SPDR S&P 500 (SPY): Historical Returns

Data Source: from January 1871 to February 2024 (~153 years)
Consolidated Returns as of 29 February 2024
Live Update: Mar 01 2024
Category: Stocks
SPDR S&P 500 (SPY) ETF
ETF • LIVE PERFORMANCE (USD currency)
0.94%
1 Day
Mar 01 2024
0.94%
Current Month
March 2024

In the last 30 Years, the SPDR S&P 500 (SPY) ETF obtained a 10.26% compound annual return, with a 15.12% standard deviation.

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The ETF is related to the following investment themes:

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

The SPDR S&P 500 (SPY) ETF is part of the following Lazy Portfolios:

Portfolio Name Author SPY Weight Currency
Shield Strategy Aim Ways 21.00% USD
Perfect Portfolio Ben Stein 20.00% USD
Global Market Portfolio Credit Suisse 20.00% USD
One-Decision Portfolio Marvin Appel 20.00% USD
Ultimate Buy and Hold Strategy Paul Merriman 10.00% USD

Investment Returns as of Feb 29, 2024

The SPDR S&P 500 (SPY) ETF guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
SPDR S&P 500 (SPY) ETF
Consolidated returns as of 29 February 2024
Live Update: Mar 01 2024
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Feb 29, 2024
  1 Day Time ET(*) Mar 2024 1M 6M 1Y 5Y 10Y 30Y MAX
(~153Y)
SPDR S&P 500 (SPY) ETF 0.94 0.94 5.22 13.68 30.18 14.63 12.58 10.26 9.12
US Inflation Adjusted return 5.22 12.40 26.74 10.12 9.54 7.55 6.86
Returns over 1 year are annualized | Available data source: since Jan 1871
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Pending updates, the monthly inflation is set at 0% for the subsequent periods. Current inflation (annualized) is 1Y: 2.71% , 5Y: 4.10% , 10Y: 2.77% , 30Y: 2.52%

In 2023, the SPDR S&P 500 (SPY) ETF granted a 1.74% dividend yield. If you are interested in getting periodic income, please refer to the SPDR S&P 500 (SPY) ETF: Dividend Yield page.

Capital Growth as of Feb 29, 2024

An investment of 1$, since March 1994, now would be worth 18.74$, with a total return of 1774.05% (10.26% annualized).

The Inflation Adjusted Capital now would be 8.88$, with a net total return of 787.75% (7.55% annualized).
An investment of 1$, since January 1871, now would be worth 640267.10$, with a total return of 64026610.20% (9.12% annualized).

The Inflation Adjusted Capital now would be 25799.05$, with a net total return of 2579805.23% (6.86% annualized).

Investment Metrics as of Feb 29, 2024

Metrics of SPDR S&P 500 (SPY) ETF, updated as of 29 February 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
SPDR S&P 500 (SPY) ETF
Advanced Metrics
Data Source: 1 January 1871 - 29 February 2024 (~153 years)
Swipe left to see all data
Metrics as of Feb 29, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y 30Y MAX
(~153Y)
Investment Return (%) 5.22 11.78 13.68 30.18 11.78 14.63 12.58 9.79 10.26 9.12
Infl. Adjusted Return (%) details 5.22 11.18 12.40 26.74 5.94 10.12 9.54 7.05 7.55 6.86
US Inflation (%) 0.00 0.54 1.14 2.71 5.52 4.10 2.77 2.56 2.52 2.12
Pending updates, the monthly inflation after Jan 2024 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 (%) -8.32 -23.93 -23.93 -23.93 -50.80 -50.80 -83.65
Start to Recovery (# months) details 4 24 24 24 53 53 186
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2007 11 1929 09
Start to Bottom (# months) 3 9 9 9 16 16 34
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 1932 06
Bottom to End (# months) 1 15 15 15 37 37 152
End (yyyy mm) 2023 11 2023 12 2023 12 2023 12 2012 03 2012 03 1945 02
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
-44.71
same as
deepest
Start to Recovery (# months) details 75
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2000 09 1929 09
Start to Bottom (# months) 3 9 9 9 16 25 34
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2002 09 1932 06
Bottom to End (# months) 1 15 15 15 37 50 152
End (yyyy mm) 2023 11 2023 12 2023 12 2023 12 2012 03 2006 11 1945 02
Longest negative period (# months) details 4 27 27 27 68 141 187
Period Start (yyyy mm) 2023 07 2021 08 2021 08 2021 08 2005 01 2000 01 1929 09
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2010 08 2011 09 1945 03
Annualized Return (%) -15.13 -0.59 -0.59 -0.59 -0.50 -0.44 -0.12
Deepest Drawdown Depth (%) -9.19 -27.92 -27.92 -27.92 -51.61 -54.36 -79.35
Start to Recovery (# months) details 5 26 26 26 65 153 188
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2000 09 1929 09
Start to Bottom (# months) 3 9 9 9 16 102 33
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 1932 05
Bottom to End (# months) 2 17 17 17 49 51 155
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2013 03 2013 05 1945 04
Longest Drawdown Depth (%)
same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest

same as
deepest
Start to Recovery (# months) details
Start (yyyy mm) 2023 08 2022 01 2022 01 2022 01 2007 11 2000 09 1929 09
Start to Bottom (# months) 3 9 9 9 16 102 33
Bottom (yyyy mm) 2023 10 2022 09 2022 09 2022 09 2009 02 2009 02 1932 05
Bottom to End (# months) 2 17 17 17 49 51 155
End (yyyy mm) 2023 12 2024 02 2024 02 2024 02 2013 03 2013 05 1945 04
Longest negative period (# months) details 6 32 34 34 91 164 255
Period Start (yyyy mm) 2023 05 2021 03 2021 01 2021 01 2004 03 1999 05 1911 03
Period End (yyyy mm) 2023 10 2023 10 2023 10 2023 10 2011 09 2012 12 1932 05
Annualized Return (%) -0.40 -0.70 -0.27 -0.27 -0.74 -0.15 -0.03
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y 30Y MAX
Standard Deviation (%) 13.04 17.45 18.16 15.04 14.87 15.12 16.48
Sharpe Ratio 1.92 0.54 0.71 0.76 0.57 0.53 0.31
Sortino Ratio 2.65 0.72 0.93 1.01 0.75 0.70 0.44
Ulcer Index 2.93 9.90 8.38 6.39 12.18 14.76 17.95
Ratio: Return / Standard Deviation 2.31 0.68 0.81 0.84 0.66 0.68 0.55
Ratio: Return / Deepest Drawdown 3.63 0.49 0.61 0.53 0.19 0.20 0.11
% Positive Months details 75% 63% 65% 69% 66% 65% 60%
Positive Months 9 23 39 83 160 235 1120
Negative Months 3 13 21 37 80 125 718
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Best 10 Years Return (%) - Annualized 12.58 16.55 16.55 21.28
Worst 10 Years Return (%) - Annualized 6.36 -3.45 -5.38
Best 10 Years Return (%) - Annualized 9.54 14.53 14.53 20.41
Worst 10 Years Return (%) - Annualized 4.53 -5.89 -5.89
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y 30Y MAX
Over the latest 30Y
Best Rolling Return (%) - Annualized 56.25 32.35 28.45 16.55 10.29 10.26
Worst Rolling Return (%) - Annualized -43.44 -16.28 -6.67 -3.45 4.69
% Positive Periods 79% 81% 83% 90% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 72.53 23.13 14.10 7.18 4.44 8.53
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.76 7.57
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 52.26 29.34 25.47 14.53 7.59 7.55
Worst Rolling Return (%) - Annualized -43.44 -18.28 -9.08 -5.89 2.56
% Positive Periods 77% 78% 70% 87% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 72.53 23.13 14.10 7.18 4.44 8.53
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.76 7.57
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1871 - Feb 2024)
Best Rolling Return (%) - Annualized 160.57 42.43 35.15 21.28 17.90 14.57
Worst Rolling Return (%) - Annualized -67.84 -42.65 -17.97 -5.38 1.60 3.09
% Positive Periods 72% 83% 89% 96% 100% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 57.80 16.42 9.43 5.56 3.30 2.87
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 1.53
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 179.03 40.21 33.81 20.41 13.52 11.59
Worst Rolling Return (%) - Annualized -64.30 -38.10 -13.67 -5.89 -0.58 1.30
% Positive Periods 69% 77% 80% 88% 99% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 57.80 16.42 9.43 5.56 3.30 2.87
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - - 1.53
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | 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.
  • 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 Feb 29, 2024

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.

Monthly correlations of SPDR S&P 500 (SPY) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

SPDR S&P 500 (SPY) ETF
Monthly correlations as of 29 February 2024
Swipe left to see all data
Correlation vs SPY
Asset Class 1 Year 5 Years 10 Years 30 Years Since
Jan 1992
VTI
US Total Stock Market
0.99
1.00
1.00
0.99
0.99
IJR
US Small Cap
0.77
0.87
0.85
0.82
0.81
VNQ
US REITs
0.86
0.85
0.75
0.61
0.60
QQQ
US Technology
0.85
0.93
0.92
0.83
0.82
PFF
Preferred Stocks
0.70
0.80
0.73
0.47
0.46
EFA
EAFE Stocks
0.91
0.90
0.87
0.83
0.80
VT
World All Countries
0.98
0.98
0.97
0.95
0.94
EEM
Emerging Markets
0.85
0.73
0.69
0.73
0.70
VGK
Europe
0.89
0.89
0.86
0.84
0.83
VPL
Pacific
0.93
0.85
0.83
0.71
0.66
FLLA
Latin America
0.82
0.69
0.57
0.64
0.63
BND
US Total Bond Market
0.71
0.52
0.39
0.17
0.17
TLT
Long Term Treasuries
0.79
0.20
0.09
-0.10
-0.09
BIL
US Cash
0.25
-0.04
-0.01
-0.01
-0.01
TIP
TIPS
0.65
0.62
0.50
0.21
0.21
LQD
Invest. Grade Bonds
0.77
0.67
0.57
0.33
0.33
HYG
High Yield Bonds
0.86
0.85
0.81
0.67
0.67
CWB
US Convertible Bonds
0.84
0.85
0.86
0.84
0.84
BNDX
International Bonds
0.64
0.56
0.43
0.16
0.16
EMB
Emerg. Market Bonds
0.91
0.78
0.67
0.56
0.56
GLD
Gold
0.21
0.25
0.10
0.05
0.04
DBC
Commodities
0.01
0.46
0.41
0.32
0.32

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 500 (SPY) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1871 - 29 February 2024 (~153 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-50.80% Nov 2007 Feb 2009 16 Mar 2012 37 53 23.81
-44.71% Sep 2000 Sep 2002 25 Nov 2006 50 75 23.58
-23.93% Jan 2022 Sep 2022 9 Dec 2023 15 24 12.00
-19.43% Jan 2020 Mar 2020 3 Jul 2020 4 7 8.36
-15.28% Jul 1998 Aug 1998 2 Nov 1998 3 5 7.52
-13.52% Oct 2018 Dec 2018 3 Apr 2019 4 7 6.30
-8.48% Aug 2015 Sep 2015 2 May 2016 8 10 4.39
-6.63% Apr 2012 May 2012 2 Aug 2012 3 5 3.04
-6.43% Jan 2000 Feb 2000 2 Mar 2000 1 3 4.06
-6.38% May 2019 May 2019 1 Jun 2019 1 2 3.68
-6.28% Feb 2018 Mar 2018 2 Jul 2018 4 6 3.91
-6.14% Sep 2020 Oct 2020 2 Nov 2020 1 3 3.59
-5.76% Jul 1999 Sep 1999 3 Oct 1999 1 4 3.34
-5.18% Aug 1997 Aug 1997 1 Nov 1997 3 4 2.70
-5.03% Apr 2000 May 2000 2 Aug 2000 3 5 3.40
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 123 2.9 Months 34.07%
 
DD = 0% 34.07%
 
0% < DD <= -5% 78 4.6 Months 21.61%
 
DD <= -5% 55.68%
 
-5% < DD <= -10% 42 8.6 Months 11.63%
 
DD <= -10% 67.31%
 
-10% < DD <= -15% 27 13.4 Months 7.48%
 
DD <= -15% 74.79%
 
-15% < DD <= -20% 26 13.9 Months 7.20%
 
DD <= -20% 81.99%
 
-20% < DD <= -25% 24 15.0 Months 6.65%
 
DD <= -25% 88.64%
 
-25% < DD <= -30% 13 27.8 Months 3.60%
 
DD <= -30% 92.24%
 
-30% < DD <= -35% 9 40.1 Months 2.49%
 
DD <= -35% 94.74%
 
-35% < DD <= -40% 8 45.1 Months 2.22%
 
DD <= -40% 96.95%
 
-40% < DD <= -45% 9 40.1 Months 2.49%
 
DD <= -45% 99.45%
 
-45% < DD <= -50% 1 361.0 Months 0.28%
 
DD <= -50% 99.72%
 
-50% < DD <= -55% 1 361.0 Months 0.28%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-54.36% Sep 2000 Feb 2009 102 May 2013 51 153 27.02
-27.92% Jan 2022 Sep 2022 9 Feb 2024 17 26 15.89
-19.28% Jan 2020 Mar 2020 3 Jul 2020 4 7 8.13
-15.59% Jul 1998 Aug 1998 2 Nov 1998 3 5 7.76
-13.72% Oct 2018 Dec 2018 3 Apr 2019 4 7 6.48
-8.54% Mar 2015 Sep 2015 7 May 2016 8 15 3.79
-7.09% Jan 2000 Feb 2000 2 Mar 2000 1 3 4.41
-6.77% Jul 1999 Sep 1999 3 Nov 1999 2 5 3.58
-6.55% Feb 2018 Mar 2018 2 Aug 2018 5 7 4.04
-6.46% Sep 2020 Oct 2020 2 Nov 2020 1 3 3.79
-6.40% May 2019 May 2019 1 Jun 2019 1 2 3.70
-5.62% Apr 2000 Jul 2000 4 Aug 2000 1 5 3.76
-5.42% Aug 1997 Aug 1997 1 Dec 1997 4 5 2.72
-5.04% Sep 2021 Sep 2021 1 Oct 2021 1 2 2.91
-4.68% Jul 1996 Jul 1996 1 Sep 1996 2 3 2.77
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 97 3.7 Months 26.87%
 
DD = 0% 26.87%
 
0% < DD <= -5% 66 5.5 Months 18.28%
 
DD <= -5% 45.15%
 
-5% < DD <= -10% 36 10.0 Months 9.97%
 
DD <= -10% 55.12%
 
-10% < DD <= -15% 24 15.0 Months 6.65%
 
DD <= -15% 61.77%
 
-15% < DD <= -20% 31 11.6 Months 8.59%
 
DD <= -20% 70.36%
 
-20% < DD <= -25% 33 10.9 Months 9.14%
 
DD <= -25% 79.50%
 
-25% < DD <= -30% 29 12.4 Months 8.03%
 
DD <= -30% 87.53%
 
-30% < DD <= -35% 16 22.6 Months 4.43%
 
DD <= -35% 91.97%
 
-35% < DD <= -40% 11 32.8 Months 3.05%
 
DD <= -40% 95.01%
 
-40% < DD <= -45% 11 32.8 Months 3.05%
 
DD <= -45% 98.06%
 
-45% < DD <= -50% 5 72.2 Months 1.39%
 
DD <= -50% 99.45%
 
-50% < DD <= -55% 2 180.5 Months 0.55%
 
DD <= -55% 100.00%
 
-55% < DD <= -60% 0 - 0.00%
 
DD <= -60% 100.00%
 
-60% < DD <= -65% 0 - 0.00%
 
DD <= -65% 100.00%
 
-65% < DD <= -70% 0 - 0.00%
 
DD <= -70% 100.00%
 
-70% < DD <= -100% 0 - 0.00%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-83.65% Sep 1929 Jun 1932 34 Feb 1945 152 186 46.21
-50.80% Nov 2007 Feb 2009 16 Mar 2012 37 53 23.81
-44.87% Jan 1973 Sep 1974 21 Sep 1976 24 45 19.76
-44.71% Sep 2000 Sep 2002 25 Nov 2006 50 75 23.58
-34.11% Apr 1876 Jun 1877 15 Feb 1879 20 35 17.32
-30.27% Oct 1906 Nov 1907 14 Nov 1908 12 26 16.09
-29.78% Sep 1987 Nov 1987 3 May 1989 18 21 15.94
-29.19% Dec 1968 Jun 1970 19 Mar 1971 9 28 13.81
-27.16% Oct 1902 Oct 1903 13 Nov 1904 13 26 17.06
-26.86% Feb 1893 Aug 1893 7 Aug 1897 48 55 14.58
-23.93% Jan 2022 Sep 2022 9 Dec 2023 15 24 12.00
-23.91% Jul 1881 Jan 1885 43 Nov 1885 10 53 13.47
-23.13% Nov 1919 Jun 1921 20 Apr 1922 10 30 13.60
-22.72% Nov 1912 Oct 1914 24 Sep 1915 11 35 9.77
-22.26% Jan 1962 Jun 1962 6 Apr 1963 10 16 11.71
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 525 3.5 Months 28.55%
 
DD = 0% 28.55%
 
0% < DD <= -5% 428 4.3 Months 23.27%
 
DD <= -5% 51.82%
 
-5% < DD <= -10% 289 6.4 Months 15.72%
 
DD <= -10% 67.54%
 
-10% < DD <= -15% 153 12.0 Months 8.32%
 
DD <= -15% 75.86%
 
-15% < DD <= -20% 134 13.7 Months 7.29%
 
DD <= -20% 83.14%
 
-20% < DD <= -25% 92 20.0 Months 5.00%
 
DD <= -25% 88.15%
 
-25% < DD <= -30% 39 47.2 Months 2.12%
 
DD <= -30% 90.27%
 
-30% < DD <= -35% 27 68.1 Months 1.47%
 
DD <= -35% 91.73%
 
-35% < DD <= -40% 33 55.7 Months 1.79%
 
DD <= -40% 93.53%
 
-40% < DD <= -45% 39 47.2 Months 2.12%
 
DD <= -45% 95.65%
 
-45% < DD <= -50% 20 92.0 Months 1.09%
 
DD <= -50% 96.74%
 
-50% < DD <= -55% 11 167.2 Months 0.60%
 
DD <= -55% 97.34%
 
-55% < DD <= -60% 12 153.3 Months 0.65%
 
DD <= -60% 97.99%
 
-60% < DD <= -65% 18 102.2 Months 0.98%
 
DD <= -65% 98.97%
 
-65% < DD <= -70% 5 367.8 Months 0.27%
 
DD <= -70% 99.24%
 
-70% < DD <= -100% 14 131.4 Months 0.76%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-79.35% Sep 1929 May 1932 33 Apr 1945 155 188 37.92
-54.36% Sep 2000 Feb 2009 102 May 2013 51 153 27.02
-53.70% Jan 1973 Sep 1974 21 Jan 1985 124 145 29.44
-44.02% Dec 1916 Jul 1920 44 Jun 1924 47 91 27.54
-37.74% Jun 1946 Feb 1948 21 Dec 1950 34 55 25.58
-35.39% Dec 1968 Jun 1970 19 Nov 1972 29 48 15.98
-33.93% Feb 1906 Nov 1907 22 May 1909 18 40 16.09
-30.45% Sep 1987 Nov 1987 3 Jul 1989 20 23 17.45
-29.16% Jul 1876 Jun 1877 12 Mar 1878 9 21 16.39
-28.60% Jul 1911 Oct 1914 40 Nov 1915 13 53 13.04
-28.08% Jul 1901 Oct 1903 28 Feb 1905 16 44 15.23
-27.92% Jan 2022 Sep 2022 9 Feb 2024 17 26 15.89
-24.74% Jun 1892 Jul 1893 14 Aug 1895 25 39 11.86
-22.77% Jan 1962 Jun 1962 6 Apr 1963 10 16 12.38
-20.89% Jul 1881 Jun 1882 12 Aug 1885 38 50 11.98
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 406 4.5 Months 22.08%
 
DD = 0% 22.08%
 
0% < DD <= -5% 362 5.1 Months 19.68%
 
DD <= -5% 41.76%
 
-5% < DD <= -10% 252 7.3 Months 13.70%
 
DD <= -10% 55.46%
 
-10% < DD <= -15% 176 10.4 Months 9.57%
 
DD <= -15% 65.04%
 
-15% < DD <= -20% 129 14.3 Months 7.01%
 
DD <= -20% 72.05%
 
-20% < DD <= -25% 104 17.7 Months 5.66%
 
DD <= -25% 77.71%
 
-25% < DD <= -30% 113 16.3 Months 6.14%
 
DD <= -30% 83.85%
 
-30% < DD <= -35% 120 15.3 Months 6.53%
 
DD <= -35% 90.38%
 
-35% < DD <= -40% 69 26.7 Months 3.75%
 
DD <= -40% 94.13%
 
-40% < DD <= -45% 47 39.1 Months 2.56%
 
DD <= -45% 96.68%
 
-45% < DD <= -50% 28 65.7 Months 1.52%
 
DD <= -50% 98.21%
 
-50% < DD <= -55% 12 153.3 Months 0.65%
 
DD <= -55% 98.86%
 
-55% < DD <= -60% 4 459.8 Months 0.22%
 
DD <= -60% 99.08%
 
-60% < DD <= -65% 5 367.8 Months 0.27%
 
DD <= -65% 99.35%
 
-65% < DD <= -70% 7 262.7 Months 0.38%
 
DD <= -70% 99.73%
 
-70% < DD <= -100% 5 367.8 Months 0.27%
 
DD <= -100% 100.00%
 

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 500 (SPY) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1871 - 29 February 2024 (~153 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -43.44 03/2008
02/2009
0.56$ -7.77 0.92$ 14.10 1.14$ 27.10 1.27$ 56.25 04/2020
03/2021
1.56$ 30.18 20.06%
2Y -26.04 03/2007
02/2009
0.54$ -3.63 0.92$ 11.84 1.25$ 23.45 1.52$ 37.08 03/2009
02/2011
1.87$ 9.58 16.91%
3Y -16.28 04/2000
03/2003
0.58$ -2.86 0.91$ 11.69 1.39$ 20.31 1.74$ 32.35 04/1995
03/1998
2.31$ 11.78 18.46%
5Y -6.67 03/2004
02/2009
0.70$ -0.32 0.98$ 10.58 1.65$ 16.67 2.16$ 28.45 01/1995
12/1999
3.49$ 14.63 16.28%
7Y -3.91 03/2002
02/2009
0.75$ 2.73 1.20$ 6.95 1.60$ 14.01 2.50$ 17.82 05/1994
04/2001
3.15$ 13.48 2.53%
10Y -3.45 03/1999
02/2009
0.70$ 2.81 1.31$ 7.93 2.14$ 13.31 3.48$ 16.55 03/2009
02/2019
4.62$ 12.58 9.96%
15Y 3.67 09/2000
08/2015
1.71$ 4.57 1.95$ 7.25 2.85$ 9.82 4.07$ 15.91 03/2009
02/2024
9.15$ 15.91 0.00%
20Y 4.69 04/2000
03/2020
2.50$ 6.22 3.34$ 8.02 4.67$ 9.65 6.31$ 10.29 04/2003
03/2023
7.09$ 9.79 0.00%
30Y 10.26 03/1994
02/2024
18.74$ 10.26 18.74$ 10.26 18.74$ 10.26 18.74$ 10.26 03/1994
02/2024
18.74$ 10.26 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -43.44 03/2008
02/2009
0.56$ -10.36 0.89$ 11.69 1.11$ 23.43 1.23$ 52.26 04/2020
03/2021
1.52$ 26.74 22.06%
2Y -27.53 03/2007
02/2009
0.52$ -5.91 0.88$ 9.03 1.18$ 20.78 1.45$ 34.21 03/2009
02/2011
1.80$ 5.03 23.74%
3Y -18.28 04/2000
03/2003
0.54$ -5.27 0.85$ 9.22 1.30$ 17.62 1.62$ 29.34 04/1995
03/1998
2.16$ 5.94 21.23%
5Y -9.08 03/2004
02/2009
0.62$ -2.81 0.86$ 7.66 1.44$ 14.35 1.95$ 25.47 01/1995
12/1999
3.10$ 10.12 29.57%
7Y -6.33 03/2002
02/2009
0.63$ 0.11 1.00$ 4.69 1.37$ 12.04 2.21$ 15.32 03/2009
02/2016
2.71$ 9.68 14.44%
10Y -5.89 03/1999
02/2009
0.54$ 0.24 1.02$ 5.69 1.73$ 11.21 2.89$ 14.53 03/2009
02/2019
3.88$ 9.54 12.86%
15Y 1.48 09/2000
08/2015
1.24$ 2.18 1.38$ 4.86 2.03$ 7.58 2.99$ 13.04 03/2009
02/2024
6.28$ 13.04 0.00%
20Y 2.56 04/2000
03/2020
1.65$ 4.00 2.18$ 5.67 3.01$ 7.00 3.87$ 7.59 04/2003
03/2023
4.32$ 7.05 0.00%
30Y 7.55 03/1994
02/2024
8.87$ 7.55 8.87$ 7.55 8.87$ 7.55 8.87$ 7.55 03/1994
02/2024
8.87$ 7.55 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -67.84 07/1931
06/1932
0.32$ -7.99 0.92$ 10.66 1.10$ 29.95 1.29$ 160.57 07/1932
06/1933
2.60$ 30.18 27.20%
2Y -54.64 06/1930
05/1932
0.20$ -2.57 0.94$ 10.00 1.20$ 23.31 1.52$ 55.64 07/1932
06/1934
2.42$ 9.58 20.00%
3Y -42.65 07/1929
06/1932
0.18$ -0.58 0.98$ 9.89 1.32$ 19.81 1.71$ 42.43 03/1933
02/1936
2.88$ 11.78 16.03%
5Y -17.97 09/1929
08/1934
0.37$ 1.15 1.05$ 9.77 1.59$ 17.41 2.23$ 35.15 06/1932
05/1937
4.50$ 14.63 10.74%
7Y -7.76 07/1925
06/1932
0.56$ 2.81 1.21$ 9.07 1.83$ 15.54 2.74$ 25.75 02/1922
01/1929
4.97$ 13.48 3.87%
10Y -5.38 09/1929
08/1939
0.57$ 4.18 1.50$ 8.59 2.28$ 15.29 4.15$ 21.28 06/1949
05/1959
6.88$ 12.58 3.55%
15Y -0.72 09/1929
08/1944
0.89$ 5.26 2.15$ 8.34 3.32$ 14.20 7.32$ 19.24 08/1982
07/1997
14.01$ 15.91 0.24%
20Y 1.60 09/1929
08/1949
1.37$ 6.20 3.32$ 7.97 4.63$ 13.22 11.97$ 17.90 04/1980
03/2000
26.94$ 9.79 0.00%
30Y 3.09 06/1902
05/1932
2.49$ 6.56 6.73$ 9.71 16.13$ 11.82 28.52$ 14.57 06/1932
05/1962
59.17$ 10.26 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -64.30 07/1931
06/1932
0.35$ -11.24 0.88$ 8.41 1.08$ 27.67 1.27$ 179.03 07/1932
06/1933
2.79$ 26.74 30.65%
2Y -49.63 06/1930
05/1932
0.25$ -4.99 0.90$ 7.37 1.15$ 21.01 1.46$ 56.79 07/1932
06/1934
2.45$ 5.03 26.23%
3Y -38.10 07/1929
06/1932
0.23$ -2.89 0.91$ 7.38 1.23$ 17.27 1.61$ 40.21 09/1926
08/1929
2.75$ 5.94 22.19%
5Y -13.67 09/1929
08/1934
0.47$ -1.69 0.91$ 7.23 1.41$ 14.95 2.00$ 33.81 06/1932
05/1937
4.28$ 10.12 19.51%
7Y -8.70 10/1967
09/1974
0.52$ 0.22 1.01$ 6.99 1.60$ 13.17 2.37$ 25.54 02/1922
01/1929
4.91$ 9.68 14.19%
10Y -5.89 03/1999
02/2009
0.54$ 0.92 1.09$ 6.88 1.94$ 11.94 3.08$ 20.41 09/1919
08/1929
6.40$ 9.54 11.63%
15Y -2.46 08/1967
07/1982
0.68$ 2.10 1.36$ 6.83 2.69$ 10.85 4.68$ 15.49 07/1949
06/1964
8.67$ 13.04 5.42%
20Y -0.58 07/1901
06/1921
0.89$ 3.07 1.83$ 6.62 3.60$ 9.42 6.04$ 13.52 04/1980
03/2000
12.62$ 7.05 0.25%
30Y 1.30 06/1902
05/1932
1.47$ 4.58 3.83$ 6.56 6.71$ 8.25 10.80$ 11.59 06/1932
05/1962
26.81$ 7.55 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods

If you need a deeper detail about rolling returns, please refer to the SPDR S&P 500 (SPY) ETF: Rolling Returns page.

Seasonality

In which months is it better to invest in SPDR S&P 500 (SPY) 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.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.31
40%
-1.08
40%
0.27
80%
2.98
80%
-0.05
80%
1.84
80%
4.46
100%
0.52
40%
-4.09
20%
2.54
60%
5.68
80%
2.01
80%
Best 6.3
2023
5.2
2024
4.5
2021
12.7
2020
4.8
2020
7.0
2019
9.2
2022
7.0
2020
1.9
2019
8.1
2022
10.9
2020
4.6
2021
Worst -5.3
2022
-7.9
2020
-12.5
2020
-8.8
2022
-6.4
2019
-8.2
2022
1.5
2019
-4.1
2022
-9.2
2022
-2.5
2020
-0.8
2021
-5.8
2022
Monthly Seasonality over the period Feb 1871 - Feb 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.90
50%
0.37
50%
0.47
70%
1.85
90%
0.89
90%
1.08
80%
3.26
90%
0.40
60%
-2.17
40%
1.73
60%
4.01
90%
0.25
60%
Best 8.0
2019
5.6
2015
6.7
2016
12.7
2020
4.8
2020
7.0
2019
9.2
2022
7.0
2020
2.0
2017
8.5
2015
10.9
2020
4.6
2021
Worst -5.3
2022
-7.9
2020
-12.5
2020
-8.8
2022
-6.4
2019
-8.2
2022
-1.3
2014
-6.1
2015
-9.2
2022
-6.9
2018
-0.8
2021
-8.8
2018
Monthly Seasonality over the period Feb 1871 - Feb 2024
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.53
66%
0.34
55%
0.58
63%
1.41
64%
0.20
58%
0.61
56%
1.49
60%
1.18
66%
-0.23
55%
0.58
56%
1.17
63%
1.26
68%
Best 13.3
1987
11.9
1931
11.2
1928
42.9
1933
16.5
1933
25.4
1938
38.5
1932
38.3
1932
16.9
1939
18.3
1974
12.3
1928
11.4
1991
Worst -8.2
2009
-18.1
1933
-24.5
1938
-19.8
1932
-23.5
1940
-16.2
1930
-11.3
1934
-14.1
1998
-29.6
1931
-21.7
1987
-13.1
1929
-13.9
1931
Monthly Seasonality over the period Feb 1871 - Feb 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the SPDR S&P 500 (SPY) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

SPDR S&P 500 (SPY) ETF
Monthly Returns Distribution
Data Source: 1 March 1994 - 29 February 2024 (30 Years)
Data Source: 1 January 1871 - 29 February 2024 (~153 years)
235 Positive Months (65%) - 125 Negative Months (35%)
1120 Positive Months (61%) - 718 Negative Months (39%)
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(Scroll down to see all data)
Investment Returns, up to December 1993, 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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