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Defense
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


XLP 33.33%XLV 33.33%XLU 33.33%EquityEquity
PositionCategory/SectorWeight
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%

S&P 500

Performance

Performance Chart

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


200.00%300.00%400.00%500.00%600.00%NovemberDecember2024FebruaryMarchApril
539.57%
325.68%
Defense
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 22, 1998, corresponding to the inception date of XLP

Returns By Period

As of Apr 13, 2024, the Defense returned 2.39% Year-To-Date and 9.29% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.41%-0.81%18.38%23.57%12.02%10.79%
Defense2.39%-1.54%9.77%0.65%8.30%9.21%
XLP
Consumer Staples Select Sector SPDR Fund
2.62%-2.17%11.50%0.46%8.23%8.20%
XLV
Health Care Select Sector SPDR Fund
2.22%-4.47%7.56%4.92%10.95%11.14%
XLU
Utilities Select Sector SPDR Fund
2.21%2.15%10.19%-3.60%5.31%7.65%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.40%2.13%4.04%
2023-4.43%-1.11%4.90%2.95%

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.


0.50%1.00%1.50%2.00%0.13%
0.50%1.00%1.50%2.00%0.13%
0.50%1.00%1.50%2.00%0.12%

Risk-Adjusted Performance

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.


Defense
Sharpe ratio
The chart of Sharpe ratio for Defense, currently valued at 0.04, compared to the broader market0.002.004.000.04
Sortino ratio
The chart of Sortino ratio for Defense, currently valued at 0.13, compared to the broader market-2.000.002.004.006.000.13
Omega ratio
The chart of Omega ratio for Defense, currently valued at 1.02, compared to the broader market0.801.001.201.401.601.801.02
Calmar ratio
The chart of Calmar ratio for Defense, currently valued at 0.03, compared to the broader market0.002.004.006.008.0010.0012.000.03
Martin ratio
The chart of Martin ratio for Defense, currently valued at 0.09, compared to the broader market0.0010.0020.0030.0040.0050.000.09
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.63, compared to the broader market0.002.004.006.008.0010.0012.001.63
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.76, compared to the broader market0.0010.0020.0030.0040.0050.008.76

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XLP
Consumer Staples Select Sector SPDR Fund
0.040.121.010.030.06
XLV
Health Care Select Sector SPDR Fund
0.500.791.090.471.69
XLU
Utilities Select Sector SPDR Fund
-0.28-0.270.97-0.18-0.55

Sharpe Ratio

The current Defense Sharpe ratio is 0.04. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

0.002.004.000.04

The Sharpe ratio of Defense is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2024FebruaryMarchApril
0.04
2.15
Defense
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Defense granted a 2.61% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Defense2.61%2.53%2.29%2.13%2.38%2.56%2.64%2.47%2.51%2.54%2.31%2.59%
XLP
Consumer Staples Select Sector SPDR Fund
2.86%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.52%2.40%2.39%
XLV
Health Care Select Sector SPDR Fund
1.59%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%
XLU
Utilities Select Sector SPDR Fund
3.39%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.13%
-2.49%
Defense
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Defense. 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 Defense was 39.18%, occurring on Mar 9, 2009. Recovery took 538 trading sessions.

The current Defense drawdown is 4.13%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.18%Dec 11, 2007312Mar 9, 2009538Apr 26, 2011850
-33.27%May 22, 2001291Jul 23, 2002638Feb 2, 2005929
-29.47%Feb 19, 202024Mar 23, 2020140Oct 9, 2020164
-17.71%Jul 19, 1999155Feb 25, 2000150Sep 28, 2000305
-15.31%Apr 21, 2022121Oct 12, 2022

Volatility

Volatility Chart

The current Defense volatility is 2.96%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.96%
3.24%
Defense
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

XLUXLVXLP
XLU1.000.450.54
XLV0.451.000.58
XLP0.540.581.00