# U.S. Stock Market

## Key Facts

- total return including cash distributions
- annualized volatility

## Summary

U.S. stocks are the most important driver of returns in many investorâ€™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.

## Performance

The chart above shows the indexed performance. The table below shows the performance metrics over the past 12-months period:

## See Also

- S&P 500 Index
^{} - VIX Index
^{} - Capitalization-weighted index
^{} - Total return index
^{} - Volatility
^{} - Drawdown
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