SPDR S&P 500 ETF Trust

10-Year Study

SPY.US · · US · ETF

Executive Summary: SPDR S&P 500 ETF Trust has compounded at 14.8% annually over the last 10 years, with a maximum drawdown of 23.9% and an annualized volatility of 12.2%.

1Y CAGR
+22.1%
3Y CAGR
+20.9%
5Y CAGR
+12.5%
10Y CAGR
+14.8%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
23.9%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.77
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
1.10
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
15.1%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2019 · +31.2%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -18.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20261.5-0.9-5.27.9————————2.9%
20252.7-1.3-5.6-0.96.35.12.32.13.62.40.20.117.7%
20241.65.23.3-4.05.13.51.22.32.1-0.96.0-2.424.9%
20236.3-2.53.71.60.56.53.3-1.6-4.7-2.29.14.626.2%
2022-5.3-3.03.8-8.80.2-8.29.2-4.1-9.28.15.6-5.8-18.2%
2021-1.02.84.55.30.72.22.43.0-4.77.0-0.84.628.7%
2020-0.0-7.9-12.512.74.81.85.97.0-3.7-2.510.93.718.3%
20198.03.21.84.1-6.47.01.5-1.71.92.23.62.931.2%
20185.6-3.6-2.70.52.40.63.73.20.6-6.91.9-8.8-4.6%
20171.83.90.11.01.40.62.10.32.02.43.11.221.7%
2016———0.41.70.33.60.10.0-1.73.72.010.5%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 12.2%. The dominant macroeconomic risk driver is VTI.US, accounting for 82.9% of variance. Idiosyncratic stock-specific factors contribute 0.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110039.450131310052
2016-05-0110210.198889890327
2016-06-0110245.439560251267
2016-07-0110619.356209497504
2016-08-0110632.075978199906
2016-09-0110632.69283272162
2016-10-0110448.350428199848
2016-11-0110833.25622651812
2016-12-0111052.8621478646
2017-01-0111250.649696313381
2017-02-0111692.70592374536
2017-03-0111707.321948940438
2017-04-0111823.530486892412
2017-05-0111990.395346632262
2017-06-0112066.833902781444
2017-07-0112314.855113438405
2017-08-0112350.786889328305
2017-09-0112599.647707528711
2017-10-0112896.548927415643
2017-11-0113290.741813255292
2017-12-0113451.929326748983
2018-01-0114210.072092016417
2018-02-0113693.387890688811
2018-03-0113318.043337457122
2018-04-0113386.874021171818
2018-05-0113712.29905107213
2018-06-0113791.153620764695
2018-07-0114302.069089991079
2018-08-0114758.58712898771
2018-09-0114846.334684701666
2018-10-0113820.391382770798
2018-11-0114076.751552702795
2018-12-0112837.31375848318
2019-01-0113865.141893674843
2019-02-0114314.588952135517
2019-03-0114573.690697719581
2019-04-0115169.063831877444
2019-05-0114201.715997893556
2019-06-0115189.96263460851
2019-07-0115419.621000012567
2019-08-0115161.444536211075
2019-09-0115456.45521122127
2019-10-0115798.118365244132
2019-11-0116369.982488185526
2019-12-0116845.617305739375
2020-01-0116838.814771152687
2020-02-0115505.757880030935
2020-03-0113569.531498990758
2020-04-0115292.640354394349
2020-05-0116021.265488474532
2020-06-0116305.389823499647
2020-07-0117265.655253715693
2020-08-0118470.73767804535
2020-09-0117779.123815268063
2020-10-0117335.828167176714
2020-11-0119221.563863291332
2020-12-0119933.69385053158
2021-01-0119730.560229561266
2021-02-0120279.17807561951
2021-03-0121199.839160895077
2021-04-0122321.531992474374
2021-05-0122468.097769157044
2021-06-0122971.999374006897
2021-07-0123532.80009686901
2021-08-0124233.13559718943
2021-09-0123103.737795704634
2021-10-0124724.78007422816
2021-11-0124526.118648540283
2021-12-0125660.394170039377
2022-01-0124307.03248424451
2022-02-0123589.562136098666
2022-03-0124476.301934295858
2022-04-0122328.043234648037
2022-05-0122378.442533718524
2022-06-0120533.1050971603
2022-07-0122423.946977926895
2022-08-0121509.00893182501
2022-09-0119520.589804308616
2022-10-0121107.13392254364
2022-11-0122280.511166780332
2022-12-0120996.52276821463
2023-01-0122316.939853257165
2023-02-0121755.83070313419
2023-03-0122562.487934211327
2023-04-0122922.925169834903
2023-05-0123028.738566772794
2023-06-0124521.00104065643
2023-07-0125323.65442895835
2023-08-0124912.09251903967
2023-09-0123730.39916199171
2023-10-0123215.24567373651
2023-11-0125335.814459298454
2023-12-0126492.5309198329
2024-01-0126914.4651243019
2024-02-0128319.04287024694
2024-03-0129245.12999066722
2024-04-0128065.97830271336
2024-05-0129485.549040505637
2024-06-0130525.805651986673
2024-07-0130895.4443008925
2024-08-0131617.329728161356
2024-09-0132281.442160178845
2024-10-0131993.376810153884
2024-11-0133901.25072965894
2024-12-0133085.58628024158
2025-01-0133974.142372308255
2025-02-0133542.84682931064
2025-03-0131673.863302753343
2025-04-0131399.248808271335
2025-05-0133372.53215354194
2025-06-0135087.97030873569
2025-07-0135896.10113672581
2025-08-0136632.671128581045
2025-09-0137937.54119502998
2025-10-0138841.87277032794
2025-11-0138917.61450933222
2025-12-0138948.651430359976
2026-01-0139522.66883251144
2026-02-0139181.11419919147
2026-03-0137144.92311593781
2026-04-0140076.12441727239
Annual Return Matrix
YearAnnual Return
20170.217053931080456
2018-0.04568977083782688
20190.312238496516253
20200.18331631834827955
20210.287287462245994
2022-0.1817536929058634
20230.2617580164244313
20240.24886468493174307
20250.17720904506442947
20260.028947677146879514
Total Factor Risk
0.12209912298834019
VTI.US Exposure
0.8291066300544475
VEA.US Exposure
-0.0027475115467326767
VWO.US Exposure
0.0003514351103681789
QQQ.US Exposure
0.09229100651557219
VTV.US Exposure
0.09333081212807073
IJR.US Exposure
-0.08046822707431549
QUAL.US Exposure
0.029487792559690966
SHV.US Exposure
0.039993752756596945
TLT.US Exposure
-0.00500186459458996
LQD.US Exposure
-0.001968994527519261
HYG.US Exposure
0.004463888193116928
GLD.US Exposure
-0.0009069785810463613
USO.US Exposure
0.0019206346065040946
VNQ.US Exposure
-0.016425406016940196
BTC-USD.CC Exposure
-0.0020227208669765153
CPER.US Exposure
-0.0009868819445049948
VIX.INDX Exposure
0.005928866806363967
UUP.US Exposure
0.0024026023808822856
TIP.US Exposure
0.00939524982864013
Idiosyncratic Exposure
0.0018559142123714962
Value Score
41.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
12.7
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.2%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →20.6x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.06%
Market Cap$405.7B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$3,399
Avg Yield on Cost
3.09%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2016$199.31.99%Solid
2017$274.282.74%Solid
2018$291.312.91%Solid
2019$320.93.21%Solid
2020$325.053.25%Solid
2021$326.63.27%Solid
2022$361.013.61%Solid
2023$378.93.79%Solid
2024$403.554.04%Solid
2025$415.874.16%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+4.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.6%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
0.0% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.00
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is SPDR S&P 500 ETF Trust a high-risk investment?

SPDR S&P 500 ETF Trust (SPY.US) has an annualized volatility of 12.2% and experienced a maximum drawdown of 23.9% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of SPY.US?

Over the past 10 years, SPY.US has generated a Compound Annual Growth Rate (CAGR) of 14.8%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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