Defense
Defensive Portfolio
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
XLP Consumer Staples Select Sector SPDR Fund | Consumer Staples Equities | 33.33% |
XLV Health Care Select Sector SPDR Fund | Health & Biotech Equities | 33.33% |
XLU Utilities Select Sector SPDR Fund | Utilities Equities | 33.33% |
Performance
The chart shows the growth of an initial investment of $10,000 in Defense, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
Returns
As of May 27, 2023, the Defense returned -4.84% Year-To-Date and 9.98% of annualized return in the last 10 years.
| 1 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.86% | 9.53% | 4.45% | 1.14% | 9.36% | 9.79% |
| Defense | -5.34% | -4.84% | -5.45% | -4.94% | 10.40% | 10.15% |
| Portfolio components: | ||||||
XLP Consumer Staples Select Sector SPDR Fund | -5.18% | -1.03% | -2.54% | 0.46% | 11.04% | 8.89% |
XLV Health Care Select Sector SPDR Fund | -4.49% | -5.76% | -6.27% | -3.30% | 11.12% | 11.80% |
XLU Utilities Select Sector SPDR Fund | -6.36% | -7.71% | -7.53% | -11.68% | 8.47% | 9.09% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| XLU | XLV | XLP | |
|---|---|---|---|
| XLU | 1.00 | 0.45 | 0.54 |
| XLV | 0.45 | 1.00 | 0.58 |
| XLP | 0.54 | 0.58 | 1.00 |
Dividend yield
Defense granted a 2.96% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Defense | 2.96% | 2.30% | 2.20% | 2.52% | 2.78% | 2.96% | 2.85% | 2.98% | 3.10% | 2.90% | 3.35% | 4.06% |
| Portfolio components: | ||||||||||||
XLP Consumer Staples Select Sector SPDR Fund | 2.98% | 2.48% | 2.35% | 2.65% | 2.79% | 3.40% | 3.01% | 2.99% | 3.06% | 2.98% | 3.05% | 3.99% |
XLV Health Care Select Sector SPDR Fund | 1.95% | 1.47% | 1.35% | 1.54% | 2.27% | 1.68% | 1.60% | 1.77% | 1.61% | 1.53% | 1.76% | 2.36% |
XLU Utilities Select Sector SPDR Fund | 3.95% | 2.94% | 2.90% | 3.36% | 3.27% | 3.80% | 3.93% | 4.17% | 4.64% | 4.18% | 5.24% | 5.84% |
Expense Ratio
The Defense features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
XLP Consumer Staples Select Sector SPDR Fund | 0.18 | ||||
XLV Health Care Select Sector SPDR Fund | -0.08 | ||||
XLU Utilities Select Sector SPDR Fund | -0.47 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Defense. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Defense is 39.18%, recorded on Mar 9, 2009. It took 538 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -39.18% | Dec 11, 2007 | 312 | Mar 9, 2009 | 538 | Apr 26, 2011 | 850 |
| -33.27% | May 22, 2001 | 291 | Jul 23, 2002 | 638 | Feb 2, 2005 | 929 |
| -29.47% | Feb 19, 2020 | 24 | Mar 23, 2020 | 140 | Oct 9, 2020 | 164 |
| -17.71% | Jul 19, 1999 | 155 | Feb 25, 2000 | 150 | Sep 28, 2000 | 305 |
| -15.31% | Apr 21, 2022 | 121 | Oct 12, 2022 | — | — | — |
Volatility Chart
The current Defense volatility is 2.30%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.