SPDR S&P 400 US Mid Cap (SPY4.DE): Historical Returns

Data Source: from August 1953 to May 2024 (~71 years)
Consolidated Returns as of 31 May 2024
Category: Stocks
SPDR S&P 400 US Mid Cap (SPY4.DE) ETF
Currency: EUR

In the last 30 Years, the SPDR S&P 400 US Mid Cap (SPY4.DE) ETF obtained a 11.19% compound annual return, with a 17.63% standard deviation. It suffered a maximum drawdown of -46.32% that required 42 months to be recovered.

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The ETF is related to the following investment themes:

  • Asset Class: Equity
  • Size: Mid Cap
  • Style: Blend
  • Region: North America
  • Country: U.S.

The SPDR S&P 400 US Mid Cap (SPY4.DE) ETF is part of the following Lazy Portfolios:

Portfolio Name Author SPY4.DE Weight Currency
7Twelve Portfolio To EUR Craig Israelsen 8.33% EUR
7Twelve Portfolio To EUR Bond Hedged Craig Israelsen 8.33% EUR

Investment Returns as of May 31, 2024

The SPDR S&P 400 US Mid Cap (SPY4.DE) ETF guaranteed the following returns.

Returns are calculated in EUR, assuming:
  • no fees or capital gain taxes.
  • the actual Euro Inflation rates.
SPDR S&P 400 US MID CAP (SPY4.DE) ETF
Consolidated returns as of 31 May 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of May 31, 2024
  1 Day Time ET(*) Jun 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~71Y)
SPDR S&P 400 US Mid Cap (SPY4.DE) ETF n.a. n.a. 0.66 16.28 22.42 11.87 11.49 11.19 12.21
Euro Inflation Adjusted return 0.66 14.25 19.61 7.91 8.97 8.95 9.28
Returns over 1 year are annualized | Available data source: since Aug 1953
(*) Eastern Time (ET - America/New York)
Euro Inflation is updated to Apr 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.35% , 5Y: 3.67% , 10Y: 2.31% , 30Y: 2.06%

Capital Growth as of May 31, 2024

An investment of 1€, since June 1994, now would be worth 24.10€, with a total return of 2310.34% (11.19% annualized).

The Inflation Adjusted Capital now would be 13.08€, with a net total return of 1208.35% (8.95% annualized).
An investment of 1€, since August 1953, now would be worth 3489.30€, with a total return of 348829.71% (12.21% annualized).

The Inflation Adjusted Capital now would be 537.03€, with a net total return of 53602.76% (9.28% annualized).

Investment Metrics as of May 31, 2024

Metrics of SPDR S&P 400 US Mid Cap (SPY4.DE) ETF, updated as of 31 May 2024, provide a comprehensive overview of the portfolio's performance and risk characteristics.

These metrics include detailed data on returns, volatility, drawdowns and other key performance indicators. By examining them, you can gain insights into how the portfolio has performed over various time periods and understand its risk profile.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the actual Euro Inflation rates.
SPDR S&P 400 US MID CAP (SPY4.DE) ETF
Advanced Metrics
Data Source: 1 August 1953 - 31 May 2024 (~71 years)
Swipe left to see all data
Metrics as of May 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~71Y)
Investment Return (%) 0.66 2.41 16.28 22.42 7.98 11.87 11.49 10.25 11.19 12.21
Infl. Adjusted Return (%)
0.66 1.05 14.25 19.61 2.37 7.91 8.97 7.98 8.95 9.28
Euro Inflation (%) 0.00 1.34 1.78 2.35 5.48 3.67 2.31 2.09 2.06 2.68
Pending updates, the monthly inflation of May 2024 and beyond is set at 0%. Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Deepest Drawdown Depth (%) -9.40 -13.09 -27.57 -27.57 -46.32 -46.32 -54.18
Start to Recovery (# months)
5 19 12 12 42 42 43
Start (yyyy mm) 2023 08 2022 01 2020 01 2020 01 2007 06 2007 06 1972 12
Start to Bottom (# months) 3 6 3 3 21 21 22
Bottom (yyyy mm) 2023 10 2022 06 2020 03 2020 03 2009 02 2009 02 1974 09
Bottom to End (# months) 2 13 9 9 21 21 21
End (yyyy mm) 2023 12 2023 07 2020 12 2020 12 2010 11 2010 11 1976 06
Longest Drawdown Depth (%)
same

same
-13.09 -14.72
same
-38.82 -33.50
Start to Recovery (# months)
19 20 44 48
Start (yyyy mm) 2023 08 2022 01 2022 01 2015 04 2007 06 2002 04 1968 12
Start to Bottom (# months) 3 6 6 10 21 12 19
Bottom (yyyy mm) 2023 10 2022 06 2022 06 2016 01 2009 02 2003 03 1970 06
Bottom to End (# months) 2 13 13 10 21 32 29
End (yyyy mm) 2023 12 2023 07 2023 07 2016 11 2010 11 2005 11 1972 11
Longest negative period (# months)
5 26 26 60 68 116 128
Period Start (yyyy mm) 2023 07 2021 09 2021 09 2015 04 2006 02 1999 07 1964 02
Period End (yyyy mm) 2023 11 2023 10 2023 10 2020 03 2011 09 2009 02 1974 09
Annualized Return (%) -3.83 -1.03 -1.03 -0.24 -0.36 -0.10 -0.12
Deepest Drawdown Depth (%) -10.26 -19.46 -27.37 -27.37 -47.83 -47.83 -65.03
Start to Recovery (# months)
5 27 11 11 45 45 143
Start (yyyy mm) 2023 08 2022 01 2020 01 2020 01 2007 06 2007 06 1968 12
Start to Bottom (# months) 3 22 3 3 21 21 70
Bottom (yyyy mm) 2023 10 2023 10 2020 03 2020 03 2009 02 2009 02 1974 09
Bottom to End (# months) 2 5 8 8 24 24 73
End (yyyy mm) 2023 12 2024 03 2020 11 2020 11 2011 02 2011 02 1980 10
Longest Drawdown Depth (%)
same

same
-19.46 -19.46
same
-40.82
same
Start to Recovery (# months)
27 27 66
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 06 2000 09 1968 12
Start to Bottom (# months) 3 22 22 22 21 31 70
Bottom (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2009 02 2003 03 1974 09
Bottom to End (# months) 2 5 5 5 24 35 73
End (yyyy mm) 2023 12 2024 03 2024 03 2024 03 2011 02 2006 02 1980 10
Longest negative period (# months)
5 31* 33 61 75 137 192
Period Start (yyyy mm) 2023 06 2021 11 2021 02 2015 03 2005 07 1997 10 1959 01
Period End (yyyy mm) 2023 10 2024 05 2023 10 2020 03 2011 09 2009 02 1974 12
Annualized Return (%) -2.62 -0.02 -0.14 -0.34 -0.26 -0.02 -0.09
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 15.21 16.49 19.14 17.60 16.65 17.63 17.68
Sharpe Ratio 1.12 0.31 0.52 0.58 0.53 0.51 0.46
Sortino Ratio 1.51 0.45 0.69 0.78 0.73 0.69 0.64
Ulcer Index 3.43 4.70 7.10 6.51 11.59 12.99 13.02
Ratio: Return / Standard Deviation 1.47 0.48 0.62 0.65 0.62 0.63 0.69
Ratio: Return / Deepest Drawdown 2.39 0.61 0.43 0.42 0.22 0.24 0.23
Positive Months (%)
66.66 52.77 58.33 60.00 60.00 60.27 60.94
Positive Months 8 19 35 72 144 217 518
Negative Months 4 17 25 48 96 143 332
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 11.49 18.30 18.30 28.18
Worst 10 Years Return (%) - Annualized 7.92 0.42 -1.17
Best 10 Years Return (%) - Annualized 8.97 16.84 16.84 23.09
Worst 10 Years Return (%) - Annualized 6.38 -1.57 -5.05
TIMEFRAMES
Inflation Adjusted:
Inflation Adjusted:
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
··· Over the latest 30Y
Best Rolling Return (%) - Annualized 73.96 35.84 29.50 18.30 13.19 11.19
Worst Rolling Return (%) - Annualized -38.82 -17.16 -4.77 0.42 6.04
Positive Periods (%) 77.3 81.8 95.3 100.0 100.0 100.0
Best Rolling Return (%) - Annualized 69.85 33.56 27.45 16.84 11.18 8.95
Worst Rolling Return (%) - Annualized -40.23 -18.85 -6.77 -1.57 4.32
Positive Periods (%) 71.6 80.0 89.3 97.5 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
7.35 11.45 14.40 20.60 23.45 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 9.47 15.10 19.57 28.71 37.11 8.92 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
10.82 17.45 22.89 33.87 48.94 13.63 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 13.03 21.27 28.30 36.67 59.24 25.34 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 73.62 24.10 15.65 7.94 5.32 10.50
Perpetual Withdrawal Rate (%) --- --- --- --- 3.14 9.69
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
··· All available data (Aug 1953 - May 2024)
Best Rolling Return (%) - Annualized 101.37 48.47 38.47 28.18 19.90 16.52
Worst Rolling Return (%) - Annualized -38.82 -20.39 -11.63 -1.17 6.04 10.12
Positive Periods (%) 75.9 85.6 94.5 99.5 100.0 100.0
Best Rolling Return (%) - Annualized 95.77 41.67 32.72 23.09 16.85 13.27
Worst Rolling Return (%) - Annualized -41.00 -25.24 -16.48 -5.05 2.90 6.41
Positive Periods (%) 70.5 82.0 86.9 90.8 100.0 100.0
95% VaR - Value at Risk (%) - Cumulative
7.30 11.25 13.99 20.16 21.31 0.43 0.00 0.00 0.00
95% CVaR - Conditional Value at Risk (%) 9.42 14.92 19.18 27.94 39.21 27.38 0.00 0.00 0.00
99% VaR - Value at Risk (%) - Cumulative
10.78 17.28 22.51 33.39 55.48 47.35 0.00 0.00 0.00
99% CVaR - Conditional Value at Risk (%) 12.99 21.11 27.93 35.15 63.78 60.31 3.60 0.00 0.00
Short term VaRs: analytical | 1+ year VaRs: historical data
Safe Withdrawal Rate (%) 72.14 19.70 13.11 6.60 4.68 4.27
Perpetual Withdrawal Rate (%) --- --- --- --- 3.11 3.86
% based on initial capital, inflation-adj. monthly withdrawals afterwards | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • 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 portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio 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 portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Value at Risk (VaR): it's an evaluation of a cumulative worst-case loss (in absolute value), associated with a probability (95%-99%) and a time horizon. For short term, it's calculated based on the expected return and standard deviation, assuming a normal distribution of monthly returns. For long term is retrieved by the historical rolling return data.
  • Conditional Value at Risk (CVaR): it represents the average expected loss if that worst-case threshold (95%-99%) is ever crossed.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of May 31, 2024

Correlation measures to what degree the returns of two assets move in relation to each other. It is a statistical measure that describes the extent to which the returns of one asset are related to the returns of another asset.

Correlation values range between -1 and +1
  • A correlation of +1 indicates that the returns of the two assets move in perfect synchrony; when one asset's returns go up, the other asset's returns also go up by the same percentage, and vice versa. This perfect positive correlation implies that the assets perform similarly in different market conditions.
  • A correlation of -1 indicates a perfect inverse relationship between the returns of the two assets. When one asset's returns go up, the other asset's returns go down by the same percentage. This perfect negative correlation suggests that the assets move in opposite directions, providing a diversification benefit by reducing overall portfolio risk.
  • A correlation of 0 means that there is no linear relationship between the returns of the two assets. The returns of one asset do not predict the returns of the other.

The following table shows the monthly correlations of SPDR S&P 400 US Mid Cap (SPY4.DE) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

SPDR S&P 400 US MID CAP (SPY4.DE) ETF
Monthly correlations as of 31 May 2024
Swipe left to see all data
Correlation vs SPY4.DE
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
VTI
US Total Stock Market
0.86
0.83
0.80
0.79
0.78
SPY
US Large Cap
0.83
0.80
0.77
0.76
0.75
IJR
US Small Cap
0.89
0.89
0.87
0.80
0.79
VNQ
US REITs
0.81
0.78
0.68
0.51
0.50
QQQ
US Technology
0.77
0.66
0.64
0.67
0.66
PFF
Preferred Stocks
0.74
0.71
0.60
0.32
0.31
EFA
EAFE Stocks
0.83
0.68
0.60
0.52
0.48
VT
World All Countries
0.85
0.79
0.72
0.67
0.65
EEM
Emerging Markets
0.71
0.51
0.40
0.53
0.51
VGK
Europe
0.77
0.67
0.57
0.51
0.48
VPL
Pacific
0.89
0.68
0.60
0.49
0.44
FLLA
Latin America
0.75
0.61
0.34
0.50
0.50
BND
US Total Bond Market
0.67
0.27
0.15
-0.02
-0.01
TLT
Long Term Treasuries
0.74
-0.02
-0.07
-0.19
-0.17
BIL
US Cash
0.05
-0.15
-0.12
-0.02
-0.02
TIP
TIPS
0.61
0.42
0.28
0.04
0.05
LQD
Invest. Grade Bonds
0.70
0.43
0.32
0.12
0.12
HYG
High Yield Bonds
0.78
0.70
0.63
0.49
0.48
CWB
US Convertible Bonds
0.91
0.76
0.71
0.72
0.71
BNDX
International Bonds
0.65
0.40
0.28
0.01
0.03
EMB
Emerg. Market Bonds
0.79
0.57
0.41
0.41
0.40
GLD
Gold
-0.03
-0.07
-0.16
-0.13
-0.12
DBC
Commodities
0.07
0.43
0.31
0.18
0.17

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

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.

SPDR S&P 400 US MID CAP (SPY4.DE) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 August 1953 - 31 May 2024 (~71 years)
Inflation Adjusted:
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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.

SPDR S&P 400 US MID CAP (SPY4.DE) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 August 1953 - 31 May 2024 (~71 years)
Inflation Adjusted:

If you need a deeper detail about rolling returns, please refer to the SPDR S&P 400 US Mid Cap (SPY4.DE) ETF: Rolling Returns page.

Seasonality

In which months is it better to invest in SPDR S&P 400 US Mid Cap (SPY4.DE) ETF?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.
For further information about the seasonality, check the Asset Class Seasonality page.
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Monthly Returns

This section provides a visual/tabular representation of the performance variability in the SPDR S&P 400 US Mid Cap (SPY4.DE) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

SPDR S&P 400 US MID CAP (SPY4.DE) ETF
Monthly Returns Distribution
Data Source: 1 June 1994 - 31 May 2024 (30 Years)
Data Source: 1 August 1953 - 31 May 2024 (~71 years)
217 Positive Months (60%) - 143 Negative Months (40%)
518 Positive Months (61%) - 332 Negative Months (39%)
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(Scroll down to see all data)
Investment Returns, up to April 2014, have been derived using the historical series of equivalent ETFs / Assets.
You can find additional information on extended Data Sources here.

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