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12 etf
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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

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 Quarterly


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.82%
14.58%
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 By Period

As of Nov 27, 2024, the 12 etf returned 22.49% Year-To-Date and 12.73% of annualized return in the last 10 years.


YTD1M6M1Y5Y (annualized)10Y (annualized)
^GSPC
S&P 500
25.76%2.84%14.58%31.82%13.85%11.34%
12 etf22.20%3.35%13.82%28.61%14.98%12.78%
VONG
Vanguard Russell 1000 Growth ETF
31.07%2.27%16.25%36.93%19.26%16.52%
SCHD
Schwab US Dividend Equity ETF
19.21%4.81%16.73%27.65%13.03%11.71%
VEA
Vanguard FTSE Developed Markets ETF
5.62%-1.99%0.04%11.47%6.01%5.35%
XLK
Technology Select Sector SPDR Fund
20.94%-0.75%10.76%26.18%22.51%20.19%
XLY
Consumer Discretionary Select Sector SPDR Fund
23.85%9.89%26.27%31.25%13.47%13.30%
XLV
Health Care Select Sector SPDR Fund
8.97%-0.98%4.55%15.11%10.00%9.56%
XLI
Industrial Select Sector SPDR Fund
26.84%5.57%18.12%37.29%13.69%11.89%
XLE
Energy Select Sector SPDR Fund
16.24%8.29%6.31%17.11%15.55%5.80%
XLP
Consumer Staples Select Sector SPDR Fund
17.29%2.97%10.14%21.68%8.83%8.25%
XLB
Materials Select Sector SPDR ETF
11.66%0.18%5.23%17.87%11.73%9.05%
XLU
Utilities Select Sector SPDR Fund
33.95%4.57%17.74%37.03%9.06%9.60%
XLF
Financial Select Sector SPDR Fund
37.88%9.25%25.85%46.76%13.46%12.21%

Monthly Returns

The table below presents the monthly returns of 12 etf, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.47%4.64%3.36%-3.80%3.77%1.84%2.24%2.49%1.94%-1.41%22.20%
20235.98%-2.48%2.77%1.08%-1.04%6.66%3.31%-1.93%-4.45%-2.56%8.62%4.75%21.62%
2022-4.29%-2.07%3.86%-7.63%0.83%-8.55%8.81%-3.71%-8.87%8.69%6.22%-5.02%-13.18%
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%
2020-0.62%-8.46%-12.85%12.97%5.04%1.87%5.30%6.55%-3.24%-2.28%12.21%3.83%18.45%
20197.78%3.44%1.74%3.72%-6.50%7.20%0.98%-1.58%2.15%1.95%3.34%2.93%29.82%
20185.55%-4.07%-2.19%0.44%2.06%0.45%3.61%2.54%0.66%-7.39%2.08%-8.49%-5.66%
20172.19%3.48%0.55%1.29%1.77%0.42%2.13%0.37%2.23%2.56%3.00%1.27%23.38%
2016-4.87%0.09%6.85%0.65%1.29%0.27%3.79%-0.12%0.25%-1.86%3.34%1.76%11.53%
2015-2.13%5.67%-1.54%1.14%0.96%-2.30%2.05%-6.04%-2.53%8.31%0.19%-1.81%1.14%
2014-3.48%4.89%0.43%0.74%2.27%1.90%-1.75%3.67%-1.49%2.15%2.60%-0.73%11.43%
20135.06%1.09%3.67%2.42%1.44%-1.53%5.23%-2.62%3.99%4.48%2.51%2.47%31.72%

Expense Ratio

12 etf has an expense ratio of 0.10%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLY: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLI: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLP: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLB: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLU: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLF: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VONG: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%
Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%
Expense ratio chart for VEA: current value at 0.05% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.05%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 12 etf is 72, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of 12 etf is 7272
Overall Rank
The Sharpe Ratio Rank of 12 etf is 7171
Sharpe Ratio Rank
The Sortino Ratio Rank of 12 etf is 7070
Sortino Ratio Rank
The Omega Ratio Rank of 12 etf is 7373
Omega Ratio Rank
The Calmar Ratio Rank of 12 etf is 7070
Calmar Ratio Rank
The Martin Ratio Rank of 12 etf is 7474
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.


Sharpe ratio
The chart of Sharpe ratio for 12 etf, currently valued at 2.59, compared to the broader market0.002.004.006.002.592.59
The chart of Sortino ratio for 12 etf, currently valued at 3.51, compared to the broader market-2.000.002.004.006.003.513.45
The chart of Omega ratio for 12 etf, currently valued at 1.48, compared to the broader market0.801.001.201.401.601.802.001.481.48
The chart of Calmar ratio for 12 etf, currently valued at 3.87, compared to the broader market0.005.0010.0015.003.873.74
The chart of Martin ratio for 12 etf, currently valued at 16.75, compared to the broader market0.0010.0020.0030.0040.0050.0060.0016.7516.58
12 etf
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VONG
Vanguard Russell 1000 Growth ETF
2.192.851.402.8011.01
SCHD
Schwab US Dividend Equity ETF
2.533.631.444.1313.76
VEA
Vanguard FTSE Developed Markets ETF
0.921.331.161.464.08
XLK
Technology Select Sector SPDR Fund
1.211.671.231.555.33
XLY
Consumer Discretionary Select Sector SPDR Fund
1.742.381.291.648.34
XLV
Health Care Select Sector SPDR Fund
1.401.951.261.545.18
XLI
Industrial Select Sector SPDR Fund
2.813.961.506.3919.58
XLE
Energy Select Sector SPDR Fund
0.911.321.161.222.84
XLP
Consumer Staples Select Sector SPDR Fund
2.032.901.352.1411.88
XLB
Materials Select Sector SPDR ETF
1.381.921.232.486.27
XLU
Utilities Select Sector SPDR Fund
2.283.101.391.8410.94
XLF
Financial Select Sector SPDR Fund
3.454.841.634.2424.76

The current 12 etf Sharpe ratio is 2.64. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.90 to 2.76, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of 12 etf with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.59
2.59
12 etf
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

12 etf provided a 1.67% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.67%1.86%1.94%1.65%1.84%2.12%2.16%1.87%2.08%2.15%2.03%1.84%
VONG
Vanguard Russell 1000 Growth ETF
0.59%0.71%0.98%0.58%0.77%1.03%1.18%1.19%1.48%1.47%1.43%1.28%
SCHD
Schwab US Dividend Equity ETF
3.32%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
VEA
Vanguard FTSE Developed Markets ETF
3.02%3.16%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%
XLK
Technology Select Sector SPDR Fund
0.67%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%
XLY
Consumer Discretionary Select Sector SPDR Fund
0.68%0.78%1.00%0.53%0.82%1.28%1.34%1.20%1.71%1.43%1.31%1.16%
XLV
Health Care Select Sector SPDR Fund
1.55%1.59%1.47%1.33%1.49%2.17%1.58%1.47%1.60%1.43%1.35%1.52%
XLI
Industrial Select Sector SPDR Fund
1.29%1.63%1.64%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%1.68%
XLE
Energy Select Sector SPDR Fund
3.13%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%
XLP
Consumer Staples Select Sector SPDR Fund
2.55%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.53%2.40%2.39%
XLB
Materials Select Sector SPDR ETF
1.87%2.00%2.26%1.62%1.72%1.98%2.20%1.66%1.95%2.24%1.97%2.08%
XLU
Utilities Select Sector SPDR Fund
2.67%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.42%3.67%3.19%3.86%
XLF
Financial Select Sector SPDR Fund
1.30%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%1.95%1.61%1.47%

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.


-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.24%
-0.38%
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
-13.43%May 22, 2015183Feb 11, 201679Jun 6, 2016262
-10.25%Aug 1, 202363Oct 27, 202329Dec 8, 202392

Volatility

Volatility Chart

The current 12 etf volatility is 3.44%, 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.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
3.44%
4.03%
12 etf
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.

XLUXLEXLPXLVXLKXLFXLYXLBVEAVONGXLISCHD
XLU1.000.250.600.420.280.320.320.360.360.330.390.49
XLE0.251.000.350.400.400.610.450.630.580.430.620.65
XLP0.600.351.000.620.480.520.540.540.550.550.570.73
XLV0.420.400.621.000.600.600.600.600.630.700.630.71
XLK0.280.400.480.601.000.590.770.630.700.930.670.68
XLF0.320.610.520.600.591.000.670.740.710.640.800.81
XLY0.320.450.540.600.770.671.000.680.710.860.730.72
XLB0.360.630.540.600.630.740.681.000.760.680.830.80
VEA0.360.580.550.630.700.710.710.761.000.740.750.76
VONG0.330.430.550.700.930.640.860.680.741.000.730.72
XLI0.390.620.570.630.670.800.730.830.750.731.000.87
SCHD0.490.650.730.710.680.810.720.800.760.720.871.00
The correlation results are calculated based on daily price changes starting from Oct 21, 2011
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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