- total return including cash distributions
- annualized volatility
U.S. stocks are the most important driver of returns in many investor’s portfolios. Therefore, the health of the U.S. stock market is of significant relevance.
The Total Return graph shows the appreciation of an investment in a capitalization-weighted large-cap stock index over the past 10 months, assuming reinvestment of all cash distributions. This return is equivalent to buying and holding such an index, e.g., the S&P 500.
The Drawdown graph shows how much the market declined since its prior highest high. This graph provides investors with an intuitive measure of market risk and potential losses.
The 30-Day Implied Volatility graph shows a measure of annualized market volatility based on the pricing of at-the-money options with 30 days to expiration. This measure is forward-looking and often higher than historical volatility. An example of such an index is the VIX.
The 1-Year Implied Volatility graph shows a measure of annualized market volatility based on the pricing of at-the-money options with one year to expiration. This measure serves as a useful benchmark for the 30-day implied volatility. Typically, implied volatility increases with longer observed periods and 30-day volatility ranges around 75% of 1-year volatility. However, in times of market fear, the 30-day volatility can reach or even exceed the 1-year volatility, providing investors with a valuable signal for market uncertainty.
The chart above shows the indexed performance. The table below shows the performance metrics over the past 12-months period: