What is S&P 500's risk, return, and volatility like?
S&P 500 returned +36.1% over the 1Y window. On the 5Y lens, Sharpe ratio is 0.54, annualized volatility is 17.1%, and max drawdown is -24.5%.
Cite This Comparison
"S&P 500 (SPY): Returns, Risk & Drawdowns." Gale Finance, April 22, 2026. https://www.gale.finance/assets/spy/ Free to use with attribution. Please link back to this page or gale.finance.
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Price history
S&P 500 price over the past 5Y
Track S&P 500's standalone price path with macro and asset-specific events enabled by default.
S&P 500 price over the past 5Y
Key takeaways
- Total Return: SPY returned +36.1% over the 1Y window and +82.3% over the 5Y window ; annualized return over 5Y was +12.8%.
- Risk-adjusted return: Sharpe was 0.54 and Sortino was 0.78 over 5Y. Sharpe counts total volatility; Sortino focuses on downside volatility.
- Volatility & drawdown: Annualized volatility was 12.7% over 1Y and 17.1% over 5Y ; max drawdown was -9.1% over 1Y and -24.5% over 5Y .
- Tail risk (Expected Shortfall): Over 5Y, daily VaR (5%) was -1.7% and Expected Shortfall was -2.5%. VaR is the cutoff; Expected Shortfall is the average move inside the worst 5% of daily returns.
- Skew & kurtosis: Over 5Y, skew was 0.15 and excess kurtosis was 8.11. Skew shows return asymmetry; excess kurtosis shows how fat the tails were versus a Normal distribution.
- Risk ratios: Sortino Ratio: 0.78 , Calmar Ratio: 0.52 , Sterling Ratio: 0.39 , Treynor Ratio: 0.84 , Ulcer Index: 8.45% .
S&P 500 Drawdown
Max drawdown shows the deepest peak-to-trough decline S&P 500 suffered in each research window. 1Y: -9.1%; 5Y: -24.5%.
S&P 500 is currently 0.0% below its prior peak, with the high-water mark at $711.21. 5Y low is $341.14.
5Y drawdown episodes
S&P 500 Volatility
Volatility S&P 500's annualized volatility shows how widely daily closes moved over 1Y and 5Y. Higher values mean a noisier path, not automatically a better or worse investment. 1Y: 12.7%; 5Y: 17.1%.
Benchmark context
Where SPY fits relative to other lenses
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Risk-adjusted ratios
These ratios compare return against different definitions of risk: total volatility, downside volatility, drawdowns, benchmark beta, and time spent underwater.
S&P 500 Sharpe Ratio
SPY Sharpe Ratio (5Y)
Return per total volatilityThe dot sits at (S&P 500's annualized volatility, its excess annualized return). The slope from the origin to the dot is the Sharpe ratio — steeper means the asset converted risk into return more efficiently.
Sharpe ratio S&P 500's Sharpe ratio measures excess return per unit of total volatility. Higher readings mean the asset converted risk into return more efficiently over the same window. 1Y: 2.17; 5Y: 0.54.
A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).
S&P 500 Sortino Ratio
SPY Sortino Ratio (5Y)
Return per downside volatilityS&P 500's daily-return distribution over the long window. Days left of the target line are the only ones Sortino penalizes in the denominator — so a distribution with a fat left tail produces a smaller Sortino even at the same mean return.
Sortino ratio S&P 500's Sortino ratio isolates downside volatility instead of all volatility. It is the cleaner lens when you care more about bad downside moves than upside noise. 1Y: 3.40; 5Y: 0.78.
A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).
S&P 500 Calmar Ratio
SPY Calmar Ratio (5Y)
CAGR per worst drawdownS&P 500's CAGR bar sits above zero, the max drawdown bar sits below. Calmar is the ratio of those two magnitudes — a shallow drawdown bar with a tall CAGR bar produces a strong Calmar.
Calmar ratio S&P 500's Calmar ratio measures return per unit of max drawdown. It is useful when the path of losses matters as much as the final return. 1Y: 3.95; 5Y: 0.52.
Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.
S&P 500 Sterling Ratio
SPY Sterling Ratio (5Y)
Return per average drawdownThe underwater curve shows S&P 500's drawdowns over the long window. Sterling averages every event deeper than the 10% threshold instead of taking only the worst one — so an asset with many mid-size drawdowns scores worse here than on Calmar.
Sterling ratio S&P 500's Sterling ratio compares return against deep drawdown pressure. It gives a harsher read on assets that compound well but suffer ugly declines along the way. 1Y: N/A; 5Y: 0.39.
Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.
S&P 500 Ulcer Index
SPY Ulcer Index (5Y)
Drawdown painThe underwater curve shows how deep and how long S&P 500's drawdowns were. Ulcer is the root-mean-square of that curve — both depth and persistence count, so lower is better.
Ulcer Index S&P 500's Ulcer Index measures both the depth and persistence of drawdowns. Lower is better because it means fewer and shallower underwater periods. 1Y: 1.97; 5Y: 8.45.
Ulcer Index is computed from each asset's drawdown series over the full lookback window.
S&P 500 Treynor Ratio
SPY Treynor Ratio (5Y)
Excess return per beta vs BTCThe line's slope is S&P 500's beta to BTC — steeper means more market-sensitive. Treynor divides excess return by that slope, so an asset can look efficient with a shallow beta and a small return, or inefficient with a steep beta and a big return.
Treynor ratio measures excess return per unit of market beta versus BTC. A high Treynor means the asset compensated its market exposure well over this window. A low or negative Treynor means the asset's market risk wasn't rewarded.
Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.
S&P 500 Tail Risk
Tail-risk stats use daily return distributions rather than simple end-point returns. They show how ugly the left tail has been, how severe the worst 5% of days were, and whether returns were skewed toward outsized upside or downside shocks.
The histogram shows the shape of S&P 500's daily log returns over the 5Y window. Bars left of the 5% VaR marker are the worst 5% of days; the ES marker is the average loss inside that tail. Skew and excess kurtosis describe whether the distribution is symmetric around zero and whether extreme days are more common than a Normal distribution predicts.
SPY daily return distribution (5Y)
SPY daily return distribution (5Y)Log-return histogram with Value-at-Risk and Expected Shortfall markers at the 5% left tail.
| Metric | 1Y | 5Y |
|---|---|---|
| VaR (5%) | -1.3% Historical daily threshold | -1.7% Historical daily threshold |
| Expected shortfall (5%) | -1.7% Beyond the VaR threshold | -2.5% Beyond the VaR threshold |
| Skew | 0.05 | 0.15 |
| Excess kurtosis | 1.81 | 8.11 |
Less negative daily VaR and Expected Shortfall values mean the left tail was less violent. Skew and excess kurtosis help distinguish between steady compounding and a path dominated by occasional extreme moves.
Full stats table
Every window-consistent research metric
Each column keeps the same horizon across returns, ratios, drawdowns, and tail-risk metrics.
| Metric | 1Y Recent window | 5Y Deeper research window |
|---|---|---|
| Total return | +36.1% | +82.3% |
| Annualized return | +36.1% | +12.8% |
| Volatility | 12.7% Annualized daily closes | 17.1% Annualized daily closes |
| Sharpe ratio | 2.17 | 0.54 |
| Sortino ratio | 3.40 | 0.78 |
| Calmar ratio | 3.95 | 0.52 |
| Sterling ratio | N/A | 0.39 |
| Ulcer Index | 1.97 | 8.45 |
| Max drawdown | -9.1% 2026-01-27 to 2026-03-30 | -24.5% 2022-01-03 to 2022-10-12 |
| VaR (5%) | -1.3% Historical daily threshold | -1.7% Historical daily threshold |
| Expected shortfall (5%) | -1.7% Beyond the VaR threshold | -2.5% Beyond the VaR threshold |
| Skew | 0.05 | 0.15 |
| Excess kurtosis | 1.81 | 8.11 |
What viewers usually ask next
What is S&P 500's 5Y CAGR?
S&P 500's 5y cagr is +12.8% on Gale using the past 5 years.
What is S&P 500's 1-year volatility?
Annualized volatility is 12.7% over the past year.
What is S&P 500's 5-year Sharpe ratio?
S&P 500's Sharpe ratio is 0.54 using the past 5 years.
What is S&P 500's 5-year Sortino ratio?
S&P 500's Sortino ratio is 0.78 using the past 5 years.
What is S&P 500's 5-year Calmar ratio?
S&P 500's Calmar ratio is 0.52 using the past 5 years.
What is S&P 500's 5-year Sterling ratio?
S&P 500's Sterling ratio is 0.39 using the past 5 years.
What is S&P 500's 5-year Ulcer Index?
S&P 500's Ulcer Index is 8.45 using the past 5 years. Lower is better because it means shallower and less persistent drawdowns.
What is S&P 500's 5-year max drawdown?
Max drawdown is -24.5% over the past 5 years from 2022-01-03 to 2022-10-12.
What is S&P 500's 5-year daily Value at Risk?
Using historical daily returns, Gale estimates a 5% Value at Risk of -1.68% over the past 5 years.
What is S&P 500's 5-year Expected Shortfall?
Expected Shortfall is -2.49% over the past 5 years, which captures the average outcome inside the worst 5% of daily returns.
Is S&P 500 still below its all-time high?
Current drawdown is +0.0% versus the all-time high of $711.21 reached on 2026-04-22.
Which benchmark should viewers open first for S&P 500?
Nasdaq 100 is the default benchmark lens on Gale because it gives the cleanest context for S&P 500's recent behavior.