Description of SPDR S&P 500

SPDR S&P 500 ETF

Statistics of SPDR S&P 500 (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • The total return over 5 years of SPDR S&P 500 is 64.1%, which is greater, thus better compared to the benchmark SPY (64.1%) in the same period.
  • Compared with SPY (48.1%) in the period of the last 3 years, the total return, or performance of 48.1% is larger, thus better.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

Applying this definition to our asset in some examples:
  • Looking at the annual return (CAGR) of 10.4% in the last 5 years of SPDR S&P 500, we see it is relatively higher, thus better in comparison to the benchmark SPY (10.4%)
  • Compared with SPY (14%) in the period of the last 3 years, the annual performance (CAGR) of 14% is greater, thus better.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

Which means for our asset as example:
  • The 30 days standard deviation over 5 years of SPDR S&P 500 is 13.6%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 12.8%, which is greater, thus worse than the value of 12.8% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

Applying this definition to our asset in some examples:
  • Looking at the downside risk of 14.9% in the last 5 years of SPDR S&P 500, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.9%)
  • During the last 3 years, the downside risk is 14.5%, which is greater, thus worse than the value of 14.5% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Using this definition on our asset we see for example:
  • Compared with the benchmark SPY (0.58) in the period of the last 5 years, the Sharpe Ratio of 0.58 of SPDR S&P 500 is higher, thus better.
  • During the last 3 years, the risk / return profile (Sharpe) is 0.9, which is higher, thus better than the value of 0.9 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:
  • The downside risk / excess return profile over 5 years of SPDR S&P 500 is 0.53, which is greater, thus better compared to the benchmark SPY (0.53) in the same period.
  • Looking at downside risk / excess return profile in of 0.79 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.79).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of SPDR S&P 500 is 4.02 , which is higher, thus worse compared to the benchmark SPY (4.02 ) in the same period.
  • Looking at Ulcer Ratio in of 4.09 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (4.09 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Using this definition on our asset we see for example:
  • Looking at the maximum drop from peak to valley of -19.3 days in the last 5 years of SPDR S&P 500, we see it is relatively greater, thus better in comparison to the benchmark SPY (-19.3 days)
  • During the last 3 years, the maximum reduction from previous high is -19.3 days, which is higher, thus better than the value of -19.3 days from the benchmark.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

Using this definition on our asset we see for example:
  • Looking at the maximum days below previous high of 187 days in the last 5 years of SPDR S&P 500, we see it is relatively larger, thus worse in comparison to the benchmark SPY (187 days)
  • Looking at maximum days under water in of 139 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

Applying this definition to our asset in some examples:
  • Looking at the average days below previous high of 41 days in the last 5 years of SPDR S&P 500, we see it is relatively greater, thus worse in comparison to the benchmark SPY (41 days)
  • During the last 3 years, the average time in days below previous high water mark is 35 days, which is larger, thus worse than the value of 35 days from the benchmark.

Performance of SPDR S&P 500 (YTD)

Historical returns have been extended using synthetic data.

Allocations of SPDR S&P 500
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Allocations

Returns of SPDR S&P 500 (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of SPDR S&P 500 are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.