PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

12 etf

Last updated Dec 2, 2023

12 broad diversified etf's for rebalancing

Asset Allocation


VONG 20%SCHD 10%VEA 10%XLK 10%XLY 8%XLV 8%XLI 8%XLF 8%XLE 5%XLP 5%XLB 4%XLU 4%EquityEquity
PositionCategory/SectorWeight
VONG
Vanguard Russell 1000 Growth ETF
Large Cap Blend Equities20%
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend10%
VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities10%
XLK
Technology Select Sector SPDR Fund
Technology Equities10%
XLY
Consumer Discretionary Select Sector SPDR Fund
Consumer Discretionary Equities8%
XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities8%
XLI
Industrial Select Sector SPDR Fund
Industrials Equities8%
XLF
Financial Select Sector SPDR Fund
Financials Equities8%
XLE
Energy Select Sector SPDR Fund
Energy Equities5%
XLP
Consumer Staples Select Sector SPDR Fund
Consumer Staples Equities5%
XLB
Materials Select Sector SPDR ETF
Materials4%
XLU
Utilities Select Sector SPDR Fund
Utilities Equities4%

Performance

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 Quarterly


250.00%300.00%350.00%JulyAugustSeptemberOctoberNovemberDecember
369.95%
278.04%
12 etf
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns

As of Dec 2, 2023, the 12 etf returned 17.04% Year-To-Date and 11.89% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
12 etf17.04%6.41%7.28%11.13%12.53%11.91%
VONG
Vanguard Russell 1000 Growth ETF
37.15%9.75%10.82%26.57%16.44%14.75%
SCHD
Schwab US Dividend Equity ETF
-0.57%7.34%4.56%-4.12%10.96%10.76%
VEA
Vanguard FTSE Developed Markets ETF
12.86%8.81%2.61%9.46%6.25%4.41%
XLK
Technology Select Sector SPDR Fund
50.10%11.01%11.67%37.58%23.62%19.96%
XLY
Consumer Discretionary Select Sector SPDR Fund
33.37%11.11%9.39%18.19%10.76%11.58%
XLV
Health Care Select Sector SPDR Fund
-1.78%5.63%1.99%-3.90%8.45%10.96%
XLI
Industrial Select Sector SPDR Fund
12.08%10.19%8.60%8.70%10.40%10.21%
XLE
Energy Select Sector SPDR Fund
-0.16%0.04%8.17%-2.89%10.42%3.64%
XLP
Consumer Staples Select Sector SPDR Fund
-3.03%4.66%-2.26%-5.25%7.59%7.96%
XLB
Materials Select Sector SPDR ETF
8.83%9.53%7.13%2.70%11.13%8.86%
XLU
Utilities Select Sector SPDR Fund
-7.74%5.23%-0.85%-8.12%6.02%8.82%
XLF
Financial Select Sector SPDR Fund
7.25%11.05%11.27%2.24%8.29%12.25%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-1.04%6.66%3.31%-1.93%-4.45%-2.56%8.64%

Sharpe Ratio

The current 12 etf Sharpe ratio is 0.84. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.000.84

The Sharpe ratio of 12 etf lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
0.84
0.91
12 etf
Benchmark (^GSPC)
Portfolio components

Dividend yield

12 etf granted a 1.87% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
12 etf1.87%1.94%1.65%1.84%2.12%2.16%1.87%2.08%2.19%2.05%1.87%2.24%
VONG
Vanguard Russell 1000 Growth ETF
0.71%0.98%0.58%0.77%1.03%1.18%1.19%1.48%1.47%1.43%1.28%1.69%
SCHD
Schwab US Dividend Equity ETF
3.58%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%2.86%
VEA
Vanguard FTSE Developed Markets ETF
3.00%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%2.97%
XLK
Technology Select Sector SPDR Fund
0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%1.74%
XLY
Consumer Discretionary Select Sector SPDR Fund
0.84%1.00%0.53%0.82%1.28%1.34%1.20%1.71%1.43%1.31%1.16%1.60%
XLV
Health Care Select Sector SPDR Fund
1.61%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%2.00%
XLI
Industrial Select Sector SPDR Fund
1.57%1.63%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%1.68%2.27%
XLE
Energy Select Sector SPDR Fund
3.57%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%1.78%
XLP
Consumer Staples Select Sector SPDR Fund
2.66%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.52%2.40%2.39%3.06%
XLB
Materials Select Sector SPDR ETF
1.95%2.26%1.62%1.72%1.98%2.20%1.66%1.95%2.24%1.97%2.08%2.27%
XLU
Utilities Select Sector SPDR Fund
3.34%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%4.14%
XLF
Financial Select Sector SPDR Fund
1.85%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%2.16%

Expense Ratio

The 12 etf features an expense ratio of 0.10%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.13%
0.00%2.15%
0.12%
0.00%2.15%
0.08%
0.00%2.15%
0.06%
0.00%2.15%
0.05%
0.00%2.15%

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
VONG
Vanguard Russell 1000 Growth ETF
1.59
SCHD
Schwab US Dividend Equity ETF
-0.30
VEA
Vanguard FTSE Developed Markets ETF
0.74
XLK
Technology Select Sector SPDR Fund
1.91
XLY
Consumer Discretionary Select Sector SPDR Fund
0.88
XLV
Health Care Select Sector SPDR Fund
-0.31
XLI
Industrial Select Sector SPDR Fund
0.57
XLE
Energy Select Sector SPDR Fund
-0.14
XLP
Consumer Staples Select Sector SPDR Fund
-0.51
XLB
Materials Select Sector SPDR ETF
0.16
XLU
Utilities Select Sector SPDR Fund
-0.47
XLF
Financial Select Sector SPDR Fund
0.10

Asset Correlations Table

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

XLUXLEXLPXLVXLKXLFXLYXLBVEAVONGXLISCHD
XLU1.000.250.610.430.310.320.330.360.360.360.390.49
XLE0.251.000.360.420.420.620.470.650.600.460.630.66
XLP0.610.361.000.620.510.530.560.550.560.580.590.75
XLV0.430.420.621.000.630.600.610.610.640.720.640.72
XLK0.310.420.510.631.000.620.780.650.710.930.680.71
XLF0.320.620.530.600.621.000.690.750.720.660.810.81
XLY0.330.470.560.610.780.691.000.690.720.870.730.74
XLB0.360.650.550.610.650.750.691.000.770.700.830.81
VEA0.360.600.560.640.710.720.720.771.000.760.760.77
VONG0.360.460.580.720.930.660.870.700.761.000.740.75
XLI0.390.630.590.640.680.810.730.830.760.741.000.88
SCHD0.490.660.750.720.710.810.740.810.770.750.881.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-0.02%
-4.21%
12 etf
Benchmark (^GSPC)
Portfolio components

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.49%Feb 20, 202023Mar 23, 202097Aug 10, 2020120
-21.49%Jan 5, 2022186Sep 30, 2022199Jul 19, 2023385
-19.23%Sep 21, 201865Dec 24, 201875Apr 12, 2019140
-13.41%May 22, 2015183Feb 11, 201677Jun 2, 2016260
-10.25%Aug 1, 202363Oct 27, 2023

Volatility Chart

The current 12 etf volatility is 2.85%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
2.85%
2.79%
12 etf
Benchmark (^GSPC)
Portfolio components
0 comments