12 etf

Asset Allocation

Position	Category/Sector	Target Weight
VONG Vanguard Russell 1000 Growth ETF	Large Cap Growth Equities	20%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	10%
VEA Vanguard FTSE Developed Markets ETF	Foreign Large Cap Equities	10%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	10%
XLY Consumer Discretionary Select Sector SPDR Fund	Consumer Discretionary Equities	8%
XLV State Street Health Care Select Sector SPDR ETF	Health & Biotech Equities	8%
XLI Industrial Select Sector SPDR Fund	Industrials Equities	8%
XLF State Street Financial Select Sector SPDR ETF	Financials Equities	8%
XLE State Street Energy Select Sector SPDR ETF	Energy Equities	5%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	5%
XLB Materials Select Sector SPDR ETF	Materials	4%
XLU State Street Utilities Select Sector SPDR ETF	Utilities Equities	4%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 12 etf, 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 Every 3 months.

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Returns By Period

As of Jun 13, 2026, the 12 etf returned 11.58% Year-To-Date and 14.97% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	-0.93%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio 12 etf	0.58%	0.68%	11.58%	11.69%	25.16%	18.91%	12.55%	14.97%
Portfolio components:
SCHD Schwab U.S. Dividend Equity ETF	0.89%	3.21%	20.66%	19.57%	26.72%	14.90%	8.75%	12.91%
VEA Vanguard FTSE Developed Markets ETF	0.34%	1.40%	14.73%	16.65%	31.41%	19.03%	9.51%	10.72%
VONG Vanguard Russell 1000 Growth ETF	0.10%	-3.37%	2.96%	3.46%	20.50%	22.47%	14.01%	18.29%
XLB Materials Select Sector SPDR ETF	1.87%	0.99%	15.57%	16.68%	21.77%	10.88%	6.01%	10.54%
XLE State Street Energy Select Sector SPDR ETF	0.75%	-0.90%	29.56%	28.37%	34.84%	16.18%	20.12%	9.91%
XLF State Street Financial Select Sector SPDR ETF	1.37%	4.00%	-2.11%	-2.09%	8.41%	18.86%	9.15%	13.33%
XLI Industrial Select Sector SPDR Fund	0.59%	0.96%	13.90%	13.10%	25.17%	20.87%	12.93%	14.15%
XLK State Street Technology Select Sector SPDR ETF	0.87%	2.95%	28.52%	28.96%	55.42%	30.28%	22.02%	25.19%
XLP State Street Consumer Staples Select Sector SPDR ETF	0.65%	0.99%	11.10%	9.54%	8.93%	8.26%	6.65%	7.60%
XLU State Street Utilities Select Sector SPDR ETF	1.09%	-0.82%	5.04%	5.48%	12.50%	13.79%	9.41%	9.20%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 20, 2011, 12 etf's average daily return is +0.06%, while the average monthly return is +1.21%. At this rate, an investment would double in approximately 4.8 years.

Historically, 70% of months were positive and 30% were negative. The best month was Apr 2020 with a return of +13.0%, while the worst month was Mar 2020 at -12.9%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.

On a daily basis, 12 etf closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.6%, while the worst single day was Mar 16, 2020 at -11.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.12%	2.30%	-4.72%	7.60%	3.98%	-0.78%							11.58%
2025	3.17%	-0.38%	-3.89%	-1.15%	5.24%	4.02%	1.41%	2.58%	2.46%	1.22%	0.81%	0.40%	16.73%
2024	0.47%	4.64%	3.36%	-3.80%	3.77%	1.84%	2.24%	2.49%	1.94%	-1.41%	5.70%	-3.77%	18.33%
2023	5.98%	-2.48%	2.77%	1.08%	-1.04%	6.65%	3.31%	-1.93%	-4.45%	-2.56%	8.62%	4.75%	21.61%
2022	-4.29%	-2.07%	3.86%	-7.63%	0.83%	-8.54%	8.81%	-3.71%	-8.87%	8.69%	6.22%	-5.02%	-13.17%
2021	-0.89%	3.23%	4.93%	4.57%	1.25%	1.64%	1.62%	2.49%	-4.07%	7.01%	-1.32%	4.61%	27.51%

Benchmark Metrics

12 etf has an annualized alpha of 1.84%, beta of 0.95, and R2 of 0.98 versus S&P 500 Index. Calculated based on daily prices since October 20, 2011.

This portfolio captured 100.33% of S&P 500 Index gains but only 92.67% of its losses - a favorable profile for investors.
With beta of 0.95 and R2 of 0.98, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha: 1.84%

Beta: 0.95

R²: 0.98

Upside Capture: 100.33%

Downside Capture: 92.67%

See how alpha, beta & R² have trended over time →

Expense Ratio

12 etf has an expense ratio of 0.08%, 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.

Top 10 holdings

XLY

Consumer Discretionary Select Sector SPDR Fund

XLB

Materials Select Sector SPDR ETF

XLK

State Street Technology Select Sector SPDR ETF

XLV

State Street Health Care Select Sector SPDR ETF

XLI

Industrial Select Sector SPDR Fund

XLE

State Street Energy Select Sector SPDR ETF

XLP

State Street Consumer Staples Select Sector SPDR ETF

XLU

State Street Utilities Select Sector SPDR ETF

XLF

State Street Financial Select Sector SPDR ETF

VONG

Vanguard Russell 1000 Growth ETF

Return for Risk

Risk / Return Rank

12 etf ranks 70 for risk / return — better than 70% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for 12 etf and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.18	1.86	+0.32
Sortino ratioReturn per unit of downside risk	3.00	2.53	+0.47
Omega ratioGain probability vs. loss probability	1.40	1.34	+0.06
Calmar ratioReturn relative to maximum drawdown	3.37	2.53	+0.84
Martin ratioReturn relative to average drawdown	14.45	11.37	+3.08

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
SCHD Schwab U.S. Dividend Equity ETF	86	2.41	3.72	1.43	5.70	13.97
VEA Vanguard FTSE Developed Markets ETF	60	1.81	2.50	1.33	2.58	9.92
VONG Vanguard Russell 1000 Growth ETF	33	1.20	1.67	1.21	1.17	3.87
XLB Materials Select Sector SPDR ETF	35	1.17	1.73	1.20	1.65	5.05
XLE State Street Energy Select Sector SPDR ETF	58	1.82	2.40	1.30	3.10	8.63
XLF State Street Financial Select Sector SPDR ETF	15	0.42	0.67	1.08	0.42	1.08
XLI Industrial Select Sector SPDR Fund	47	1.50	2.17	1.26	1.98	7.82
XLK State Street Technology Select Sector SPDR ETF	74	2.37	2.92	1.39	3.36	10.85
XLP State Street Consumer Staples Select Sector SPDR ETF	19	0.59	0.94	1.11	0.79	1.52
XLU State Street Utilities Select Sector SPDR ETF	25	0.81	1.18	1.15	1.30	2.80

Sharpe Ratio

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.

The current 12 etf Sharpe ratio is 2.18 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.54 to 2.41, 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 12 etf compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

12 etf provided a 1.55% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.55%	1.73%	1.80%	1.86%	1.94%	1.65%	1.84%	2.17%	2.16%	1.87%	3.64%	2.15%
Portfolio components:
SCHD Schwab U.S. Dividend Equity ETF	3.22%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
VEA Vanguard FTSE Developed Markets ETF	2.62%	3.22%	3.35%	3.15%	2.91%	3.16%	2.04%	3.04%	3.35%	2.77%	3.05%	2.92%
VONG Vanguard Russell 1000 Growth ETF	0.44%	0.45%	0.55%	0.71%	0.98%	0.58%	0.77%	1.03%	1.18%	1.19%	1.48%	1.47%
XLB Materials Select Sector SPDR ETF	1.68%	1.92%	1.92%	2.00%	2.26%	1.62%	1.72%	1.98%	2.20%	1.66%	1.95%	2.24%
XLE State Street Energy Select Sector SPDR ETF	2.59%	3.28%	3.36%	3.55%	3.68%	4.21%	5.62%	6.72%	3.54%	3.03%	2.26%	3.39%
XLF State Street Financial Select Sector SPDR ETF	1.49%	1.31%	1.42%	1.71%	2.04%	1.63%	2.03%	1.87%	2.08%	1.48%	21.10%	1.95%
XLI Industrial Select Sector SPDR Fund	1.16%	1.29%	1.44%	1.63%	1.63%	1.25%	1.55%	1.94%	2.15%	1.77%	2.07%	2.15%
XLK State Street Technology Select Sector SPDR ETF	0.41%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%
XLP State Street Consumer Staples Select Sector SPDR ETF	2.53%	2.75%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%
XLU State Street Utilities Select Sector SPDR ETF	2.67%	2.71%	2.96%	3.39%	2.92%	2.79%	3.14%	2.95%	3.33%	3.33%	3.41%	3.67%

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 12 etf. 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 12 etf was 34.49%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.

The current 12 etf drawdown is 1.09%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-34.49%Mar 2020	1mo 2d	4mo 20d	5mo 22dFeb 2020 - Aug 2020
Bear market2022	-21.49%Sep 2022	8mo 28d	9mo 22d	1y 6moJan 2022 - Jul 2023
Rate-hike selloffLate 2018	-19.23%Dec 2018	3mo 4d	3mo 19d	6mo 23dSep 2018 - Apr 2019
2025 selloff2025	-16.53%Apr 2025	1mo 17d	2mo 5d	3mo 22dFeb 2025 - Jun 2025
2016 correction2016	-13.43%Feb 2016	8mo 25d	3mo 26d	1y 16dMay 2015 - Jun 2016

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 12 assets, with an effective number of assets of 9.63, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.48	1.29	1.22	1.17	1.16

The portfolio has a diversification ratio of 1.16, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

12 etf correlation to the S&P 500 Index

12 etf has a 0.94 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.98
Correlation (10Y) Calculated over the trailing 10-year period	0.98
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011	0.98

Benchmark Correlations

Correlation vs. S&P 500 Index. VONG has the highest benchmark correlation at 0.94, while XLU has the lowest at 0.40.

0.40

0.53

0.58

0.71

0.77

0.78

0.81

0.82

0.83

0.86

0.89

0.94

Portfolio Correlations

Correlation vs. 12 etf. VONG has the highest portfolio correlation at 0.90, while XLU has the lowest at 0.44.

0.44

0.59

0.61

0.73

0.80

0.82

0.84

0.86

0.86

0.87

0.87

0.90

Asset Correlations Table

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

	XLU	XLE	XLP	XLV	XLK	XLF	XLY	XLB	VEA	VONG	XLI	SCHD
XLU	1.00	0.25	0.58	0.41	0.26	0.32	0.30	0.37	0.36	0.31	0.39	0.48
XLE	0.25	1.00	0.32	0.36	0.36	0.56	0.41	0.60	0.53	0.39	0.58	0.64
XLP	0.58	0.32	1.00	0.60	0.41	0.50	0.49	0.53	0.51	0.47	0.54	0.71
XLV	0.41	0.36	0.60	1.00	0.55	0.58	0.56	0.59	0.61	0.64	0.61	0.70
XLK	0.26	0.36	0.41	0.55	1.00	0.57	0.75	0.60	0.69	0.93	0.65	0.62
XLF	0.32	0.56	0.50	0.58	0.57	1.00	0.66	0.72	0.69	0.62	0.79	0.78
XLY	0.30	0.41	0.49	0.56	0.75	0.66	1.00	0.66	0.70	0.85	0.71	0.69
XLB	0.37	0.60	0.53	0.59	0.60	0.72	0.66	1.00	0.75	0.65	0.82	0.79
VEA	0.36	0.53	0.51	0.61	0.69	0.69	0.70	0.75	1.00	0.73	0.74	0.73
VONG	0.31	0.39	0.47	0.64	0.93	0.62	0.85	0.65	0.73	1.00	0.71	0.66
XLI	0.39	0.58	0.54	0.61	0.65	0.79	0.71	0.82	0.74	0.71	1.00	0.84
SCHD	0.48	0.64	0.71	0.70	0.62	0.78	0.69	0.79	0.73	0.66	0.84	1.00

The correlation results are calculated based on daily price changes starting from Oct 20, 2011

Diversification Analysis

Find what 12 etf is missing

See which holdings overlap, where 12 etf is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification