Data Source: from January 1871 to November 2023 (~153 years)
Consolidated Returns as of 30 November 2023
Live Update: Dec 18 2023
Category: Stocks
ETF: SPDR S&P 500 (SPY)
ETF • LIVE PERFORMANCE (USD currency)
0.56%
1 Day
Dec 18 2023
3.83%
Current Month
December 2023
In the last 30 Years, the SPDR S&P 500 (SPY) ETF obtained a 9.92% compound annual return, with a 15.11% standard deviation.
Table of contents
The ETF is related to the following investment themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Blend
- Region: North America
- Country: U.S.
The SPDR S&P 500 (SPY) ETF is part of the following Lazy Portfolios:
| Portfolio Name | Author | SPY Weight▾ |
|---|---|---|
| Shield Strategy | Aim Ways | 21.00% |
| Perfect Portfolio | Ben Stein | 20.00% |
| Global Market Portfolio | Credit Suisse | 20.00% |
| One-Decision Portfolio | Marvin Appel | 20.00% |
| Ultimate Buy and Hold Strategy | Paul Merriman | 10.00% |
Investment Returns as of Nov 30, 2023
The SPDR S&P 500 (SPY) ETF guaranteed the following returns.
Returns are calculated in USD, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
SPDR S&P 500 (SPY) ETF
Consolidated returns as of 30 November 2023
Live Update: Dec 18 2023
Swipe left to see all data
| Chg (%) | Return (%) | Return (%) as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1 Day | Time ET(*) | Dec 2023 | 1M | 6M | 1Y | 5Y | 10Y | 30Y | MAX (~153Y) | |||
| SPDR S&P 500 (SPY) ETF | 0.56 | 3.83 | 9.13 | 10.02 | 13.73 | 12.49 | 11.72 | 9.92 | 9.06 | |||
| US Inflation Adjusted return | 9.35 | 8.98 | 10.27 | 8.13 | 8.68 | 7.22 | 6.80 | |||||
Returns over 1 year are annualized | Available data source: since Jan 1871
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Nov 2023. Current inflation (annualized) is 1Y: 3.14% , 5Y: 4.03% , 10Y: 2.80% , 30Y: 2.51%
Live update: World Markets and Indexes
In 2022, the SPDR S&P 500 (SPY) ETF granted a 1.34% dividend yield. If you are interested in getting periodic income, please refer to the page.
Capital Growth as of Nov 30, 2023
An investment of 1$, since December 1993, now would be worth 17.05$, with a total return of 1605.12% (9.92% annualized).
The Inflation Adjusted Capital now would be 8.10$, with a net total return of 709.66% (7.22% annualized).
An investment of 1$, since January 1871, now would be worth 572815.35$, with a total return of 57281434.94% (9.06% annualized).
The Inflation Adjusted Capital now would be 23269.19$, with a net total return of 2326819.24% (6.80% annualized).
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Investment Metrics as of Nov 30, 2023
Metrics of SPDR S&P 500 (SPY) ETF, updated as of 30 November 2023.
Metrics are calculated based on monthly returns, assuming:
- no fees or capital gain taxes.
- the reinvestment of dividends.
SPDR S&P 500 (SPY) ETF
Advanced Metrics
Data Source: 1 January 1871 - 30 November 2023 (~153 years)
Swipe left to see all data
| Metrics as of Nov 30, 2023 | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| 1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX (~153Y) | |
| Investment Return (%) | 9.13 | 1.71 | 10.02 | 13.73 | 9.65 | 12.49 | 11.72 | 9.63 | 9.92 | 9.06 |
| Infl. Adjusted Return (%) details | 9.35 | 1.70 | 8.98 | 10.27 | 3.77 | 8.13 | 8.68 | 6.88 | 7.22 | 6.80 |
| US Inflation (%) | -0.20 | 0.01 | 0.96 | 3.14 | 5.67 | 4.03 | 2.80 | 2.58 | 2.51 | 2.12 |
| Returns / Inflation rates over 1 year are annualized. | ||||||||||
DRAWDOWN Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Deepest Drawdown Depth (%) | -8.32 | -23.93 | -23.93 | -23.93 | -50.80 | -50.80 | -83.65 | |||
| Start to Recovery (# months) details | 4 | 23* | 23* | 23* | 53 | 53 | 186 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2007 11 | 1929 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 16 | 34 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 1932 06 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 37 | 37 | 152 | |||
| End (yyyy mm) | 2023 11 | - | - | - | 2012 03 | 2012 03 | 1945 02 | |||
| Longest Drawdown Depth (%) | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | -44.71 | same as deepest | |||
| Start to Recovery (# months) details | 75 | |||||||||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 1929 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 25 | 34 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2002 09 | 1932 06 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 37 | 50 | 152 | |||
| End (yyyy mm) | 2023 11 | - | - | - | 2012 03 | 2006 11 | 1945 02 | |||
| Longest negative period (# months) details | 4 | 27 | 27 | 27 | 68 | 141 | 187 | |||
| Period Start (yyyy mm) | 2023 07 | 2021 08 | 2021 08 | 2021 08 | 2005 01 | 2000 01 | 1929 09 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2010 08 | 2011 09 | 1945 03 | |||
| Annualized Return (%) | -15.13 | -0.59 | -0.59 | -0.59 | -0.50 | -0.44 | -0.12 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
| Deepest Drawdown Depth (%) | -8.91 | -28.54 | -28.54 | -28.54 | -51.55 | -54.23 | -79.35 | |||
| Start to Recovery (# months) details | 4* | 23* | 23* | 23* | 65 | 153 | 188 | |||
| Start (yyyy mm) | 2023 08 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 1929 09 | |||
| Start to Bottom (# months) | 3 | 9 | 9 | 9 | 16 | 102 | 33 | |||
| Bottom (yyyy mm) | 2023 10 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 1932 05 | |||
| Bottom to End (# months) | 1 | 14 | 14 | 14 | 49 | 51 | 155 | |||
| End (yyyy mm) | - | - | - | - | 2013 03 | 2013 05 | 1945 04 | |||
| Longest Drawdown Depth (%) | -5.47 | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | same as deepest | |||
| Start to Recovery (# months) details | 5 | |||||||||
| Start (yyyy mm) | 2022 12 | 2022 01 | 2022 01 | 2022 01 | 2007 11 | 2000 09 | 1929 09 | |||
| Start to Bottom (# months) | 1 | 9 | 9 | 9 | 16 | 102 | 33 | |||
| Bottom (yyyy mm) | 2022 12 | 2022 09 | 2022 09 | 2022 09 | 2009 02 | 2009 02 | 1932 05 | |||
| Bottom to End (# months) | 4 | 14 | 14 | 14 | 49 | 51 | 155 | |||
| End (yyyy mm) | 2023 04 | - | - | - | 2013 03 | 2013 05 | 1945 04 | |||
| Longest negative period (# months) details | 6 | 34 | 34 | 34 | 93 | 164 | 255 | |||
| Period Start (yyyy mm) | 2023 05 | 2021 01 | 2021 01 | 2021 01 | 2004 01 | 1999 05 | 1911 03 | |||
| Period End (yyyy mm) | 2023 10 | 2023 10 | 2023 10 | 2023 10 | 2011 09 | 2012 12 | 1932 05 | |||
| Annualized Return (%) | -0.27 | -0.49 | -0.49 | -0.49 | -0.49 | -0.08 | -0.03 | |||
| Drawdowns / Negative periods marked with * are in progress | ||||||||||
RISK INDICATORS | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Standard Deviation (%) | 15.65 | 17.29 | 18.82 | 15.06 | 14.85 | 15.11 | 16.49 | |||
| Sharpe Ratio | 0.57 | 0.45 | 0.57 | 0.71 | 0.56 | 0.51 | 0.31 | |||
| Sortino Ratio | 0.82 | 0.60 | 0.76 | 0.95 | 0.74 | 0.67 | 0.43 | |||
| Ulcer Index | 3.41 | 9.90 | 8.45 | 6.40 | 12.18 | 14.77 | 17.96 | |||
| Ratio: Return / Standard Deviation | 0.88 | 0.56 | 0.66 | 0.78 | 0.65 | 0.66 | 0.55 | |||
| Ratio: Return / Deepest Drawdown | 1.65 | 0.40 | 0.52 | 0.49 | 0.19 | 0.20 | 0.11 | |||
| % Positive Months details | 58% | 61% | 63% | 68% | 66% | 65% | 60% | |||
| Positive Months | 7 | 22 | 38 | 82 | 160 | 234 | 1117 | |||
| Negative Months | 5 | 14 | 22 | 38 | 80 | 126 | 718 | |||
LONG TERM RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Best 10 Years Return (%) - Annualized | 11.72 | 16.55 | 16.55 | 21.28 | ||||||
| Worst 10 Years Return (%) - Annualized | 6.36 | -3.45 | -5.38 | |||||||
| Best 10 Years Return (%) - Annualized | 8.68 | 14.53 | 14.53 | 20.41 | ||||||
| Worst 10 Years Return (%) - Annualized | 4.28 | -5.88 | -5.88 | |||||||
ROLLING PERIOD RETURNS Inflation Adjusted: Inflation Adjusted: | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Over the latest 30Y | ||||||||||
| Best Rolling Return (%) - Annualized | 56.25 | 32.35 | 28.45 | 16.55 | 10.29 | 9.92 | ||||
| Worst Rolling Return (%) - Annualized | -43.44 | -16.28 | -6.67 | -3.45 | 4.69 | |||||
| % Positive Periods | 79% | 81% | 83% | 90% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 52.26 | 29.35 | 25.47 | 14.53 | 7.60 | 7.22 | ||||
| Worst Rolling Return (%) - Annualized | -43.57 | -18.30 | -9.08 | -5.88 | 2.57 | |||||
| % Positive Periods | 77% | 78% | 70% | 87% | 100% | 100% | ||||
| Over all the available data source (Jan 1871 - Nov 2023) | ||||||||||
| Best Rolling Return (%) - Annualized | 160.57 | 42.43 | 35.15 | 21.28 | 17.90 | 14.57 | ||||
| Worst Rolling Return (%) - Annualized | -67.84 | -42.65 | -17.97 | -5.38 | 1.60 | 3.09 | ||||
| % Positive Periods | 72% | 83% | 89% | 96% | 100% | 100% | ||||
| Best Rolling Return (%) - Annualized | 179.03 | 40.21 | 33.81 | 20.41 | 13.51 | 11.59 | ||||
| Worst Rolling Return (%) - Annualized | -64.30 | -38.10 | -13.67 | -5.88 | -0.58 | 1.30 | ||||
| % Positive Periods | 69% | 77% | 80% | 88% | 99% | 100% | ||||
WITHDRAWAL RATES (WR) | 1Y | 3Y | 5Y | 10Y | 20Y | 30Y | MAX | |||
| Safe WR (%) | 35.60 | 24.49 | 14.79 | 7.63 | 8.30 | 8.55 | ||||
| Perpetual WR (%) | 3.63 | 7.52 | 7.99 | 6.44 | 6.73 | 6.36 | ||||
Terms and Definitions
- Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio
- Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
- Longest negative period: it's the maximum period for which an overall negative return has been observed
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return
- Sortino Ratio: another measure of risk-adjusted performance of the portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation)
- Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio
- Best/Worst 10Y returns: the best and the worst 10-year return over a time frame
- Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
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Correlations as of Nov 30, 2023
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Monthly correlations of SPDR S&P 500 (SPY) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).
SPDR S&P 500 (SPY) ETF
Monthly correlations as of 30 November 2023
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| Correlation vs SPY | ||||||
|---|---|---|---|---|---|---|
| Asset Class | 1 Year | 5 Years | 10 Years | 30 Years | Since Jan 1992 | |
| VTI | US Total Stock Market | 1.00 | 1.00 | 1.00 | 0.99 | 0.99 |
| IJR | US Small Cap | 0.85 | 0.89 | 0.86 | 0.82 | 0.81 |
| VNQ | US REITs | 0.91 | 0.87 | 0.75 | 0.61 | 0.61 |
| QQQ | US Technology | 0.90 | 0.93 | 0.92 | 0.83 | 0.82 |
| PFF | Preferred Stocks | 0.76 | 0.80 | 0.72 | 0.47 | 0.46 |
| EFA | EAFE Stocks | 0.89 | 0.90 | 0.88 | 0.83 | 0.80 |
| VT | World All Countries | 0.98 | 0.98 | 0.97 | 0.95 | 0.94 |
| EEM | Emerging Markets | 0.86 | 0.73 | 0.70 | 0.72 | 0.70 |
| VGK | Europe | 0.86 | 0.89 | 0.86 | 0.84 | 0.83 |
| VPL | Pacific | 0.90 | 0.86 | 0.83 | 0.70 | 0.66 |
| FLLA | Latin America | 0.91 | 0.69 | 0.57 | 0.64 | 0.64 |
| BND | US Total Bond Market | 0.81 | 0.49 | 0.38 | 0.17 | 0.17 |
| TLT | Long Term Treasuries | 0.85 | 0.15 | 0.07 | -0.10 | -0.10 |
| BIL | US Cash | 0.11 | -0.09 | -0.06 | -0.01 | -0.01 |
| TIPS | 0.79 | 0.61 | 0.48 | 0.22 | 0.21 | |
| LQD | Invest. Grade Bonds | 0.86 | 0.65 | 0.57 | 0.33 | 0.33 |
| HYG | High Yield Bonds | 0.92 | 0.86 | 0.81 | 0.67 | 0.67 |
| CWB | US Convertible Bonds | 0.90 | 0.87 | 0.86 | 0.84 | 0.84 |
| BNDX | International Bonds | 0.85 | 0.54 | 0.42 | 0.16 | 0.16 |
| EMB | Emerg. Market Bonds | 0.94 | 0.75 | 0.68 | 0.56 | 0.56 |
| GLD | Gold | 0.31 | 0.22 | 0.10 | 0.04 | 0.04 |
| DBC | Commodities | 0.28 | 0.50 | 0.43 | 0.32 | 0.32 |
If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
SPDR S&P 500 (SPY) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1871 - 30 November 2023 (~153 years)
Inflation Adjusted:
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -50.80% | Nov 2007 | Feb 2009 | 16 | Mar 2012 | 37 | 53 | 23.81 |
| -44.71% | Sep 2000 | Sep 2002 | 25 | Nov 2006 | 50 | 75 | 23.58 |
| -23.93% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 12.25 |
| -19.43% | Jan 2020 | Mar 2020 | 3 | Jul 2020 | 4 | 7 | 8.36 |
| -15.28% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 7.52 |
| -13.52% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 | 6.30 |
| -8.48% | Aug 2015 | Sep 2015 | 2 | May 2016 | 8 | 10 | 4.39 |
| -6.98% | Feb 1994 | Mar 1994 | 2 | Aug 1994 | 5 | 7 | 4.60 |
| -6.63% | Apr 2012 | May 2012 | 2 | Aug 2012 | 3 | 5 | 3.04 |
| -6.43% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 | 4.06 |
| -6.38% | May 2019 | May 2019 | 1 | Jun 2019 | 1 | 2 | 3.68 |
| -6.28% | Feb 2018 | Mar 2018 | 2 | Jul 2018 | 4 | 6 | 3.91 |
| -6.14% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 3.59 |
| -5.76% | Jul 1999 | Sep 1999 | 3 | Oct 1999 | 1 | 4 | 3.34 |
| -5.18% | Aug 1997 | Aug 1997 | 1 | Nov 1997 | 3 | 4 | 2.70 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -54.23% | Sep 2000 | Feb 2009 | 102 | May 2013 | 51 | 153 | 26.98 |
| -28.54% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 17.36 |
| -19.78% | Jan 2020 | Mar 2020 | 3 | Jul 2020 | 4 | 7 | 8.51 |
| -15.49% | Jul 1998 | Aug 1998 | 2 | Nov 1998 | 3 | 5 | 7.71 |
| -13.11% | Oct 2018 | Dec 2018 | 3 | Apr 2019 | 4 | 7 | 6.20 |
| -8.95% | Mar 2015 | Sep 2015 | 7 | Jul 2016 | 10 | 17 | 3.74 |
| -7.76% | Feb 1994 | Jun 1994 | 5 | Feb 1995 | 8 | 13 | 4.81 |
| -7.25% | Jan 2000 | Feb 2000 | 2 | Mar 2000 | 1 | 3 | 4.48 |
| -6.91% | Feb 2018 | Mar 2018 | 2 | Aug 2018 | 5 | 7 | 4.42 |
| -6.71% | Jul 1999 | Sep 1999 | 3 | Nov 1999 | 2 | 5 | 3.52 |
| -6.58% | May 2019 | May 2019 | 1 | Jul 2019 | 2 | 3 | 3.29 |
| -6.31% | Sep 2020 | Oct 2020 | 2 | Nov 2020 | 1 | 3 | 3.70 |
| -5.56% | Apr 2000 | Jul 2000 | 4 | Aug 2000 | 1 | 5 | 3.77 |
| -5.36% | Aug 1997 | Aug 1997 | 1 | Nov 1997 | 3 | 4 | 2.95 |
| -4.92% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 | 2.84 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -83.65% | Sep 1929 | Jun 1932 | 34 | Feb 1945 | 152 | 186 | 46.21 |
| -50.80% | Nov 2007 | Feb 2009 | 16 | Mar 2012 | 37 | 53 | 23.81 |
| -44.87% | Jan 1973 | Sep 1974 | 21 | Sep 1976 | 24 | 45 | 19.76 |
| -44.71% | Sep 2000 | Sep 2002 | 25 | Nov 2006 | 50 | 75 | 23.58 |
| -34.11% | Apr 1876 | Jun 1877 | 15 | Feb 1879 | 20 | 35 | 17.32 |
| -30.27% | Oct 1906 | Nov 1907 | 14 | Nov 1908 | 12 | 26 | 16.09 |
| -29.78% | Sep 1987 | Nov 1987 | 3 | May 1989 | 18 | 21 | 15.94 |
| -29.19% | Dec 1968 | Jun 1970 | 19 | Mar 1971 | 9 | 28 | 13.81 |
| -27.16% | Oct 1902 | Oct 1903 | 13 | Nov 1904 | 13 | 26 | 17.06 |
| -26.86% | Feb 1893 | Aug 1893 | 7 | Aug 1897 | 48 | 55 | 14.58 |
| -23.93% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 12.25 |
| -23.91% | Jul 1881 | Jan 1885 | 43 | Nov 1885 | 10 | 53 | 13.47 |
| -23.13% | Nov 1919 | Jun 1921 | 20 | Apr 1922 | 10 | 30 | 13.60 |
| -22.72% | Nov 1912 | Oct 1914 | 24 | Sep 1915 | 11 | 35 | 9.77 |
| -22.26% | Jan 1962 | Jun 1962 | 6 | Apr 1963 | 10 | 16 | 11.71 |
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Drawdown period | Recovery period | Total | |||||
|---|---|---|---|---|---|---|---|
| Drawdown | Start | Bottom | #Months | End | #Months | #Months | Ulcer Index |
| -79.35% | Sep 1929 | May 1932 | 33 | Apr 1945 | 155 | 188 | 37.92 |
| -54.23% | Sep 2000 | Feb 2009 | 102 | May 2013 | 51 | 153 | 26.98 |
| -53.70% | Jan 1973 | Sep 1974 | 21 | Jan 1985 | 124 | 145 | 29.43 |
| -44.02% | Dec 1916 | Jul 1920 | 44 | Jun 1924 | 47 | 91 | 27.54 |
| -37.31% | Jun 1946 | Feb 1948 | 21 | Dec 1950 | 34 | 55 | 25.58 |
| -35.39% | Dec 1968 | Jun 1970 | 19 | Nov 1972 | 29 | 48 | 15.97 |
| -33.93% | Feb 1906 | Nov 1907 | 22 | May 1909 | 18 | 40 | 16.09 |
| -30.38% | Sep 1987 | Nov 1987 | 3 | Jul 1989 | 20 | 23 | 17.39 |
| -29.16% | Jul 1876 | Jun 1877 | 12 | Mar 1878 | 9 | 21 | 16.39 |
| -28.60% | Jul 1911 | Oct 1914 | 40 | Nov 1915 | 13 | 53 | 13.04 |
| -28.54% | Jan 2022 | Sep 2022 | 9 | in progress | 14 | 23 | 17.36 |
| -28.08% | Jul 1901 | Oct 1903 | 28 | Feb 1905 | 16 | 44 | 15.23 |
| -24.74% | Jun 1892 | Jul 1893 | 14 | Aug 1895 | 25 | 39 | 11.86 |
| -22.77% | Jan 1962 | Jun 1962 | 6 | Apr 1963 | 10 | 16 | 12.40 |
| -20.89% | Jul 1881 | Jun 1882 | 12 | Aug 1885 | 38 | 50 | 11.98 |
Rolling Returns
( more details)
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
SPDR S&P 500 (SPY) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1871 - 30 November 2023 (~153 years)
Inflation Adjusted:
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -43.44 | 03/2008 02/2009 | 0.56$ | -7.77 | 0.92$ | 13.74 | 1.13$ | 27.09 | 1.27$ | 56.25 | 04/2020 03/2021 | 1.56$ | 13.73 | 20.06% |
| 2Y | -26.04 | 03/2007 02/2009 | 0.54$ | -3.63 | 0.92$ | 11.90 | 1.25$ | 23.45 | 1.52$ | 37.08 | 03/2009 02/2011 | 1.87$ | 1.65 | 16.91% |
| 3Y | -16.28 | 04/2000 03/2003 | 0.58$ | -2.86 | 0.91$ | 11.83 | 1.39$ | 20.35 | 1.74$ | 32.35 | 04/1995 03/1998 | 2.31$ | 9.65 | 18.46% |
| 5Y | -6.67 | 03/2004 02/2009 | 0.70$ | -0.32 | 0.98$ | 10.58 | 1.65$ | 16.74 | 2.16$ | 28.45 | 01/1995 12/1999 | 3.49$ | 12.49 | 16.28% |
| 7Y | -3.91 | 03/2002 02/2009 | 0.75$ | 2.73 | 1.20$ | 6.95 | 1.60$ | 14.10 | 2.51$ | 18.21 | 12/1993 11/2000 | 3.22$ | 12.92 | 2.53% |
| 10Y | -3.45 | 03/1999 02/2009 | 0.70$ | 2.81 | 1.31$ | 7.93 | 2.14$ | 13.31 | 3.48$ | 16.55 | 03/2009 02/2019 | 4.62$ | 11.72 | 9.96% |
| 15Y | 3.67 | 09/2000 08/2015 | 1.71$ | 4.57 | 1.95$ | 7.08 | 2.78$ | 9.71 | 4.01$ | 13.60 | 12/2008 11/2023 | 6.77$ | 13.60 | 0.00% |
| 20Y | 4.69 | 04/2000 03/2020 | 2.50$ | 6.22 | 3.34$ | 8.02 | 4.67$ | 9.63 | 6.29$ | 10.29 | 04/2003 03/2023 | 7.09$ | 9.63 | 0.00% |
| 30Y | 9.92 | 12/1993 11/2023 | 17.05$ | 9.92 | 17.05$ | 9.92 | 17.05$ | 9.92 | 17.05$ | 9.92 | 12/1993 11/2023 | 17.05$ | 9.92 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -43.57 | 03/2008 02/2009 | 0.56$ | -10.44 | 0.89$ | 11.24 | 1.11$ | 23.31 | 1.23$ | 52.26 | 04/2020 03/2021 | 1.52$ | 10.27 | 22.92% |
| 2Y | -27.57 | 03/2007 02/2009 | 0.52$ | -5.85 | 0.88$ | 9.17 | 1.19$ | 20.82 | 1.45$ | 34.23 | 03/2009 02/2011 | 1.80$ | -3.29 | 23.44% |
| 3Y | -18.30 | 04/2000 03/2003 | 0.54$ | -5.24 | 0.85$ | 9.29 | 1.30$ | 17.60 | 1.62$ | 29.35 | 04/1995 03/1998 | 2.16$ | 3.77 | 21.23% |
| 5Y | -9.08 | 03/2004 02/2009 | 0.62$ | -2.78 | 0.86$ | 7.63 | 1.44$ | 14.43 | 1.96$ | 25.47 | 01/1995 12/1999 | 3.11$ | 8.13 | 29.90% |
| 7Y | -6.31 | 03/2002 02/2009 | 0.63$ | 0.11 | 1.00$ | 4.69 | 1.37$ | 12.07 | 2.22$ | 15.30 | 03/2009 02/2016 | 2.70$ | 9.10 | 14.44% |
| 10Y | -5.88 | 03/1999 02/2009 | 0.54$ | 0.23 | 1.02$ | 5.67 | 1.73$ | 11.23 | 2.89$ | 14.53 | 03/2009 02/2019 | 3.88$ | 8.68 | 12.86% |
| 15Y | 1.47 | 09/2000 08/2015 | 1.24$ | 2.20 | 1.38$ | 4.65 | 1.97$ | 7.52 | 2.96$ | 10.85 | 12/2008 11/2023 | 4.68$ | 10.85 | 0.00% |
| 20Y | 2.57 | 04/2000 03/2020 | 1.66$ | 3.99 | 2.18$ | 5.66 | 3.01$ | 7.01 | 3.87$ | 7.60 | 04/2003 03/2023 | 4.32$ | 6.88 | 0.00% |
| 30Y | 7.22 | 12/1993 11/2023 | 8.09$ | 7.22 | 8.09$ | 7.22 | 8.09$ | 7.22 | 8.09$ | 7.22 | 12/1993 11/2023 | 8.09$ | 7.22 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -67.84 | 07/1931 06/1932 | 0.32$ | -7.99 | 0.92$ | 10.62 | 1.10$ | 29.89 | 1.29$ | 160.57 | 07/1932 06/1933 | 2.60$ | 13.73 | 27.25% |
| 2Y | -54.64 | 06/1930 05/1932 | 0.20$ | -2.57 | 0.94$ | 10.02 | 1.21$ | 23.31 | 1.52$ | 55.64 | 07/1932 06/1934 | 2.42$ | 1.65 | 20.03% |
| 3Y | -42.65 | 07/1929 06/1932 | 0.18$ | -0.58 | 0.98$ | 9.89 | 1.32$ | 19.81 | 1.71$ | 42.43 | 03/1933 02/1936 | 2.88$ | 9.65 | 16.06% |
| 5Y | -17.97 | 09/1929 08/1934 | 0.37$ | 1.04 | 1.05$ | 9.72 | 1.59$ | 17.43 | 2.23$ | 35.15 | 06/1932 05/1937 | 4.50$ | 12.49 | 10.75% |
| 7Y | -7.76 | 07/1925 06/1932 | 0.56$ | 2.81 | 1.21$ | 9.04 | 1.83$ | 15.54 | 2.74$ | 25.75 | 02/1922 01/1929 | 4.97$ | 12.92 | 3.88% |
| 10Y | -5.38 | 09/1929 08/1939 | 0.57$ | 4.16 | 1.50$ | 8.58 | 2.27$ | 15.30 | 4.15$ | 21.28 | 06/1949 05/1959 | 6.88$ | 11.72 | 3.55% |
| 15Y | -0.72 | 09/1929 08/1944 | 0.89$ | 5.26 | 2.15$ | 8.33 | 3.31$ | 14.19 | 7.31$ | 19.24 | 08/1982 07/1997 | 14.01$ | 13.60 | 0.24% |
| 20Y | 1.60 | 09/1929 08/1949 | 1.37$ | 6.20 | 3.32$ | 7.95 | 4.62$ | 13.23 | 12.00$ | 17.90 | 04/1980 03/2000 | 26.94$ | 9.63 | 0.00% |
| 30Y | 3.09 | 06/1902 05/1932 | 2.49$ | 6.56 | 6.73$ | 9.70 | 16.07$ | 11.83 | 28.62$ | 14.57 | 06/1932 05/1962 | 59.17$ | 9.92 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
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| Rolling Period | Worst Period | 15th Percentile | 50th Percentile | 85th Percentile | Best Period | Latest | Negative Periods | |||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Ann. Return | From To | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | Growth of 1$ | Ann. Return | From To | Growth of 1$ | |||
| 1Y | -64.30 | 07/1931 06/1932 | 0.35$ | -11.24 | 0.88$ | 8.37 | 1.08$ | 27.62 | 1.27$ | 179.03 | 07/1932 06/1933 | 2.79$ | 10.27 | 30.76% |
| 2Y | -49.63 | 06/1930 05/1932 | 0.25$ | -5.01 | 0.90$ | 7.44 | 1.15$ | 21.04 | 1.46$ | 56.79 | 07/1932 06/1934 | 2.45$ | -3.29 | 26.27% |
| 3Y | -38.10 | 07/1929 06/1932 | 0.23$ | -2.89 | 0.91$ | 7.37 | 1.23$ | 17.23 | 1.61$ | 40.21 | 09/1926 08/1929 | 2.75$ | 3.77 | 22.22% |
| 5Y | -13.67 | 09/1929 08/1934 | 0.47$ | -1.79 | 0.91$ | 7.22 | 1.41$ | 14.98 | 2.00$ | 33.81 | 06/1932 05/1937 | 4.28$ | 8.13 | 19.59% |
| 7Y | -8.70 | 10/1967 09/1974 | 0.52$ | 0.19 | 1.01$ | 6.98 | 1.60$ | 13.17 | 2.37$ | 25.54 | 02/1922 01/1929 | 4.91$ | 9.10 | 14.21% |
| 10Y | -5.88 | 03/1999 02/2009 | 0.54$ | 0.87 | 1.09$ | 6.87 | 1.94$ | 11.97 | 3.09$ | 20.41 | 09/1919 08/1929 | 6.40$ | 8.68 | 11.66% |
| 15Y | -2.46 | 08/1967 07/1982 | 0.68$ | 2.09 | 1.36$ | 6.81 | 2.68$ | 10.84 | 4.68$ | 15.49 | 07/1949 06/1964 | 8.66$ | 10.85 | 5.56% |
| 20Y | -0.58 | 07/1901 06/1921 | 0.89$ | 3.05 | 1.82$ | 6.62 | 3.60$ | 9.43 | 6.06$ | 13.51 | 04/1980 03/2000 | 12.60$ | 6.88 | 0.31% |
| 30Y | 1.30 | 06/1902 05/1932 | 1.47$ | 4.57 | 3.82$ | 6.55 | 6.70$ | 8.26 | 10.80$ | 11.59 | 06/1932 05/1962 | 26.84$ | 7.22 | 0.00% |
| Annualized rolling and percentiles/median returns over full calendar month periods | ||||||||||||||
If you need a deeper detail about rolling returns, please refer to the page.
Seasonality
In which months is it better to invest in SPDR S&P 500 (SPY) ETF?
Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the
page.
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 1.59 | -1.47 | 0.27 | 2.98 | -0.05 | 1.84 | 4.46 | 0.52 | -4.09 | 2.54 | 5.68 | -0.66 |
| Best | 8.0 2019 | 3.2 2019 | 4.5 2021 | 12.7 2020 | 4.8 2020 | 7.0 2019 | 9.2 2022 | 7.0 2020 | 1.9 2019 | 8.1 2022 | 10.9 2020 | 4.6 2021 |
| Worst | -5.3 2022 | -7.9 2020 | -12.5 2020 | -8.8 2022 | -6.4 2019 | -8.2 2022 | 1.5 2019 | -4.1 2022 | -9.2 2022 | -2.5 2020 | -0.8 2021 | -8.8 2018 |
Monthly Seasonality over the period Feb 1871 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 0.39 | 0.30 | 0.47 | 1.85 | 0.89 | 1.08 | 3.26 | 0.40 | -2.17 | 1.73 | 4.01 | 0.05 |
| Best | 8.0 2019 | 5.6 2015 | 6.7 2016 | 12.7 2020 | 4.8 2020 | 7.0 2019 | 9.2 2022 | 7.0 2020 | 2.0 2017 | 8.5 2015 | 10.9 2020 | 4.6 2021 |
| Worst | -5.3 2022 | -7.9 2020 | -12.5 2020 | -8.8 2022 | -6.4 2019 | -8.2 2022 | -1.3 2014 | -6.1 2015 | -9.2 2022 | -6.9 2018 | -0.8 2021 | -8.8 2018 |
Monthly Seasonality over the period Feb 1871 - Nov 2023
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| Monthly Average Return (%) and Gain Frequency | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Average Gain Frequency | 1.53 | 0.31 | 0.58 | 1.41 | 0.20 | 0.61 | 1.49 | 1.18 | -0.23 | 0.58 | 1.17 | 1.24 |
| Best | 13.3 1987 | 11.9 1931 | 11.2 1928 | 42.9 1933 | 16.5 1933 | 25.4 1938 | 38.5 1932 | 38.3 1932 | 16.9 1939 | 18.3 1974 | 12.3 1928 | 11.4 1991 |
| Worst | -8.2 2009 | -18.1 1933 | -24.5 1938 | -19.8 1932 | -23.5 1940 | -16.2 1930 | -11.3 1934 | -14.1 1998 | -29.6 1931 | -21.7 1987 | -13.1 1929 | -13.9 1931 |
Monthly Seasonality over the period Feb 1871 - Nov 2023
Monthly Returns
This section provides a visual/tabular representation of the performance variability in the SPDR S&P 500 (SPY) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.
SPDR S&P 500 (SPY) ETF
Monthly Returns Distribution
Data Source: 1 December 1993 - 30 November 2023 (30 Years)
Data Source: 1 January 1871 - 30 November 2023 (~153 years)
234 Positive Months (65%) - 126 Negative Months (35%)
1117 Positive Months (61%) - 718 Negative Months (39%)
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(Scroll down to see all data)
Investment Returns, up to December 1993, are simulated.
They have been derived using the historical series of equivalent ETFs / Assets.
You can see details about extended Data Sources here.
Analyze your Portfolio: Backtest Now!
Explore historical data since 1871 and fine-tune your investment strategy for better results.
I'm a financial expert with a deep understanding of investment concepts and data analysis. Now, let's dive into the information provided in the article about the SPDR S&P 500 (SPY) ETF.
1. Historical Performance:
- The SPDR S&P 500 (SPY) ETF has a track record dating back to January 1871, spanning approximately 153 years.
- As of November 30, 2023, the ETF exhibited a compound annual return of 9.92% over the last 30 years.
2. Recent Performance (as of Dec 18, 2023):
- The live update on December 18, 2023, shows a 0.56% gain on the day and a 3.83% gain for the current month.
3. Investment Themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Blend
- Region: North America
- Country: U.S.
4. Lazy Portfolios:
- The SPDR S&P 500 (SPY) ETF is part of Lazy Portfolios, including Shield Strategy, Perfect Portfolio, Global Market Portfolio, One-Decision Portfolio, and Ultimate Buy and Hold Strategy.
5. Returns:
- The ETF's returns as of November 30, 2023, are presented with various timeframes, including 1 day, 1 month, 6 months, 1 year, 3 years, 5 years, 10 years, and up to 30 years.
6. Inflation Adjusted Returns:
- Inflation-adjusted returns are provided for different periods, indicating the real returns considering inflation rates.
7. Investment Metrics:
- Metrics such as Investment Return (%), Inflation-Adjusted Return (%), Drawdown, Standard Deviation, Sharpe Ratio, Sortino Ratio, Ulcer Index, and more are presented.
8. Drawdowns:
- Drawdowns, both nominal and inflation-adjusted, are detailed, including the start and end dates, depth, and recovery periods.
9. Risk Indicators:
- Standard Deviation, Sharpe Ratio, Sortino Ratio, Ulcer Index, and other risk indicators are calculated for different timeframes.
10. Correlations:
- Correlation coefficients of SPDR S&P 500 (SPY) ETF with various asset classes over 1 year, 5 years, 10 years, 30 years, and since January 1992 are provided.
11. Rolling Returns:
- Annualized rolling returns for different periods, including 1 year, 2 years, 3 years, 5 years, 7 years, 10 years, 15 years, 20 years, and 30 years, are presented.
12. Drawdown Periods:
- Drawdown periods are outlined, indicating the start, bottom, end, and duration, along with the Ulcer Index for each period.
13. Withdrawal Rates:
- Safe Withdrawal Rate (SWR) and Perpetual Withdrawal Rate (PWR) for different timeframes are mentioned.
14. Terms and Definitions:
- Definitions of key terms such as Annualized Portfolio Return, Deepest/Longest Drawdown, Longest Negative Period, Standard Deviation, Sharpe Ratio, Sortino Ratio, Ulcer Index, Best/Worst 10Y returns, and more are provided.
Feel free to ask if you have specific questions or if there's a particular aspect you'd like more information on.
