SPDR® S&P 500 ETF Trust (SPY)
380.36
-1.97 (-0.52%)
USD |
Feb 26, 20:00
SPY Max Drawdown (5Y): 33.70% for Jan. 31, 2021
Max Drawdown (5Y) Chart
Historical Max Drawdown (5Y) Data
| Date | Value |
|---|---|
| January 31, 2021 | 33.70% |
| December 31, 2020 | 33.70% |
| November 30, 2020 | 33.70% |
| October 31, 2020 | 33.70% |
| September 30, 2020 | 33.70% |
| August 31, 2020 | 33.70% |
| July 31, 2020 | 33.70% |
| June 30, 2020 | 33.70% |
| May 31, 2020 | 33.70% |
| April 30, 2020 | 33.70% |
| March 31, 2020 | 33.70% |
| February 29, 2020 | 19.34% |
| January 31, 2020 | 19.34% |
| December 31, 2019 | 19.34% |
| November 30, 2019 | 19.34% |
| October 31, 2019 | 19.34% |
| September 30, 2019 | 19.34% |
| August 31, 2019 | 19.34% |
| July 31, 2019 | 19.34% |
| June 30, 2019 | 19.34% |
| May 31, 2019 | 19.34% |
| April 30, 2019 | 19.34% |
| March 31, 2019 | 19.34% |
| February 28, 2019 | 19.34% |
| January 31, 2019 | 19.34% |
| Date | Value |
|---|---|
| December 31, 2018 | 19.34% |
| November 30, 2018 | 13.01% |
| October 31, 2018 | 13.01% |
| September 30, 2018 | 13.01% |
| August 31, 2018 | 13.01% |
| July 31, 2018 | 13.01% |
| June 30, 2018 | 13.01% |
| May 31, 2018 | 13.01% |
| April 30, 2018 | 13.01% |
| March 31, 2018 | 13.01% |
| February 28, 2018 | 13.01% |
| January 31, 2018 | 13.01% |
| December 31, 2017 | 13.01% |
| November 30, 2017 | 13.01% |
| October 31, 2017 | 13.01% |
| September 30, 2017 | 13.01% |
| August 31, 2017 | 13.01% |
| July 31, 2017 | 13.01% |
| June 30, 2017 | 13.01% |
| May 31, 2017 | 13.01% |
| April 30, 2017 | 13.01% |
| March 31, 2017 | 13.01% |
| February 28, 2017 | 13.01% |
| January 31, 2017 | 13.01% |
| December 31, 2016 | 13.01% |
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
13.01%
Minimum
Oct 2016
33.70%
Maximum
Mar 2020
19.51%
Average
19.34%
Median
Dec 2018
Max Drawdown (5Y) Benchmarks
| Vanguard S&P 500 ETF | 34.01% |
| iShares Core S&P 500 ETF | 33.90% |
| SPDR® Portfolio S&P 500 ETF | 33.86% |
| iShares MSCI KLD 400 Social ETF | 34.10% |
| First Trust Capital Strength ETF | 31.93% |
Max Drawdown (5Y) Related Metrics
| Alpha (5Y) | 0.0059 |
| Beta (5Y) | 0.9924 |
| Annualized Standard Deviation of Monthly Returns (5Y Lookback) | 16.42% |
| Historical Sharpe Ratio (5Y) | 0.9872 |
| Historical Sortino (5Y) | 0.8884 |
| Monthly Value at Risk (VaR) 5% (5Y Lookback) | 5.35% |