Consolidated Returns as of 30 April 2023
In the last 20 Years, the SPDR Portfolio S&P 500 Value ETF (SPYV) ETF obtained a 8.72% compound annual return, with a 14.94% standard deviation.
In 2022, the ETF granted a 2.08% dividend yield. If you are interested in getting periodic income, please refer to the SPDR Portfolio S&P 500 Value ETF (SPYV) ETF: Dividend Yield page.
The ETF is related to the following investment themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Blend
- Region: North America
- Country: U.S.
Historical Returns as of Apr 30, 2023
Historical returns and Metrics of SPDR Portfolio S&P 500 Value ETF (SPYV) ETF.
- No fees or capital gain taxes
- the reinvestment of dividends
Metrics as of Apr 30, 2023 | |||||||||
---|---|---|---|---|---|---|---|---|---|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y |
MAX
(~23Y) |
|
Portfolio Return (%) | 1.74 | 0.04 | 9.00 | 6.75 | 15.77 | 9.71 | 10.08 | 8.72 | 6.91 |
US Inflation (%) | 0.51 | 1.40 | 1.80 | 4.93 | 5.77 | 3.90 | 2.69 | 2.54 | 2.50 |
Infl. Adjusted Return (%) | 1.23 | -1.34 | 7.07 | 1.74 | 9.45 | 5.60 | 7.19 | 6.03 | 4.30 |
Returns / Inflation rates over 1 year are annualized. | |||||||||
RISK INDICATORS | |||||||||
Standard Deviation (%) | 20.48 | 16.52 | 18.41 | 14.94 | 14.94 | 15.14 | |||
Sharpe Ratio | 0.19 | 0.90 | 0.46 | 0.63 | 0.51 | 0.19 | |||
Sortino Ratio | 0.27 | 1.30 | 0.61 | 0.84 | 0.67 | 0.25 | |||
MAXIMUM DRAWDOWN | |||||||||
Drawdown Depth (%) | -13.49 | -16.52 | -25.24 | -25.24 | -53.68 | -53.68 | |||
Start (yyyy mm) | 2022 06 | 2022 01 | 2020 01 | 2020 01 | 2007 06 | 2007 06 | |||
Bottom (yyyy mm) | 2022 09 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | |||
Start to Bottom (# months) | 4 | 9 | 3 | 3 | 21 | 21 | |||
Start to Recovery (# months) in progress |
6
|
13
|
12
|
12
|
69
|
69
|
|||
ROLLING PERIOD RETURNS - Annualized | |||||||||
Best Return (%) | 50.49 | 23.42 | 21.51 | 14.69 | 9.10 | ||||
Worst Return (%) | -45.85 | -16.04 | -6.80 | 1.73 | 5.72 | ||||
% Positive Periods | 75% | 84% | 82% | 100% | 100% | ||||
MONTHS | |||||||||
Positive | 1 | 2 | 4 | 7 | 21 | 38 | 78 | 156 | 171 |
Negative | 0 | 1 | 2 | 5 | 15 | 22 | 42 | 84 | 99 |
% Positive | 100% | 67% | 67% | 58% | 58% | 63% | 65% | 65% | 63% |
WITHDRAWAL RATES (WR) | |||||||||
Safe WR (%) | 43.46 | 23.70 | 15.28 | 8.48 | 5.55 | ||||
Perpetual WR (%) | 8.64 | 5.30 | 6.71 | 5.69 | 4.12 |
- Annualized Portfolio Return: it's the annualized geometric mean return of the ETF
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the ETF. It's calculated by dividing the excess return of the ETF over the risk-free rate by the ETF standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the ETF. It's a modification of the Sharpe Ratio (same formula but the denominator is the ETF downside standard deviation).
- Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Correlations as of Apr 30, 2023
Monthly correlations of SPDR Portfolio S&P 500 Value ETF (SPYV) ETF vs the main Asset Classes, over different timeframes.
Correlation measures to what degree the returns of the two assets move in relation to each other.
Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much.
Asset correlations are calculated based on monthly returns.
Columns are sortable (click on table header to sort).
Correlation vs SPYV | |||||
---|---|---|---|---|---|
|
|||||
Asset Class | 1 Year | 5 Years | 10 Years | Since Nov 2000 |
|
US Total Stock Market VTI |
0.96
|
0.94
|
0.94
|
0.94
|
|
US Large Cap SPY |
0.96
|
0.94
|
0.94
|
0.95
|
|
US Small Cap IJR |
0.92
|
0.91
|
0.89
|
0.86
|
|
US REITs VNQ |
0.88
|
0.82
|
0.68
|
0.68
|
|
US Technology QQQ |
0.82
|
0.78
|
0.77
|
0.72
|
|
Preferred Stocks PFF |
0.62
|
0.73
|
0.64
|
0.50
|
|
EAFE Stocks EFA |
0.90
|
0.91
|
0.85
|
0.87
|
|
World All Countries VT |
0.96
|
0.95
|
0.93
|
0.93
|
|
Emerging Markets EEM |
0.64
|
0.73
|
0.67
|
0.73
|
|
Europe VGK |
0.91
|
0.90
|
0.84
|
0.87
|
|
Pacific VPL |
0.84
|
0.85
|
0.77
|
0.75
|
|
Latin America FLLA |
0.82
|
0.68
|
0.60
|
0.68
|
|
US Total Bond Market BND |
0.67
|
0.30
|
0.20
|
0.08
|
|
Long Term Treasuries TLT |
0.48
|
-0.11
|
-0.16
|
-0.24
|
|
US Cash BIL |
-0.03
|
-0.16
|
-0.12
|
-0.09
|
|
TIPS TIP |
0.82
|
0.45
|
0.31
|
0.15
|
|
Invest. Grade Bonds LQD |
0.74
|
0.52
|
0.43
|
0.30
|
|
High Yield Bonds HYG |
0.89
|
0.82
|
0.77
|
0.69
|
|
International Bonds BNDX |
0.76
|
0.37
|
0.27
|
0.14
|
|
Emerg. Market Bonds EMB |
0.76
|
0.66
|
0.57
|
0.54
|
|
Gold GLD |
0.34
|
0.14
|
0.04
|
0.07
|
|
Commodities DBC |
0.84
|
0.61
|
0.52
|
0.42
|
Capital Growth as of Apr 30, 2023
Capital growth, returns, stats are calculated assuming a reinvestment of dividends.
If you are interested in getting periodic income, please refer to the SPDR Portfolio S&P 500 Value ETF (SPYV) ETF: Dividend Yield page.
The Inflation Adjusted Capital now would be 3227.20$, with a net total return of 222.72% (6.03% annualized).
The Inflation Adjusted Capital now would be 2578.12$, with a net total return of 157.81% (4.30% annualized).
Drawdowns
A drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
Worst drawdowns since May 2003.
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-53.68% | Jun 2007 | Feb 2009 | 21 | Feb 2013 | 48 | 69 |
-25.24% | Jan 2020 | Mar 2020 | 3 | Dec 2020 | 9 | 12 |
-16.52% | Jan 2022 | Sep 2022 | 9 | Jan 2023 | 4 | 13 |
-12.57% | Feb 2018 | Dec 2018 | 11 | Apr 2019 | 4 | 15 |
-10.62% | Jun 2015 | Sep 2015 | 4 | May 2016 | 8 | 12 |
-7.58% | May 2019 | May 2019 | 1 | Jul 2019 | 2 | 3 |
-4.47% | Jan 2015 | Jan 2015 | 1 | Feb 2015 | 1 | 2 |
-4.34% | Aug 2013 | Aug 2013 | 1 | Oct 2013 | 2 | 3 |
-3.74% | Jan 2014 | Jan 2014 | 1 | Mar 2014 | 2 | 3 |
-3.32% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
-3.29% | Nov 2021 | Nov 2021 | 1 | Dec 2021 | 1 | 2 |
-3.19% | Mar 2004 | Apr 2004 | 2 | Sep 2004 | 5 | 7 |
-2.98% | Feb 2023 | Feb 2023 | 1 | Apr 2023 | 2 | 3 |
-2.67% | Aug 2019 | Aug 2019 | 1 | Sep 2019 | 1 | 2 |
-2.67% | Mar 2005 | Apr 2005 | 2 | Jul 2005 | 3 | 5 |
-2.41% | May 2006 | May 2006 | 1 | Jul 2006 | 2 | 3 |
-2.28% | Jan 2005 | Jan 2005 | 1 | Feb 2005 | 1 | 2 |
-1.86% | Feb 2007 | Feb 2007 | 1 | Apr 2007 | 2 | 3 |
-1.83% | Sep 2016 | Oct 2016 | 2 | Nov 2016 | 1 | 3 |
-1.74% | Jun 2013 | Jun 2013 | 1 | Jul 2013 | 1 | 2 |
Worst drawdowns since November 2000.
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-53.68% | Jun 2007 | Feb 2009 | 21 | Feb 2013 | 48 | 69 |
-29.07% | Jan 2001 | Sep 2002 | 21 | Feb 2004 | 17 | 38 |
-25.24% | Jan 2020 | Mar 2020 | 3 | Dec 2020 | 9 | 12 |
-16.52% | Jan 2022 | Sep 2022 | 9 | Jan 2023 | 4 | 13 |
-12.57% | Feb 2018 | Dec 2018 | 11 | Apr 2019 | 4 | 15 |
-10.62% | Jun 2015 | Sep 2015 | 4 | May 2016 | 8 | 12 |
-7.58% | May 2019 | May 2019 | 1 | Jul 2019 | 2 | 3 |
-4.47% | Jan 2015 | Jan 2015 | 1 | Feb 2015 | 1 | 2 |
-4.34% | Aug 2013 | Aug 2013 | 1 | Oct 2013 | 2 | 3 |
-3.74% | Jan 2014 | Jan 2014 | 1 | Mar 2014 | 2 | 3 |
-3.32% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
-3.29% | Nov 2021 | Nov 2021 | 1 | Dec 2021 | 1 | 2 |
-3.19% | Mar 2004 | Apr 2004 | 2 | Sep 2004 | 5 | 7 |
-2.98% | Feb 2023 | Feb 2023 | 1 | Apr 2023 | 2 | 3 |
-2.67% | Aug 2019 | Aug 2019 | 1 | Sep 2019 | 1 | 2 |
-2.67% | Mar 2005 | Apr 2005 | 2 | Jul 2005 | 3 | 5 |
-2.41% | May 2006 | May 2006 | 1 | Jul 2006 | 2 | 3 |
-2.28% | Jan 2005 | Jan 2005 | 1 | Feb 2005 | 1 | 2 |
-1.86% | Feb 2007 | Feb 2007 | 1 | Apr 2007 | 2 | 3 |
-1.83% | Sep 2016 | Oct 2016 | 2 | Nov 2016 | 1 | 3 |
Rolling Returns ( more details)
A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.
Rolling Period |
Return (*) | Negative Periods |
||
---|---|---|---|---|
Average (%) | Best (%) | Worst (%) | ||
1 Year |
8.17 |
50.49 Apr 2020 - Mar 2021 |
-45.85 Mar 2008 - Feb 2009 |
25.10% |
2 Years |
8.08 |
36.13 Mar 2009 - Feb 2011 |
-28.74 Mar 2007 - Feb 2009 |
17.00% |
3 Years |
7.98 |
23.42 Mar 2009 - Feb 2012 |
-16.04 Mar 2006 - Feb 2009 |
16.17% |
5 Years |
7.68 |
21.51 Mar 2009 - Feb 2014 |
-6.80 Mar 2004 - Feb 2009 |
18.01% |
7 Years |
7.32 |
15.62 Mar 2009 - Feb 2016 |
-3.61 Mar 2002 - Feb 2009 |
3.74% |
10 Years |
7.83 |
14.69 Mar 2009 - Feb 2019 |
1.73 Dec 2000 - Nov 2010 |
0.00% |
15 Years |
7.15 |
9.38 Feb 2003 - Jan 2018 |
4.57 Feb 2001 - Jan 2016 |
0.00% |
20 Years |
7.70 |
9.10 Apr 2003 - Mar 2023 |
5.72 Nov 2000 - Oct 2020 |
0.00% |
If you need a deeper detail about rolling returns, please refer to the SPDR Portfolio S&P 500 Value ETF (SPYV) ETF: Rolling Returns page.
Seasonality
SPDR Portfolio S&P 500 Value ETF (SPYV) ETF: in which months is it better to invest?
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
1.91
40% |
-1.12
40% |
-0.69
80% |
3.08
80% |
-0.05
80% |
-0.34
40% |
3.25
100% |
0.19
60% |
-1.98
40% |
2.30
60% |
4.41
80% |
0.04
60% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
101.91
|
100.77
|
100.08
|
103.16
|
103.11
|
102.76
|
106.10
|
106.30
|
104.20
|
106.60
|
111.30
|
111.35
|
Best |
8.5 2019 |
6.0 2021 |
6.3 2021 |
10.7 2020 |
3.2 2020 |
8.1 2019 |
5.9 2022 |
3.4 2020 |
3.9 2019 |
11.4 2022 |
12.8 2020 |
7.1 2021 |
Worst |
-2.6 2020 |
-9.4 2020 |
-15.3 2020 |
-4.9 2022 |
-7.6 2019 |
-8.2 2022 |
0.8 2021 |
-2.8 2022 |
-8.4 2022 |
-5.4 2018 |
-3.3 2021 |
-9.4 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
0.11
40% |
0.27
60% |
0.17
60% |
2.01
80% |
0.60
80% |
-0.12
50% |
2.54
90% |
-0.69
50% |
-0.89
40% |
2.52
70% |
3.78
90% |
0.46
70% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
100.11
|
100.38
|
100.55
|
102.57
|
103.19
|
103.06
|
105.68
|
104.95
|
104.02
|
106.64
|
110.67
|
111.18
|
Best |
8.5 2019 |
6.0 2021 |
7.0 2016 |
10.7 2020 |
3.3 2013 |
8.1 2019 |
6.0 2013 |
3.4 2020 |
3.9 2019 |
11.4 2022 |
12.8 2020 |
7.1 2021 |
Worst |
-5.1 2016 |
-9.4 2020 |
-15.3 2020 |
-4.9 2022 |
-7.6 2019 |
-8.2 2022 |
-1.4 2014 |
-6.1 2015 |
-8.4 2022 |
-5.4 2018 |
-3.3 2021 |
-9.4 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
-0.27
43% |
-0.16
61% |
1.05
65% |
2.10
74% |
0.38
68% |
-0.91
45% |
1.24
73% |
-0.24
59% |
-0.73
50% |
1.61
64% |
2.32
78% |
1.36
78% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
99.73
|
99.57
|
100.61
|
102.73
|
103.11
|
102.18
|
103.44
|
103.20
|
102.44
|
104.10
|
106.51
|
107.96
|
Best |
8.5 2019 |
6.0 2021 |
8.9 2009 |
10.7 2020 |
6.8 2009 |
8.1 2019 |
7.4 2009 |
3.9 2009 |
7.1 2010 |
12.5 2011 |
12.8 2020 |
7.6 2010 |
Worst |
-11.1 2009 |
-12.2 2009 |
-15.3 2020 |
-5.9 2002 |
-7.6 2019 |
-10.0 2008 |
-8.5 2002 |
-6.4 2011 |
-10.4 2002 |
-16.8 2008 |
-5.7 2008 |
-9.4 2018 |
Monthly/Yearly Returns
SPDR Portfolio S&P 500 Value ETF (SPYV) ETF data source starts from November 2000: let's focus on monthly and yearly returns.
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
2023 |
+7.01 | +4.70 | 7.0 | -3.0 | 1.3 | 1.7 | ||||||||
2022 |
-5.29 | -11.03 | -1.8 | -1.4 | 3.1 | -4.9 | 1.6 | -8.2 | 5.9 | -2.8 | -8.4 | 11.4 | 6.0 | -3.9 |
2021 |
+24.91 | +16.70 | -1.5 | 6.0 | 6.3 | 3.8 | 2.2 | -1.2 | 0.8 | 1.7 | -3.3 | 4.6 | -3.3 | 7.1 |
2020 |
+1.44 | +0.08 | -2.6 | -9.4 | -15.3 | 10.7 | 3.2 | -1.1 | 3.9 | 3.4 | -2.4 | -1.8 | 12.8 | 3.3 |
2019 |
+31.70 | +28.76 | 8.5 | 2.2 | 1.1 | 4.1 | -7.6 | 8.1 | 1.7 | -2.7 | 3.9 | 2.7 | 3.9 | 3.0 |
2018 |
-8.98 | -10.69 | 4.1 | -5.5 | -2.0 | 0.5 | 0.3 | 0.7 | 4.0 | 1.3 | 0.4 | -5.4 | 2.7 | -9.4 |
2017 |
+15.39 | +13.01 | 0.8 | 3.8 | -1.1 | -0.2 | -0.2 | 1.9 | 1.3 | -1.3 | 3.3 | 1.3 | 3.4 | 1.6 |
2016 |
+17.07 | +14.69 | -5.1 | 0.8 | 7.0 | 2.0 | 0.9 | 0.7 | 2.8 | 0.6 | -0.2 | -1.6 | 6.3 | 2.4 |
2015 |
-3.16 | -3.86 | -4.5 | 5.6 | -1.5 | 1.3 | 0.9 | -2.1 | 0.4 | -6.1 | -3.2 | 7.9 | 0.5 | -1.8 |
2014 |
+12.16 | +11.32 | -3.7 | 3.5 | 2.8 | 1.1 | 1.4 | 1.8 | -1.4 | 3.3 | -1.4 | 1.6 | 2.3 | 0.5 |
2013 |
+31.76 | +29.81 | 6.8 | 1.1 | 3.7 | 1.8 | 3.3 | -1.7 | 6.0 | -4.3 | 2.5 | 4.5 | 3.2 | 1.6 |
2012 |
+17.23 | +15.22 | 4.8 | 4.2 | 3.3 | -1.4 | -6.4 | 4.4 | 1.0 | 2.1 | 3.1 | -0.6 | 0.0 | 2.0 |
2011 |
-0.74 | -3.59 | 3.1 | 3.7 | 0.0 | 2.1 | -1.9 | -2.0 | -3.7 | -6.4 | -7.1 | 12.5 | -1.6 | 1.8 |
2010 |
+15.48 | +13.78 | -2.2 | 2.2 | 6.2 | 1.9 | -7.5 | -4.9 | 6.8 | -3.6 | 7.1 | 3.0 | -0.7 | 7.6 |
2009 |
+17.12 | +14.02 | -11.1 | -12.2 | 8.9 | 8.0 | 6.8 | -0.6 | 7.4 | 3.9 | 3.2 | -1.9 | 5.9 | 0.6 |
2008 |
-36.29 | -36.35 | -4.3 | -4.1 | -0.6 | 4.2 | -0.5 | -10.0 | 0.7 | 1.5 | -7.7 | -16.8 | -5.7 | 1.0 |
2007 |
+1.38 | -2.59 | 1.1 | -1.9 | 1.6 | 4.3 | 3.5 | -2.1 | -4.4 | 1.9 | 3.4 | 0.0 | -4.2 | -1.4 |
2006 |
+21.57 | +18.56 | 2.8 | 0.7 | 1.4 | 2.2 | -2.4 | 0.8 | 2.4 | 2.1 | 2.6 | 2.9 | 2.4 | 2.0 |
2005 |
+5.35 | +1.87 | -2.3 | 3.0 | -1.2 | -1.5 | 1.8 | 0.6 | 2.0 | -1.3 | 2.4 | -1.4 | 3.0 | 0.2 |
2004 |
+13.21 | +9.64 | 2.1 | 1.8 | -2.1 | -1.1 | 0.0 | 2.4 | -1.5 | 1.7 | 0.6 | 1.1 | 4.3 | 3.3 |
2003 |
+25.21 | +22.90 | -3.2 | -3.2 | 1.0 | 9.0 | 5.6 | 2.9 | -0.7 | 0.4 | -0.4 | 4.5 | 0.5 | 7.0 |
2002 |
-17.99 | -19.90 | -4.2 | 1.2 | 4.2 | -5.9 | 1.5 | -7.5 | -8.5 | 2.6 | -10.4 | 7.8 | 5.7 | -4.2 |
2001 |
-5.60 | -7.04 | -0.8 | -2.9 | -4.2 | 4.8 | 1.7 | -2.8 | 0.4 | -3.5 | -3.9 | -0.9 | 4.2 | 2.6 |
2000 |
- | - | 1.6 | 4.1 |