SPDR® S&P 500® ETF Trust (SPY)
600.75
+3.22
(+0.54%)
USD |
NYSEARCA |
Nov 26, 16:00
600.67
-0.08
(-0.01%)
After-Hours: 19:48
SPY Max Drawdown (5Y): 33.70% for Oct. 31, 2024
Max Drawdown (5Y) Chart
Historical Max Drawdown (5Y) Data
| Date | Value |
|---|---|
| October 31, 2024 | 33.70% |
| September 30, 2024 | 33.70% |
| August 31, 2024 | 33.70% |
| July 31, 2024 | 33.70% |
| June 30, 2024 | 33.70% |
| May 31, 2024 | 33.70% |
| April 30, 2024 | 33.70% |
| March 31, 2024 | 33.70% |
| February 29, 2024 | 33.70% |
| January 31, 2024 | 33.70% |
| December 31, 2023 | 33.70% |
| November 30, 2023 | 33.70% |
| October 31, 2023 | 33.70% |
| September 30, 2023 | 33.70% |
| August 31, 2023 | 33.70% |
| July 31, 2023 | 33.70% |
| June 30, 2023 | 33.70% |
| May 31, 2023 | 33.70% |
| April 30, 2023 | 33.70% |
| March 31, 2023 | 33.70% |
| February 28, 2023 | 33.70% |
| January 31, 2023 | 33.70% |
| December 31, 2022 | 33.70% |
| November 30, 2022 | 33.70% |
| October 31, 2022 | 33.70% |
| Date | Value |
|---|---|
| September 30, 2022 | 33.70% |
| August 31, 2022 | 33.70% |
| July 31, 2022 | 33.70% |
| June 30, 2022 | 33.70% |
| May 31, 2022 | 33.70% |
| April 30, 2022 | 33.70% |
| March 31, 2022 | 33.70% |
| February 28, 2022 | 33.70% |
| January 31, 2022 | 33.70% |
| December 31, 2021 | 33.70% |
| November 30, 2021 | 33.70% |
| October 31, 2021 | 33.70% |
| September 30, 2021 | 33.70% |
| August 31, 2021 | 33.70% |
| July 31, 2021 | 33.70% |
| June 30, 2021 | 33.70% |
| May 31, 2021 | 33.70% |
| April 30, 2021 | 33.70% |
| March 31, 2021 | 33.70% |
| February 28, 2021 | 33.70% |
| 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% |
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
19.34%
Minimum
Nov 2019
33.70%
Maximum
Mar 2020
32.74%
Average
33.70%
Median
Mar 2020
Max Drawdown (5Y) Benchmarks
| SPDR® Portfolio S&P 500® ETF | 33.86% |
| Vanguard S&P 500 ETF | 34.01% |
| iShares Core S&P 500 ETF | 33.90% |
| ProShares Ultra S&P500 | 59.34% |
| ProShares UltraPro S&P500 | 76.82% |
Max Drawdown (5Y) Related Metrics
| Alpha (5Y) | -0.0716 |
| Beta (5Y) | 0.9978 |
| Alpha (vs YCharts Benchmark) (5Y) | -0.0716 |
| Beta (vs YCharts Benchmark) (5Y) | 0.9978 |
| Annualized Standard Deviation of Monthly Returns (5Y Lookback) | 18.81% |
| Historical Sharpe Ratio (5Y) | 0.6809 |
| Historical Sortino (5Y) | 0.7335 |
| Monthly Value at Risk (VaR) 5% (5Y Lookback) | 7.94% |