Key S&P Sectors

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Key S&P Sectors

Currency in USD · Last updated May 21, 2025

Asset Allocation

Position	Category/Sector	Target Weight
XLB Materials Select Sector SPDR ETF	Materials	9.09%
XLC Communication Services Select Sector SPDR Fund	Large Cap Growth Equities	9.09%
XLE Energy Select Sector SPDR Fund	Energy Equities	9.09%
XLF Financial Select Sector SPDR Fund	Financials Equities	9.09%
XLI Industrial Select Sector SPDR Fund	Industrials Equities	9.09%
XLK Technology Select Sector SPDR Fund	Technology Equities	9.09%
XLP Consumer Staples Select Sector SPDR Fund	Consumer Staples Equities	9.09%
XLRE Real Estate Select Sector SPDR Fund	REIT	9.09%
XLU Utilities Select Sector SPDR Fund	Utilities Equities	9.09%
XLV Health Care Select Sector SPDR Fund	Health & Biotech Equities	9.09%
XLY Consumer Discretionary Select Sector SPDR Fund	Consumer Discretionary Equities	9.09%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Jun 19, 2018, corresponding to the inception date of XLC

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	1.00%	12.45%	0.40%	11.91%	15.04%	10.82%
Key S&P Sectors	3.87%	8.67%	0.79%	11.18%	15.67%	N/A
Portfolio components:
XLK Technology Select Sector SPDR Fund	0.67%	21.16%	1.35%	9.79%	20.44%	19.73%
XLY Consumer Discretionary Select Sector SPDR Fund	-3.44%	16.52%	0.68%	22.88%	13.13%	12.13%
XLV Health Care Select Sector SPDR Fund	-1.71%	-0.58%	-3.81%	-6.25%	7.95%	7.79%
XLP Consumer Staples Select Sector SPDR Fund	5.63%	0.89%	3.77%	9.11%	10.47%	8.14%
XLU Utilities Select Sector SPDR Fund	10.13%	6.43%	4.47%	18.11%	11.62%	9.92%
XLB Materials Select Sector SPDR ETF	4.03%	7.89%	-4.03%	-3.76%	12.67%	7.63%
XLI Industrial Select Sector SPDR Fund	9.43%	14.72%	4.41%	16.18%	19.46%	11.74%
XLE Energy Select Sector SPDR Fund	-1.66%	2.56%	-10.94%	-8.48%	21.55%	4.45%
XLF Financial Select Sector SPDR Fund	6.61%	10.05%	4.14%	24.41%	20.70%	14.34%
XLRE Real Estate Select Sector SPDR Fund	3.63%	3.54%	-2.16%	12.50%	9.12%	N/A
XLC Communication Services Select Sector SPDR Fund	5.29%	12.66%	5.66%	24.05%	14.79%	N/A

*Annualized

Monthly Returns

The table below presents the monthly returns of Key S&P Sectors, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2025	3.62%	0.60%	-2.98%	-2.06%	4.86%								3.87%
2024	-0.28%	4.27%	3.99%	-3.73%	3.72%	0.54%	3.27%	2.90%	2.33%	-1.34%	5.92%	-5.55%	16.50%
2023	6.05%	-3.30%	2.08%	1.49%	-2.72%	6.62%	3.32%	-2.25%	-4.16%	-2.48%	7.88%	4.56%	17.32%
2022	-3.10%	-1.75%	4.93%	-6.37%	1.16%	-8.80%	8.04%	-2.98%	-9.46%	8.34%	6.05%	-4.73%	-10.36%
2021	-0.88%	4.13%	5.77%	4.77%	1.58%	0.86%	1.53%	2.35%	-4.03%	6.67%	-1.95%	5.89%	29.42%
2020	-0.91%	-8.71%	-13.90%	13.06%	4.50%	0.65%	5.03%	4.68%	-3.11%	-1.80%	11.55%	3.07%	11.39%
2019	8.17%	2.71%	2.00%	3.26%	-5.67%	6.64%	1.02%	-1.09%	2.22%	1.07%	2.55%	2.73%	28.03%
2018						-0.30%	2.89%	1.72%	0.17%	-5.86%	2.43%	-8.55%	-7.81%

Expense Ratio

Key S&P Sectors has an expense ratio of 0.13%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

XLK

Technology Select Sector SPDR Fund

XLY

Consumer Discretionary Select Sector SPDR Fund

XLP

Consumer Staples Select Sector SPDR Fund

XLU

Utilities Select Sector SPDR Fund

XLB

Materials Select Sector SPDR ETF

XLI

Industrial Select Sector SPDR Fund

XLE

Energy Select Sector SPDR Fund

XLF

Financial Select Sector SPDR Fund

XLRE

Real Estate Select Sector SPDR Fund

XLC

Communication Services Select Sector SPDR Fund

XLV

Health Care Select Sector SPDR Fund

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Key S&P Sectors is 44, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
XLK Technology Select Sector SPDR Fund	0.32	0.70	1.10	0.42	1.32
XLY Consumer Discretionary Select Sector SPDR Fund	0.90	1.39	1.18	0.87	2.53
XLV Health Care Select Sector SPDR Fund	-0.40	-0.44	0.94	-0.37	-0.91
XLP Consumer Staples Select Sector SPDR Fund	0.69	0.94	1.12	0.97	2.56
XLU Utilities Select Sector SPDR Fund	1.06	1.48	1.19	1.71	4.36
XLB Materials Select Sector SPDR ETF	-0.19	-0.07	0.99	-0.12	-0.34
XLI Industrial Select Sector SPDR Fund	0.81	1.30	1.18	0.89	3.17
XLE Energy Select Sector SPDR Fund	-0.34	-0.25	0.96	-0.39	-1.01
XLF Financial Select Sector SPDR Fund	1.21	1.67	1.25	1.52	5.77
XLRE Real Estate Select Sector SPDR Fund	0.70	1.00	1.13	0.50	2.17
XLC Communication Services Select Sector SPDR Fund	1.24	1.76	1.26	1.37	5.07

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Key S&P Sectors Sharpe ratios as of May 21, 2025 (values are recalculated daily):

1-Year: 0.70
5-Year: 0.98
All Time: 0.62

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.54 to 1.03, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Key S&P Sectors compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Key S&P Sectors provided a 1.90% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.90%	1.94%	2.01%	2.12%	1.79%	2.15%	2.32%	2.30%	1.93%	2.10%	2.01%	1.65%
Portfolio components:
XLK Technology Select Sector SPDR Fund	0.67%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%	1.75%
XLY Consumer Discretionary Select Sector SPDR Fund	0.82%	0.72%	0.78%	1.00%	0.53%	0.82%	1.28%	1.34%	1.20%	1.71%	1.43%	1.31%
XLV Health Care Select Sector SPDR Fund	1.73%	1.67%	1.59%	1.47%	1.33%	1.49%	2.17%	1.57%	1.47%	1.60%	1.43%	1.35%
XLP Consumer Staples Select Sector SPDR Fund	2.47%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%	2.40%
XLU Utilities Select Sector SPDR Fund	2.75%	2.96%	3.39%	2.92%	2.79%	3.14%	2.95%	3.33%	3.33%	3.42%	3.67%	3.19%
XLB Materials Select Sector SPDR ETF	1.95%	1.92%	2.00%	2.26%	1.62%	1.72%	1.98%	2.20%	1.66%	1.95%	2.24%	1.97%
XLI Industrial Select Sector SPDR Fund	1.34%	1.44%	1.63%	1.64%	1.25%	1.55%	1.94%	2.15%	1.77%	2.07%	2.15%	1.85%
XLE Energy Select Sector SPDR Fund	3.42%	3.36%	3.55%	3.68%	4.21%	5.62%	5.73%	3.54%	3.03%	2.26%	3.39%	2.35%
XLF Financial Select Sector SPDR Fund	1.39%	1.42%	1.71%	2.04%	1.63%	2.03%	1.87%	2.08%	1.48%	1.63%	2.40%	1.98%
XLRE Real Estate Select Sector SPDR Fund	3.33%	3.43%	3.31%	3.70%	2.61%	3.15%	3.06%	3.78%	3.25%	4.22%	1.09%	0.00%
XLC Communication Services Select Sector SPDR Fund	1.02%	0.99%	0.82%	1.11%	0.74%	0.68%	0.81%	0.64%	0.00%	0.00%	0.00%	0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Key S&P Sectors. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Key S&P Sectors was 35.77%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.

The current Key S&P Sectors drawdown is 1.89%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-35.77%	Feb 18, 2020	25	Mar 23, 2020	114	Sep 2, 2020	139
-19.28%	Mar 30, 2022	136	Oct 12, 2022	194	Jul 24, 2023	330
-17.53%	Sep 24, 2018	64	Dec 24, 2018	68	Apr 3, 2019	132
-15.18%	Dec 2, 2024	87	Apr 8, 2025	—	—	—
-10.28%	Aug 1, 2023	63	Oct 27, 2023	32	Dec 13, 2023	95

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 11 assets, with an effective number of assets of 11.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	XLE	XLU	XLP	XLRE	XLV	XLK	XLC	XLY	XLF	XLB	XLI	Portfolio
^GSPC	1.00	0.48	0.42	0.56	0.60	0.70	0.91	0.83	0.87	0.75	0.76	0.82	0.94
XLE	0.48	1.00	0.23	0.27	0.28	0.33	0.31	0.34	0.37	0.60	0.58	0.59	0.61
XLU	0.42	0.23	1.00	0.63	0.66	0.48	0.26	0.30	0.30	0.37	0.41	0.42	0.55
XLP	0.56	0.27	0.63	1.00	0.62	0.62	0.39	0.42	0.44	0.50	0.54	0.54	0.65
XLRE	0.60	0.28	0.66	0.62	1.00	0.57	0.46	0.47	0.51	0.51	0.56	0.57	0.71
XLV	0.70	0.33	0.48	0.62	0.57	1.00	0.56	0.54	0.52	0.56	0.59	0.60	0.72
XLK	0.91	0.31	0.26	0.39	0.46	0.56	1.00	0.79	0.78	0.54	0.58	0.63	0.76
XLC	0.83	0.34	0.30	0.42	0.47	0.54	0.79	1.00	0.77	0.57	0.58	0.60	0.76
XLY	0.87	0.37	0.30	0.44	0.51	0.52	0.78	0.77	1.00	0.64	0.65	0.70	0.81
XLF	0.75	0.60	0.37	0.50	0.51	0.56	0.54	0.57	0.64	1.00	0.75	0.82	0.82
XLB	0.76	0.58	0.41	0.54	0.56	0.59	0.58	0.58	0.65	0.75	1.00	0.84	0.85
XLI	0.82	0.59	0.42	0.54	0.57	0.60	0.63	0.60	0.70	0.82	0.84	1.00	0.88
Portfolio	0.94	0.61	0.55	0.65	0.71	0.72	0.76	0.76	0.81	0.82	0.85	0.88	1.00

The correlation results are calculated based on daily price changes starting from Jun 20, 2018

Performance Analysis

Risk Analysis

Optimization

Factor Model

Key S&P Sectors

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community