SPDR® Portfolio Mortgage Backed Bond ETF (SPMB)
21.72
-0.04
(-0.16%)
USD |
NYSEARCA |
Nov 14, 16:00
21.72
0.00 (0.00%)
After-Hours: 18:13
SPMB Max Drawdown (5Y): 18.03% for Oct. 31, 2024
Max Drawdown (5Y) Chart
Historical Max Drawdown (5Y) Data
| Date | Value |
|---|---|
| October 31, 2024 | 18.03% |
| September 30, 2024 | 18.03% |
| August 31, 2024 | 18.03% |
| July 31, 2024 | 18.03% |
| June 30, 2024 | 18.03% |
| May 31, 2024 | 18.03% |
| April 30, 2024 | 18.03% |
| March 31, 2024 | 18.03% |
| February 29, 2024 | 18.03% |
| January 31, 2024 | 18.03% |
| December 31, 2023 | 18.03% |
| November 30, 2023 | 18.03% |
| October 31, 2023 | 18.03% |
| September 30, 2023 | 18.03% |
| August 31, 2023 | 18.03% |
| July 31, 2023 | 18.03% |
| June 30, 2023 | 18.03% |
| May 31, 2023 | 18.03% |
| April 30, 2023 | 18.03% |
| March 31, 2023 | 18.03% |
| February 28, 2023 | 18.03% |
| January 31, 2023 | 18.03% |
| December 31, 2022 | 18.03% |
| November 30, 2022 | 18.03% |
| October 31, 2022 | 18.03% |
| Date | Value |
|---|---|
| September 30, 2022 | 16.49% |
| August 31, 2022 | 13.89% |
| July 31, 2022 | 13.89% |
| June 30, 2022 | 13.89% |
| May 31, 2022 | 12.60% |
| April 30, 2022 | 12.60% |
| March 31, 2022 | 12.60% |
| February 28, 2022 | 12.60% |
| January 31, 2022 | 12.60% |
| December 31, 2021 | 12.60% |
| November 30, 2021 | 12.60% |
| October 31, 2021 | 12.60% |
| September 30, 2021 | 12.60% |
| August 31, 2021 | 12.60% |
| July 31, 2021 | 12.60% |
| June 30, 2021 | 12.60% |
| May 31, 2021 | 12.60% |
| April 30, 2021 | 12.60% |
| March 31, 2021 | 12.60% |
| February 28, 2021 | 12.60% |
| January 31, 2021 | 12.60% |
| December 31, 2020 | 12.60% |
| November 30, 2020 | 12.60% |
| October 31, 2020 | 12.60% |
| September 30, 2020 | 12.60% |
Max Drawdown Definition
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.
Max Drawdown (5Y) Range, Past 5 Years
3.93%
Minimum
Nov 2019
18.03%
Maximum
Oct 2023
14.41%
Average
12.60%
Median
Mar 2020
Max Drawdown (5Y) Benchmarks
| iShares MBS ETF | 17.64% |
| Vanguard Mortgage-Backed Secs ETF | 17.47% |
| Janus Henderson Mortgage-Backed Sec ETF | 16.68% |
| iShares GNMA Bond ETF | 17.09% |
| FlexShares Disciplined Duration MBS ETF | 14.36% |
Max Drawdown (5Y) Related Metrics
| Alpha (5Y) | -0.4429 |
| Beta (5Y) | 1.020 |
| Alpha (vs YCharts Benchmark) (5Y) | -0.4429 |
| Beta (vs YCharts Benchmark) (5Y) | 1.020 |
| Annualized Standard Deviation of Monthly Returns (5Y Lookback) | 6.68% |
| Historical Sharpe Ratio (5Y) | -0.4621 |
| Historical Sortino (5Y) | -0.6255 |
| Monthly Value at Risk (VaR) 5% (5Y Lookback) | 3.43% |