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10 etf
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


XLK 13%VONG 13%SCHD 11%VEA 11%XLY 10%XLF 10%XLV 10%XLI 10%XLU 6%XLP 6%EquityEquity
PositionCategory/SectorWeight
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

11%

VEA
Vanguard FTSE Developed Markets ETF
Foreign Large Cap Equities

11%

VONG
Vanguard Russell 1000 Growth ETF
Large Cap Blend Equities

13%

XLF
Financial Select Sector SPDR Fund
Financials Equities

10%

XLI
Industrial Select Sector SPDR Fund
Industrials Equities

10%

XLK
Technology Select Sector SPDR Fund
Technology Equities

13%

XLP
Consumer Staples Select Sector SPDR Fund
Consumer Staples Equities

6%

XLU
Utilities Select Sector SPDR Fund
Utilities Equities

6%

XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities

10%

XLY
Consumer Discretionary Select Sector SPDR Fund
Consumer Discretionary Equities

10%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 10 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


300.00%350.00%400.00%450.00%FebruaryMarchAprilMayJuneJuly
465.41%
359.49%
10 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 Jul 12, 2024, the 10 etf returned 12.34% Year-To-Date and 12.72% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
17.08%3.89%16.83%24.87%13.16%10.96%
10 etf12.34%3.42%12.39%19.32%13.49%12.72%
XLU
Utilities Select Sector SPDR Fund
13.53%1.28%14.20%9.40%6.51%8.82%
XLP
Consumer Staples Select Sector SPDR Fund
8.66%0.17%7.85%7.70%8.07%8.30%
XLY
Consumer Discretionary Select Sector SPDR Fund
6.17%6.56%7.81%10.22%9.80%12.16%
XLF
Financial Select Sector SPDR Fund
13.21%3.81%13.00%25.05%10.55%13.17%
XLV
Health Care Select Sector SPDR Fund
8.86%1.07%5.39%15.45%11.71%10.87%
XLI
Industrial Select Sector SPDR Fund
9.03%1.54%10.84%15.33%11.42%10.61%
XLK
Technology Select Sector SPDR Fund
20.80%5.44%21.34%34.23%24.61%21.06%
VONG
Vanguard Russell 1000 Growth ETF
23.92%5.41%23.06%36.41%19.20%16.47%
SCHD
Schwab US Dividend Equity ETF
5.45%2.78%5.54%11.42%11.69%10.88%
VEA
Vanguard FTSE Developed Markets ETF
8.07%2.83%9.21%12.89%7.26%4.93%

Monthly Returns

The table below presents the monthly returns of 10 etf, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.52%4.41%2.97%-3.85%3.88%1.72%12.34%
20235.72%-2.30%2.72%1.04%-0.76%6.45%2.98%-2.23%-4.81%-2.39%8.94%4.98%21.16%
2022-5.13%-2.58%3.39%-7.75%0.14%-7.66%8.65%-3.96%-8.78%7.95%6.43%-4.88%-15.21%
2021-1.12%2.22%5.29%4.56%1.01%1.36%2.09%2.67%-4.46%6.65%-1.28%4.88%25.97%
20200.12%-8.30%-12.06%11.49%5.00%1.77%5.61%6.63%-2.68%-2.12%11.35%3.75%19.19%
20197.55%3.54%1.65%3.87%-6.13%6.89%1.08%-1.13%2.23%2.18%3.32%2.81%30.83%
20185.53%-3.71%-2.24%-0.06%1.77%0.44%3.83%2.81%0.66%-6.80%2.35%-8.35%-4.68%
20172.29%3.94%0.56%1.44%2.08%0.42%2.08%0.61%1.74%2.58%3.17%0.95%24.10%
2016-4.50%-0.03%6.65%0.02%1.49%0.32%3.90%-0.23%2.45%-1.70%2.97%1.92%13.59%
2015-2.06%5.39%-1.44%0.72%1.36%-2.22%2.92%-6.13%-1.95%7.79%0.14%-1.13%2.67%
2014-3.21%4.73%0.48%0.57%2.18%1.72%-1.69%3.74%-1.13%2.80%3.23%-0.62%13.20%
20134.98%1.30%3.83%2.73%1.26%-1.28%5.17%-2.93%3.97%4.48%2.70%2.30%32.12%

Expense Ratio

10 etf features an expense ratio of 0.11%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


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 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 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 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 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 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 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 10 etf is 45, 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 10 etf is 4545
10 etf
The Sharpe Ratio Rank of 10 etf is 4545Sharpe Ratio Rank
The Sortino Ratio Rank of 10 etf is 4646Sortino Ratio Rank
The Omega Ratio Rank of 10 etf is 4747Omega Ratio Rank
The Calmar Ratio Rank of 10 etf is 4747Calmar Ratio Rank
The Martin Ratio Rank of 10 etf is 4141Martin 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.


10 etf
Sharpe ratio
The chart of Sharpe ratio for 10 etf, currently valued at 1.93, compared to the broader market-1.000.001.002.003.004.005.001.93
Sortino ratio
The chart of Sortino ratio for 10 etf, currently valued at 2.75, compared to the broader market-2.000.002.004.006.002.75
Omega ratio
The chart of Omega ratio for 10 etf, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for 10 etf, currently valued at 1.64, compared to the broader market0.002.004.006.008.0010.001.64
Martin ratio
The chart of Martin ratio for 10 etf, currently valued at 6.15, compared to the broader market0.0010.0020.0030.0040.006.15
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.31, compared to the broader market-1.000.001.002.003.004.005.002.31
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.24, compared to the broader market-2.000.002.004.006.003.24
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.82, compared to the broader market0.002.004.006.008.0010.001.82
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.58, compared to the broader market0.0010.0020.0030.0040.008.58

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XLU
Utilities Select Sector SPDR Fund
0.641.001.120.441.50
XLP
Consumer Staples Select Sector SPDR Fund
0.751.141.130.551.59
XLY
Consumer Discretionary Select Sector SPDR Fund
0.661.001.120.392.09
XLF
Financial Select Sector SPDR Fund
2.172.991.371.217.64
XLV
Health Care Select Sector SPDR Fund
1.482.141.261.304.76
XLI
Industrial Select Sector SPDR Fund
1.261.841.211.203.70
XLK
Technology Select Sector SPDR Fund
2.022.691.343.278.81
VONG
Vanguard Russell 1000 Growth ETF
2.553.431.442.4212.99
SCHD
Schwab US Dividend Equity ETF
1.071.601.190.893.28
VEA
Vanguard FTSE Developed Markets ETF
1.221.791.220.903.63

Sharpe Ratio

The current 10 etf Sharpe ratio is 1.93. 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 1.58 to 2.51, 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 10 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.93
2.31
10 etf
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

10 etf granted a 1.80% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
10 etf1.80%1.85%1.89%1.59%1.72%2.00%2.16%1.87%2.13%2.18%2.09%1.94%
XLU
Utilities Select Sector SPDR Fund
3.10%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%
XLP
Consumer Staples Select Sector SPDR Fund
2.80%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.52%2.40%2.39%
XLY
Consumer Discretionary Select Sector SPDR Fund
0.74%0.78%1.00%0.53%0.82%1.28%1.34%1.20%1.71%1.43%1.31%1.16%
XLF
Financial Select Sector SPDR Fund
1.55%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%
XLV
Health Care Select Sector SPDR Fund
1.52%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%
XLI
Industrial Select Sector SPDR Fund
1.49%1.63%1.63%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%1.68%
XLK
Technology Select Sector SPDR Fund
0.66%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%
VONG
Vanguard Russell 1000 Growth ETF
0.61%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
3.59%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
3.27%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%2.60%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-0.20%
-0.88%
10 etf
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 10 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 10 etf was 33.63%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.

The current 10 etf drawdown is 0.20%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.63%Feb 20, 202023Mar 23, 202097Aug 10, 2020120
-23.35%Jan 5, 2022194Oct 12, 2022294Dec 13, 2023488
-18.29%Sep 21, 201865Dec 24, 201870Apr 5, 2019135
-11.78%Jul 21, 2015143Feb 11, 201642Apr 13, 2016185
-9.7%Oct 28, 201120Nov 25, 201130Jan 10, 201250

Volatility

Volatility Chart

The current 10 etf volatility is 1.59%, 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%FebruaryMarchAprilMayJuneJuly
1.59%
2.07%
10 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.

XLUXLPXLVXLFXLKXLYVEAXLIVONGSCHD
XLU1.000.610.420.320.290.320.360.390.340.49
XLP0.611.000.620.530.490.550.560.580.560.74
XLV0.420.621.000.600.610.600.640.640.700.72
XLF0.320.530.601.000.600.680.720.810.650.81
XLK0.290.490.610.601.000.770.700.670.930.69
XLY0.320.550.600.680.771.000.720.730.860.73
VEA0.360.560.640.720.700.721.000.760.750.77
XLI0.390.580.640.810.670.730.761.000.730.87
VONG0.340.560.700.650.930.860.750.731.000.73
SCHD0.490.740.720.810.690.730.770.870.731.00
The correlation results are calculated based on daily price changes starting from Oct 21, 2011