Vyreon LabsMarket Measurements

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Relative Performance vs SPY: Total Return Over 1, 3, 6 and 12 Months

How total-return performance is measured over 1, 3, 6 and 12 months, compared with SPY, and why the difference is in percentage points.

Reviewed · Sources at the end · How Vyreon measures
Vyreon's per-security reports are not live yet; this page describes what they will measure. Examples are illustrative.

Relative performance compares a security's total return with a benchmark's over the same period. Vyreon reports each security's total return over 1, 3, 6 and 12 months, SPY's total return over the same periods, and the difference between them in percentage points.

Total Return Vs Price Return

A price return only looks at the change in the share price. Total return also counts dividends, as if they were reinvested. For a stock or fund that pays a meaningful dividend, the difference over a year can be several percentage points. Vyreon uses total return for both the security and SPY so the comparison is like for like.

Relative Performance Formula

Return over k sessions = adjusted close today ÷ adjusted close k sessions ago − 1

Difference vs SPY = security's return − SPY's return

The periods are measured in trading sessions:

  • 1 month: 21 sessions
  • 3 months: 63 sessions
  • 6 months: 126 sessions
  • 1 year: 252 sessions

Illustrative example: over a year, a stock returns +12% including dividends and SPY returns +8%. The difference is +4 percentage points. If the stock had returned −3%, the difference would be −11 percentage points.

The difference is a simple subtraction, not a ratio.

How Vyreon Calculates It

Vyreon uses daily closes adjusted for splits and dividends. Each earlier close is scaled down by every later dividend relative to the close before it went ex, and by every later split, so the ratio of two adjusted closes equals the total return. SPY's returns use the same method and the same session dates. If either history does not reach back far enough, that period is shown as unavailable.

What Relative Performance Does Not Tell You

  • It is past performance and does not predict future returns.
  • It depends on the start and end dates. Moving the window by a few days can change the result, especially after a large one-day move.
  • It says nothing about risk taken along the way. Two securities with the same return can have very different drawdowns.
  • SPY is one benchmark. A sector fund or a non-US stock may be better compared with something else.

Related: beta and correlation · max drawdown · realized volatility · moving averages

Sources

  • S&P Dow Jones Indices, Index Mathematics Methodology: price and total return calculation, with dividends reinvested.
  • Michael C. Jensen, "The Performance of Mutual Funds in the Period 1945–1964", Journal of Finance (1968): an early study measuring returns against a market benchmark.

Vyreon's figure is a simple difference in total return against SPY, a descriptive comparison, not a risk-adjusted performance measure.