 1.9% 5.6% 3.9% -3.8% -8.4% 5.9% 3.8% -1.4% 4.4% 2.4% 17.2%
1997 2.3% -2.5% -4.7% 0.4% 11.1% 5.2% 5.4% 2.2% 7.3% -4.4% -0.5% 7.3% 28.4%
1998 -1.6% 7.5% 4.1% 0.5% -5.4% -0.2% -8% -19.3% 7.5% 4.2% 5.3% 6.2% -0.6%
1999 1.2% -8.1% 1.6% 6.9% 2.3% 6% -0.5% -4.4% 0.5% -0.3% 4.2% 7.8% 16.8%
2000 -3% 13.5% -3.5% -1.6% -2.9% 5.5% -2.8% 9.4% -2.9% 0.6% -10% 11.3% 14.1%
2001 4.7% -5.9% -4.6% 7.9% 2% 2.2% -0.6% -1.9% -14.1% 5.8% 6.5% 6.7% 8.9%
2002 1.6% -2.1% 7.7% 3.2% -4.3% -5.2% -14% 0.6% -5.8% 2.9% 5.4% -3.3% -12.3%
2003 -3.1% -3.5% 0.5% 8.6% 7.7% 2.7% 5% 5% -2.7% 8.6% 3.9% 1.4% 34.1%
2004 3% 1.8% 1.5% -3.9% 2.2% 5.5% -5.5% -1% 5% 2.1% 8.8% 1.8% 21.6%
2005 -2.2% 2.8% -2.5% -5.6% 6.5% 3.5% 6.1% -1.6% 0.7% -3.6% 5.2% -1.1% 8.4%
2006 8.2% -0.5% 5% 0.1% -4.5% -0.2% -3.7% 1.8% 0.9% 5.1% 2.6% 0% 15.4%
2007 2% -0.6% 1.7% 2.3% 4.4% -1.6% -5.1% 1.9% 1.6% 1.7% -7.1% -1% 1.4%
2008 -5.4% -2.4% -0.1% 4.4% 4.2% -7.5% 1.9% 4.3% -6.7% -19.8% -11.9% 5.1% -28.6%
2009 -11.7% -11.8% 6.6% 18.1% 1.9% 1.8% 9.7% 2.4% 5.1% -5.6% 2.6% 8.2% 28.8%
2010 -3.1% 4.1% 8% 5.8% -7.2% -7.1% 6.4% -7.6% 11.2% 4.2% 3.8% 7.6% 26.4%
2011 0.1% 4.4% 2.9% 2.6% -0.9% -1.8% -3.2% -7.8% -10.3% 14.9% 0.6% 1.3% 5.6%
2012 6.6% 2.2% 2.9% -1.4% -6.3% 4.2% -0.8% 3.9% 2.3% -2.3% 1.3% 3.1% 16.4%
2013 5.8% 1.4% 4.2% -0.2% 4.3% -0.1% 6.9% -2.3% 6.2% 3.6% 4.5% 1.4% 35.6%
2014 -3.7% 4.4% 0.7% -2.7% 0.2% 4.8% -5.6% 4.3% -5.2% 6.9% -0.2% 2.9% 7%
2015 -3.6% 6% 1.6% -2.3% 1.5% 1.1% -0.8% -5.2% -3.5% 6.1% 2.7% -4.7% -0.9%
2016 -6.2% 1.1% 8.2% 1.2% 1.6% 0.7% 5% 1.4% 0.6% -4.4% 12.5% 3.4% 25.2%
2017 -0.6% 1.6% -0.1% 0.9% -2.1% 2.9% 1% -2.5% 7.8% 0.9% 3.5% -0.5% 13.1%
2018 2.5% -3.8% 2% 1.1% 6.5% 1% 3.2% 4.8% -3.1% -10.5% 1.6% -12.2% -7.3%
2019 10.6% 4.3% -3.3% 3.9% -8.7% 7.3% 1.2% -4.6% 3.4% 2% 3% 3% 21.9%
2020 -4% -9.6% -22.6% 12.9% 4.4% 3.6% 4.3% 3.9% -4.6% 2.5% 18.2% 8.2% 20%
2021 6.2% 7.7% 3.5% 1.9% 2.1% 0.3% -2.4% 1.9% -2.4% 3.5% -2.4% 4.5% 25.9%
2022 -7.2% 1.4% 0.3% -7.8% 1.9% -8.5% 0.9% 0% 0% 0% 0% 0% -18.4%
Pos 68.8% 61.5% 70.5% 62.5% 63.5% 56.3% 57.7% 59.4% 47.9% 54.2% 69.8% 67.7% 71.1%
Avg 2.5% 0.8% 1.1% 1.2% 0.8% 0.7% 1.2% 1% -0.8% -0.1% 1.8% 2.1% 10.9%

Other Return Metrics

Metric US Small Cap
Cumulative Return 1311854.99%
Enh Ann Return 12.61%
Best Year 118.71%
Worst Year -46.55%
Best Month 54.23%
Worst Month -32.1%
Best Day 21.76%
Worst Day -24.18%
Win Ratio (Yearly) 69.07%
Win Ratio (Quarterly) 68.31%
Win Ratio (Monthly) 61.63%
Win Ratio (Daily) 58.79%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
US Small Cap 22.95% 30.22% 25.53% 21.13% 23.5% 14.89%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
US Small Cap -0.65 0.39 0.41 0.61 0.51 0.73

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 Small Cap

start valley end Drawdown days
1929-08-01 1932-05-31 1936-10-16 -84.97% 2633
1937-04-01 1938-03-31 1943-05-07 -58.43% 2227
2007-07-20 2009-03-09 2011-02-07 -58.15% 1298
1972-04-04 1974-09-30 1976-12-02 -52.01% 1703
1983-07-29 1987-12-04 1992-01-07 -49.04% 3084

The US Small Cap took approximately 73 months on average to recover from a major drawdown. The longest drawdown lasted 103 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 Small Cap
Sharpe Ratio 0.73
Sortino Ratio 1.02
Adjusted Sortino (S/√2) 0.72
Calmar Ratio 0.12
Omega Ratio 0.12
Gain to Pain Ratio 0.2
Winckel Ratio 58.76
Ulcer Index 0.22
Kelly Criterion 9.98%
Skew -0.9
Kurtosis 72.06
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