Vanguard S&P 500 ETF

10-Year Study

VOO.US · · US · ETF

Executive Summary: Vanguard S&P 500 ETF has compounded at 14.8% annually over the last 10 years, with a maximum drawdown of 23.9% and an annualized volatility of 12.1%.

1Y CAGR
+22.1%
3Y CAGR
+21.0%
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 · +31.4%
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.
20261.4-0.8-5.37.9————————2.8%
20252.7-1.3-5.6-0.86.35.22.32.13.52.40.20.117.8%
20241.65.23.3-4.05.03.61.22.42.2-0.95.9-2.325.0%
20236.3-2.53.71.60.56.53.3-1.6-4.7-2.29.24.626.3%
2022-5.2-3.03.8-8.80.3-8.39.2-4.1-9.28.15.5-5.7-18.2%
2021-1.02.84.65.30.72.32.43.0-4.77.0-0.74.628.8%
2020-0.0-8.1-12.412.84.71.85.97.0-3.8-2.510.93.718.3%
20197.93.21.94.0-6.37.01.5-1.62.02.23.63.031.4%
20185.6-3.7-2.50.32.40.83.63.20.6-6.81.9-8.8-4.5%
20171.83.90.11.01.40.62.10.32.02.33.11.321.8%
2016———0.31.80.33.70.10.0-1.83.72.110.6%

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 12.1%. The dominant macroeconomic risk driver is VTI.US, accounting for 83.0% of variance. Idiosyncratic stock-specific factors contribute 0.2%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110034.997375196861
2016-05-0110211.071669624778
2016-06-0110243.981701372397
2016-07-0110621.334649901257
2016-08-0110634.127440441967
2016-09-0110637.208459365547
2016-10-0110446.616503762218
2016-11-0110835.8310626703
2016-12-0111060.35172362073
2017-01-0111257.51818613604
2017-02-0111693.87920905932
2017-03-0111709.296802739795
2017-04-0111831.068919831012
2017-05-0111997.225208109392
2017-06-0112072.769542284328
2017-07-0112321.769617278704
2017-08-0112357.654425918057
2017-09-0112610.02299827513
2017-10-0112903.469739769518
2017-11-0113298.00889933255
2017-12-0113468.577356698248
2018-01-0114220.827187960902
2018-02-0113690.960677949153
2018-03-0113353.098517611179
2018-04-0113399.432542559309
2018-05-0113723.220758443116
2018-06-0113827.325450591206
2018-07-0114319.988500862435
2018-08-0114781.066420018498
2018-09-0114866.210034247431
2018-10-0113849.70502212334
2018-11-0114110.791690623204
2018-12-0112862.385321100917
2019-01-0113881.033922455817
2019-02-0114332.14383921206
2019-03-0114608.135639827013
2019-04-0115197.441441891859
2019-05-0114232.72004599655
2019-06-0115227.745419093568
2019-07-0115450.097492688048
2019-08-0115196.629002824788
2019-09-0115496.369022323326
2019-10-0115834.606154538411
2019-11-0116408.756843236755
2019-12-0116896.670249731273
2020-01-0116890.38947078969
2020-02-0115522.317076219282
2020-03-0113591.124415668824
2020-04-0115328.894082943778
2020-05-0116054.883383746219
2020-06-0116350.6487013474
2020-07-0117312.31407644427
2020-08-0118519.16106292028
2020-09-0117823.494487913405
2020-10-0117369.872259580534
2020-11-0119271.273404494663
2020-12-0119992.863035272356
2021-01-0119788.684598655098
2021-02-0120336.074794390417
2021-03-0121266.473764467668
2021-04-0122391.383146264026
2021-05-0122540.828187885905
2021-06-0123050.13998950079
2021-07-0123614.21018423618
2021-08-0124311.245406594506
2021-09-0123177.47418943579
2021-10-0124808.833087518437
2021-11-0124626.65300102492
2021-12-0125749.681273904458
2022-01-0124400.17623678224
2022-02-0123672.930780191487
2022-03-0124569.926005549583
2022-04-0122411.619128565355
2022-05-0122469.614778891584
2022-06-0120612.622803289752
2022-07-0122508.80558958078
2022-08-0121579.431542634306
2022-09-0119594.380421468388
2022-10-0121184.96737744669
2022-11-0122351.198660100494
2022-12-0121069.90725695573
2023-01-0122395.25160612954
2023-02-0121835.72482063845
2023-03-0122645.851561132913
2023-04-0123005.95580331475
2023-05-0123116.75374346924
2023-06-0124621.634627402946
2023-07-0125431.71762117841
2023-08-0125017.611179161566
2023-09-0123830.756443266753
2023-10-0123313.12026598005
2023-11-0125451.028672849538
2023-12-0126616.34127440442
2024-01-0127044.10294227933
2024-02-0128452.309826762994
2024-03-0129385.571082168837
2024-04-0128207.584431167666
2024-05-0129625.203109766764
2024-06-0130681.948853835962
2024-07-0131037.765917556182
2024-08-0131780.69144814139
2024-09-0132472.302077344204
2024-10-0132164.606404519658
2024-11-0134058.78309126816
2024-12-0133263.94895382846
2025-01-0134160.35672324576
2025-02-0133728.20163487738
2025-03-0131836.724745644075
2025-04-0131578.394120440968
2025-05-0133562.03284753643
2025-06-0135298.08389370797
2025-07-0136105.298352623555
2025-08-0136854.72339574531
2025-09-0138162.87528435367
2025-10-0139076.475514336424
2025-11-0139161.85036122291
2025-12-0139192.68554858385
2026-01-0139760.76794240432
2026-02-0139437.04222183336
2026-03-0137344.074194435416
2026-04-0140300.7274454416
Annual Return Matrix
YearAnnual Return
20170.21773499552771525
2018-0.04500787422035002
20190.313649826833601
20200.18324277740996497
20210.2879436641203239
2022-0.18174104631311927
20230.26323960280450054
20240.24975662924102604
20250.17823309562507705
20260.028271650216063593
Total Factor Risk
0.12098251687607434
VTI.US Exposure
0.8302277503166603
VEA.US Exposure
-0.010642791869826779
VWO.US Exposure
0.0008473178005776714
QQQ.US Exposure
0.10387224786649944
VTV.US Exposure
0.10379007462016611
IJR.US Exposure
-0.08212139030323033
QUAL.US Exposure
0.028797270518935884
SHV.US Exposure
0.027265659853808362
TLT.US Exposure
-0.003642361858031669
LQD.US Exposure
-0.0024645268028077776
HYG.US Exposure
0.0043214610536126035
GLD.US Exposure
-0.0013959050251297527
USO.US Exposure
0.0016065918521303755
VNQ.US Exposure
-0.017157651843995272
BTC-USD.CC Exposure
-0.0018507367736851773
CPER.US Exposure
-0.0003444819871782319
VIX.INDX Exposure
0.004845622991778327
UUP.US Exposure
0.004166177564159498
TIP.US Exposure
0.008210935911806886
Idiosyncratic Exposure
0.0016687361137495457
Value Score
41.1
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
13.4
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
12.1%

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 →22.4x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →1.12%
Market Cap$422.4B
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
$3,594
Avg Yield on Cost
3.27%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2016$258.612.59%Solid
2017$272.972.73%Solid
2018$296.022.96%Solid
2019$348.163.48%Solid
2020$331.393.31%Solid
2021$339.773.40%Solid
2022$371.643.72%Solid
2023$397.33.97%Solid
2024$418.944.19%Solid
2025$441.74.42%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 Vanguard S&P 500 ETF a high-risk investment?

Vanguard S&P 500 ETF (VOO.US) has an annualized volatility of 12.1% 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 VOO.US?

Over the past 10 years, VOO.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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