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15Utes/10Healthcare/75Sp500

Last updated Sep 21, 2023

Asset Allocation


^GSPC 75%XLV 15%XLU 10%EquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500
75%
XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities15%
XLU
Utilities Select Sector SPDR Fund
Utilities Equities10%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in 15Utes/10Healthcare/75Sp500, 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%AprilMayJuneJulyAugustSeptember
8.72%
10.86%
10.86%
15Utes/10Healthcare/75Sp500
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the 15Utes/10Healthcare/75Sp500 returned 9.88% Year-To-Date and 10.27% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.51%9.99%
15Utes/10Healthcare/75Sp5000.35%9.70%9.88%12.44%8.63%10.31%
^GSPC
S&P 500
0.33%11.48%14.66%16.16%8.51%9.99%
XLU
Utilities Select Sector SPDR Fund
2.10%2.24%-6.94%-9.22%7.21%8.94%
XLV
Health Care Select Sector SPDR Fund
-0.82%5.65%-1.97%8.97%8.79%11.71%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

XLUXLV^GSPC
XLU1.000.450.51
XLV0.451.000.75
^GSPC0.510.751.00

Sharpe Ratio

The current 15Utes/10Healthcare/75Sp500 Sharpe ratio is 0.58. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.58

The Sharpe ratio of 15Utes/10Healthcare/75Sp500 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
0.58
0.74
0.74
15Utes/10Healthcare/75Sp500
Benchmark (^GSPC)
Portfolio components

Dividend yield

15Utes/10Healthcare/75Sp500 granted a 0.57% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
15Utes/10Healthcare/75Sp5000.57%0.52%0.50%0.57%0.68%0.64%0.64%0.69%0.71%0.66%0.80%0.95%
^GSPC
S&P 500
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLU
Utilities Select Sector SPDR Fund
3.31%2.99%2.95%3.42%3.33%3.86%4.00%4.24%4.72%4.25%5.32%5.94%
XLV
Health Care Select Sector SPDR Fund
1.62%1.48%1.37%1.55%2.29%1.70%1.61%1.78%1.62%1.54%1.77%2.38%

Expense Ratio

The 15Utes/10Healthcare/75Sp500 has an expense ratio of 0.03% which is considered to be low. 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%

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
^GSPC
S&P 500
0.74
XLU
Utilities Select Sector SPDR Fund
-0.61
XLV
Health Care Select Sector SPDR Fund
0.43

Drawdowns Chart

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


-15.00%-10.00%-5.00%AprilMayJuneJulyAugustSeptember
-6.91%
-8.22%
-8.22%
15Utes/10Healthcare/75Sp500
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the 15Utes/10Healthcare/75Sp500. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the 15Utes/10Healthcare/75Sp500 is 52.91%, recorded on Mar 9, 2009. It took 912 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.91%Oct 10, 2007355Mar 9, 2009912Oct 17, 20121267
-43.72%Sep 5, 2000525Oct 9, 20021017Oct 23, 20061542
-33.2%Feb 20, 202023Mar 23, 2020107Aug 24, 2020130
-22.14%Dec 30, 2021198Oct 12, 2022
-17.14%Oct 3, 201857Dec 24, 201870Apr 5, 2019127

Volatility Chart

The current 15Utes/10Healthcare/75Sp500 volatility is 3.08%, 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.


2.00%2.50%3.00%3.50%4.00%4.50%5.00%5.50%AprilMayJuneJulyAugustSeptember
3.08%
3.47%
3.47%
15Utes/10Healthcare/75Sp500
Benchmark (^GSPC)
Portfolio components