SPDR® S&P 500 UCITS ETF

10-Year Study

SPY5.XETRA · · DE · ETF

Executive Summary: SPDR® S&P 500 UCITS ETF has compounded at 14.1% annually over the last 10 years, with a maximum drawdown of 17.6% and an annualized volatility of 14.1%.

1Y CAGR
+17.3%
3Y CAGR
+16.8%
5Y CAGR
+13.2%
10Y CAGR
+14.1%

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 →
17.6%
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 →
1.20
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
14.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +40.6%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2022 · -14.2%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
90%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-0.5-0.3-4.17.0————————1.8%
20253.8-3.6-9.1-5.36.91.56.1-1.12.84.7-0.5-0.34.8%
20244.14.53.6-2.11.17.0-0.4-0.71.72.78.4-0.832.4%
20234.01.00.30.24.14.22.20.4-2.1-3.15.74.022.4%
2022-5.8-2.06.1-2.9-4.0-5.911.3-1.4-5.44.9-2.0-6.5-14.2%
20211.03.47.12.5-1.25.62.43.7-2.26.02.44.240.6%
20201.1-9.1-9.410.92.01.00.46.9-1.8-2.37.71.16.7%
20197.84.23.34.0-5.14.05.2-1.62.8-0.55.31.534.9%
20181.2-1.0-4.73.75.21.52.63.91.2-4.30.9-9.00.3%
2017-1.86.4-0.6-1.1-1.9-0.7-1.2-0.82.73.90.51.56.7%
2016———-1.05.2-0.23.70.1-0.60.87.72.619.6%

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 14.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 64.3% of variance. Idiosyncratic stock-specific factors contribute 2.8%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-019902.412893459315
2016-05-0110417.904324121668
2016-06-0110401.480108628757
2016-07-0110790.18868555473
2016-08-0110802.92163256959
2016-09-0110741.694163615795
2016-10-0110830.104545211929
2016-11-0111662.511310136648
2016-12-0111963.658368600809
2017-01-0111745.333342765145
2017-02-0112493.55474942139
2017-03-0112424.128034283782
2017-04-0112282.84376866936
2017-05-0112047.367849051556
2017-06-0111968.867301470527
2017-07-0111823.049335025056
2017-08-0111730.722607604655
2017-09-0112043.277872131628
2017-10-0112510.892135861828
2017-11-0112578.749740357205
2017-12-0112763.570395512343
2018-01-0112914.545848576963
2018-02-0112790.24527643035
2018-03-0112189.449531549732
2018-04-0112637.192680999164
2018-05-0113295.145210257611
2018-06-0113496.69875840905
2018-07-0113851.163424802622
2018-08-0114387.747818196665
2018-09-0114563.719718254606
2018-10-0113935.831091670143
2018-11-0114064.536749021394
2018-12-0112795.563532582517
2019-01-0113795.640058880233
2019-02-0114378.481062313625
2019-03-0114850.339641715449
2019-04-0115450.691662684942
2019-05-0114669.467486291182
2019-06-0115254.192708651522
2019-07-0116040.220678691796
2019-08-0115781.568223194414
2019-09-0116230.758298440984
2019-10-0116154.707878543117
2019-11-0117006.143325395606
2019-12-0117265.059442927137
2020-01-0117459.49411615663
2020-02-0115864.08157831952
2020-03-0114379.278479197386
2020-04-0115951.585219749442
2020-05-0116278.403957245593
2020-06-0116436.839116642153
2020-07-0116507.269033665783
2020-08-0117649.208595896773
2020-09-0117324.846416865108
2020-10-0116918.948361469073
2020-11-0118222.40342734921
2020-12-0118427.262397099457
2021-01-0118612.661822573456
2021-02-0119251.86219350092
2021-03-0120612.686259542475
2021-04-0121118.801611039336
2021-05-0120870.303359247235
2021-06-0122049.322806573025
2021-07-0122572.13246637826
2021-08-0123416.667684873708
2021-09-0122903.70998205169
2021-10-0124285.697749419458
2021-11-0124869.779893647737
2021-12-0125908.235322867018
2022-01-0124395.175370622004
2022-02-0123918.590166949514
2022-03-0125370.782773994688
2022-04-0124632.400462759022
2022-05-0123646.471655366713
2022-06-0122247.54521000038
2022-07-0124763.202554820797
2022-08-0124424.699087665053
2022-09-0123105.08989910747
2022-10-0124237.981352020328
2022-11-0123765.273909484178
2022-12-0122217.905738893558
2023-01-0123095.938897288204
2023-02-0123315.762295171575
2023-03-0123377.954381323467
2023-04-0123419.696582875727
2023-05-0124379.23989450946
2023-06-0125393.54130908843
2023-07-0125961.79086970529
2023-08-0126075.564252830023
2023-09-0125528.934979013145
2023-10-0124730.66280133837
2023-11-0126149.743315363587
2023-12-0127199.613381427
2024-01-0128302.370193071343
2024-02-0129569.311282612904
2024-03-0130635.862795422054
2024-04-0129995.43414526234
2024-05-0130312.182279210374
2024-06-0132445.973398429982
2024-07-0132300.419094018664
2024-08-0132067.534779273075
2024-09-0132612.704265730175
2024-10-0133478.21669289353
2024-11-0136306.988780215834
2024-12-0136001.861068114194
2025-01-0137379.94535122033
2025-02-0136022.220921775326
2025-03-0132751.930681321985
2025-04-0131027.17583878288
2025-05-0133157.757998123496
2025-06-0133666.92153996634
2025-07-0135706.8746981552
2025-08-0135313.98611337081
2025-09-0136307.49038115884
2025-10-0138031.89796150663
2025-11-0137844.575732417754
2025-12-0137712.67397675016
2026-01-0137535.184412300536
2026-02-0137411.713410944285
2026-03-0135874.75667531178
2026-04-0138391.76448420953
Annual Return Matrix
YearAnnual Return
20170.06686182455785783
20180.002506597768397345
20190.34930043518314235
20200.06731531727499696
20210.40597310466177006
2022-0.1424384771091035
20230.22422039687623263
20240.32361664716520266
20250.047520124179113
20260.01800695723347645
Total Factor Risk
0.14130387479014353
VTI.US Exposure
0.6432826753486929
VEA.US Exposure
-0.002339946227245
VWO.US Exposure
-0.00595151951403724
QQQ.US Exposure
0.02197528754298154
VTV.US Exposure
0.023743385222291257
IJR.US Exposure
-0.013534807382135496
QUAL.US Exposure
-0.010792098941715662
SHV.US Exposure
0.08613968229666132
TLT.US Exposure
0.006405030889548722
LQD.US Exposure
-0.003929956081477005
HYG.US Exposure
-0.024052985663905787
GLD.US Exposure
-0.00040273808688111887
USO.US Exposure
0.00016875935949437775
VNQ.US Exposure
-0.003730992989305208
BTC-USD.CC Exposure
-0.003125212806796401
CPER.US Exposure
0.0004129089155120059
VIX.INDX Exposure
0.005711066218280931
UUP.US Exposure
0.2245389283550312
TIP.US Exposure
0.027011474662009784
Idiosyncratic Exposure
0.028471058882994827
Value Score
41.8
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
23.3
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
14.1%

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 →1.94%
Market Cap$404.2B
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
$94
Avg Yield on Cost
0.94%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$94.060.94%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 →
+3.1%
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 →
+4.7%
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 →
0.5% 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 UCITS ETF a high-risk investment?

SPDR® S&P 500 UCITS ETF (SPY5.XETRA) has an annualized volatility of 14.1% and experienced a maximum drawdown of 17.6% over the last 10 years. Its primary macro risk driver is VTI.US.

What is the 10-year return of SPY5.XETRA?

Over the past 10 years, SPY5.XETRA has generated a Compound Annual Growth Rate (CAGR) of 14.1%. It has had a positive return in 90% 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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