Asset Allocation
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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The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD
Returns By Period
As of Apr 4, 2026, the 12 etf returned 0.97% Year-To-Date and 13.93% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
Portfolio 12 etf | -0.11% | -3.44% | 0.97% | 2.71% | 23.62% | 16.72% | 11.61% | 13.93% |
| Portfolio components: | ||||||||
VONG Vanguard Russell 1000 Growth ETF | -0.01% | -4.93% | -8.98% | -8.25% | 24.87% | 21.43% | 12.55% | 16.78% |
SCHD Schwab U.S. Dividend Equity ETF | 0.16% | -2.29% | 12.35% | 13.59% | 18.75% | 11.70% | 8.35% | 12.30% |
VEA Vanguard FTSE Developed Markets ETF | -0.77% | -3.90% | 3.65% | 7.84% | 33.16% | 16.09% | 8.76% | 9.49% |
XLK State Street Technology Select Sector SPDR ETF | 0.80% | -2.63% | -5.43% | -4.21% | 40.11% | 22.58% | 15.84% | 21.15% |
XLY Consumer Discretionary Select Sector SPDR Fund | -1.50% | -6.89% | -9.25% | -8.70% | 14.12% | 14.37% | 5.86% | 11.80% |
XLV State Street Health Care Select Sector SPDR ETF | -0.62% | -6.14% | -4.77% | 2.22% | 4.40% | 5.64% | 6.45% | 9.60% |
XLI Industrial Select Sector SPDR Fund | -0.40% | -6.67% | 5.87% | 6.72% | 31.88% | 19.11% | 12.34% | 13.48% |
XLE State Street Energy Select Sector SPDR ETF | 0.47% | 6.14% | 33.39% | 35.30% | 41.00% | 14.70% | 23.16% | 11.36% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 0.53% | -5.52% | 6.01% | 6.38% | 2.60% | 5.77% | 6.56% | 7.15% |
XLB Materials Select Sector SPDR ETF | -0.10% | -2.48% | 11.65% | 13.28% | 23.73% | 9.62% | 6.98% | 10.69% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 21, 2011, 12 etf's average daily return is +0.06%, while the average monthly return is +1.17%. At this rate, your investment would double in approximately 5.0 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% | 0.46% | 0.97% | ||||||||
| 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 1.98%, beta of 0.95, and R² of 0.98 versus S&P 500 Index. Calculated based on daily prices since October 21, 2011.
- This portfolio captured 101.47% of S&P 500 Index gains but only 93.11% 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
- 1.98%
- Beta
- 0.95
- R²
- 0.98
- Upside Capture
- 101.47%
- Downside Capture
- 93.11%
Expense Ratio
12 etf has an expense ratio of 0.09%, 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
Return for Risk
Risk / Return Rank
12 etf ranks 40 for risk / return — below 40% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.09 | 0.88 | +0.21 |
Sortino ratioReturn per unit of downside risk | 1.63 | 1.37 | +0.26 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.21 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.56 | 1.39 | +0.17 |
Martin ratioReturn relative to average drawdown | 7.89 | 6.43 | +1.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VONG Vanguard Russell 1000 Growth ETF | 38 | 0.80 | 1.30 | 1.18 | 1.15 | 3.86 |
SCHD Schwab U.S. Dividend Equity ETF | 40 | 0.89 | 1.34 | 1.19 | 1.09 | 3.69 |
VEA Vanguard FTSE Developed Markets ETF | 81 | 1.73 | 2.36 | 1.35 | 2.64 | 10.14 |
XLK State Street Technology Select Sector SPDR ETF | 60 | 1.13 | 1.71 | 1.24 | 1.98 | 6.27 |
XLY Consumer Discretionary Select Sector SPDR Fund | 20 | 0.31 | 0.63 | 1.08 | 0.62 | 2.01 |
XLV State Street Health Care Select Sector SPDR ETF | 15 | 0.20 | 0.40 | 1.05 | 0.39 | 0.83 |
XLI Industrial Select Sector SPDR Fund | 66 | 1.28 | 1.84 | 1.26 | 2.07 | 7.98 |
XLE State Street Energy Select Sector SPDR ETF | 53 | 1.19 | 1.58 | 1.23 | 1.60 | 4.21 |
XLP State Street Consumer Staples Select Sector SPDR ETF | 15 | 0.23 | 0.43 | 1.05 | 0.30 | 0.71 |
XLB Materials Select Sector SPDR ETF | 41 | 0.87 | 1.36 | 1.17 | 1.31 | 4.52 |
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Dividends
Dividend yield
12 etf provided a 1.65% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.65% | 1.73% | 1.80% | 1.86% | 1.94% | 1.65% | 1.84% | 2.17% | 2.16% | 1.87% | 3.64% | 2.15% |
| Portfolio components: | ||||||||||||
VONG Vanguard Russell 1000 Growth ETF | 0.50% | 0.45% | 0.55% | 0.71% | 0.98% | 0.58% | 0.77% | 1.03% | 1.18% | 1.19% | 1.48% | 1.47% |
SCHD Schwab U.S. Dividend Equity ETF | 3.45% | 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 | 2.90% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
XLK State Street Technology Select Sector SPDR ETF | 0.56% | 0.54% | 0.66% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.83% | 0.79% | 0.72% | 0.78% | 1.00% | 0.53% | 0.82% | 1.28% | 1.34% | 1.20% | 1.71% | 1.43% |
XLV State Street Health Care Select Sector SPDR ETF | 1.71% | 1.60% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.57% | 1.47% | 1.60% | 1.43% |
XLI Industrial Select Sector SPDR Fund | 1.25% | 1.29% | 1.44% | 1.63% | 1.63% | 1.25% | 1.55% | 1.94% | 2.15% | 1.77% | 2.07% | 2.15% |
XLE State Street Energy Select Sector SPDR ETF | 2.52% | 3.28% | 3.36% | 3.55% | 3.68% | 4.21% | 5.62% | 6.72% | 3.54% | 3.03% | 2.26% | 3.39% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 2.66% | 2.75% | 2.77% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% |
XLB Materials Select Sector SPDR ETF | 1.73% | 1.92% | 1.92% | 2.00% | 2.26% | 1.62% | 1.72% | 1.98% | 2.20% | 1.66% | 1.95% | 2.24% |
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 4.45%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.49% | Feb 20, 2020 | 23 | Mar 23, 2020 | 97 | Aug 10, 2020 | 120 |
| -21.49% | Jan 5, 2022 | 186 | Sep 30, 2022 | 199 | Jul 19, 2023 | 385 |
| -19.23% | Sep 21, 2018 | 65 | Dec 24, 2018 | 75 | Apr 12, 2019 | 140 |
| -16.53% | Feb 20, 2025 | 34 | Apr 8, 2025 | 45 | Jun 12, 2025 | 79 |
| -13.43% | May 22, 2015 | 183 | Feb 11, 2016 | 79 | Jun 6, 2016 | 262 |
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. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | XLU | XLE | XLP | XLV | XLK | XLF | XLY | XLB | VEA | VONG | XLI | SCHD | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.41 | 0.55 | 0.59 | 0.72 | 0.89 | 0.79 | 0.86 | 0.78 | 0.81 | 0.94 | 0.84 | 0.82 | 0.98 |
| XLU | 0.41 | 1.00 | 0.25 | 0.59 | 0.41 | 0.27 | 0.32 | 0.31 | 0.37 | 0.36 | 0.32 | 0.39 | 0.48 | 0.44 |
| XLE | 0.55 | 0.25 | 1.00 | 0.33 | 0.37 | 0.37 | 0.57 | 0.42 | 0.61 | 0.55 | 0.40 | 0.59 | 0.65 | 0.60 |
| XLP | 0.59 | 0.59 | 0.33 | 1.00 | 0.60 | 0.42 | 0.50 | 0.50 | 0.53 | 0.52 | 0.49 | 0.54 | 0.72 | 0.62 |
| XLV | 0.72 | 0.41 | 0.37 | 0.60 | 1.00 | 0.56 | 0.59 | 0.57 | 0.60 | 0.61 | 0.65 | 0.62 | 0.71 | 0.73 |
| XLK | 0.89 | 0.27 | 0.37 | 0.42 | 0.56 | 1.00 | 0.58 | 0.75 | 0.61 | 0.69 | 0.93 | 0.66 | 0.63 | 0.85 |
| XLF | 0.79 | 0.32 | 0.57 | 0.50 | 0.59 | 0.58 | 1.00 | 0.66 | 0.72 | 0.69 | 0.63 | 0.79 | 0.79 | 0.80 |
| XLY | 0.86 | 0.31 | 0.42 | 0.50 | 0.57 | 0.75 | 0.66 | 1.00 | 0.67 | 0.70 | 0.85 | 0.72 | 0.69 | 0.86 |
| XLB | 0.78 | 0.37 | 0.61 | 0.53 | 0.60 | 0.61 | 0.72 | 0.67 | 1.00 | 0.75 | 0.65 | 0.82 | 0.80 | 0.82 |
| VEA | 0.81 | 0.36 | 0.55 | 0.52 | 0.61 | 0.69 | 0.69 | 0.70 | 0.75 | 1.00 | 0.73 | 0.74 | 0.74 | 0.86 |
| VONG | 0.94 | 0.32 | 0.40 | 0.49 | 0.65 | 0.93 | 0.63 | 0.85 | 0.65 | 0.73 | 1.00 | 0.72 | 0.67 | 0.90 |
| XLI | 0.84 | 0.39 | 0.59 | 0.54 | 0.62 | 0.66 | 0.79 | 0.72 | 0.82 | 0.74 | 0.72 | 1.00 | 0.84 | 0.88 |
| SCHD | 0.82 | 0.48 | 0.65 | 0.72 | 0.71 | 0.63 | 0.79 | 0.69 | 0.80 | 0.74 | 0.67 | 0.84 | 1.00 | 0.88 |
| Portfolio | 0.98 | 0.44 | 0.60 | 0.62 | 0.73 | 0.85 | 0.80 | 0.86 | 0.82 | 0.86 | 0.90 | 0.88 | 0.88 | 1.00 |