S&P Global Inc (SPGI)

491.81 +5.25 (+1.08%) USD  |  NYSE  |  Dec 20, 16:00
492.80 +0.99 (+0.20%) Pre-Market: 20:00
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S&P Global Max Drawdown (5Y): 39.77% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Sep '18
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Historical Data

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Max Drawdown Definition

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Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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Moodys Corp 42.01%
Nasdaq Inc 38.28%
MSCI Inc 43.74%
FactSet Research Systems Inc 33.56%
Cboe Global Markets Inc 43.22%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) -2.773
Beta (5Y) 1.191
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 27.33%
Historical Sharpe Ratio (5Y) 0.4808
Historical Sortino (5Y) 0.7095
Monthly Value at Risk (VaR) 5% (5Y Lookback) 11.38%