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2023-02
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SCHD 50%XLRE 50%EquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend
50%
XLRE
Real Estate Select Sector SPDR Fund
REIT
50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2023-02, 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%20.00%MayJuneJulyAugustSeptemberOctober
17.27%
15.83%
2023-02
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 8, 2015, corresponding to the inception date of XLRE

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
2023-0213.02%-0.54%17.27%34.75%9.35%N/A
XLRE
Real Estate Select Sector SPDR Fund
12.00%-1.08%23.14%39.74%5.70%N/A
SCHD
Schwab US Dividend Equity ETF
13.75%0.01%11.61%29.24%12.61%11.48%

Monthly Returns

The table below presents the monthly returns of 2023-02, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.33%2.19%3.25%-6.48%3.56%0.99%6.72%4.06%2.11%13.02%
20235.98%-4.63%-1.27%0.10%-4.32%5.47%2.76%-2.27%-5.67%-3.33%9.42%7.59%8.66%
2022-5.68%-3.32%5.30%-3.84%-0.62%-7.43%6.22%-4.21%-10.28%6.56%6.83%-4.10%-15.34%
2021-0.18%3.79%7.89%5.26%2.15%1.14%2.62%2.45%-4.99%5.99%-1.47%8.82%38.00%
2020-0.15%-7.76%-13.54%11.02%2.94%0.27%4.73%2.56%-2.32%-1.40%10.08%2.31%6.35%
20198.39%2.55%3.26%1.35%-3.28%4.39%1.70%1.76%2.36%0.66%0.57%1.74%28.14%
20181.31%-6.20%0.61%-0.87%2.01%2.57%2.79%2.35%-0.65%-3.74%4.46%-7.71%-3.80%
2017-0.30%4.04%-0.47%0.20%1.20%0.91%1.44%0.49%0.74%2.21%3.57%0.79%15.75%
2016-4.34%0.61%8.50%-1.30%1.56%4.51%3.04%-2.03%-0.56%-3.54%0.20%3.26%9.59%
20152.63%-0.18%0.78%3.24%

Expense Ratio

2023-02 has an expense ratio of 0.09%, 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 XLRE: 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 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%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 2023-02 is 33, 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 2023-02 is 3333
Combined Rank
The Sharpe Ratio Rank of 2023-02 is 3535Sharpe Ratio Rank
The Sortino Ratio Rank of 2023-02 is 4343Sortino Ratio Rank
The Omega Ratio Rank of 2023-02 is 3939Omega Ratio Rank
The Calmar Ratio Rank of 2023-02 is 1818Calmar Ratio Rank
The Martin Ratio Rank of 2023-02 is 3333Martin 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.


2023-02
Sharpe ratio
The chart of Sharpe ratio for 2023-02, currently valued at 2.69, compared to the broader market0.002.004.006.002.69
Sortino ratio
The chart of Sortino ratio for 2023-02, currently valued at 3.86, compared to the broader market-2.000.002.004.006.003.86
Omega ratio
The chart of Omega ratio for 2023-02, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for 2023-02, currently valued at 1.56, compared to the broader market0.005.0010.001.57
Martin ratio
The chart of Martin ratio for 2023-02, currently valued at 14.67, compared to the broader market0.0010.0020.0030.0040.0050.0060.0014.67
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XLRE
Real Estate Select Sector SPDR Fund
2.353.341.421.209.81
SCHD
Schwab US Dividend Equity ETF
2.713.911.482.5215.22

Sharpe Ratio

The current 2023-02 Sharpe ratio is 2.69. 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 2.49 to 3.44, 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 2023-02 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
2.69
3.43
2023-02
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2023-02 provided a 3.32% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
2023-023.32%3.40%3.54%2.70%3.16%3.02%3.42%2.94%3.55%2.03%1.31%1.23%
XLRE
Real Estate Select Sector SPDR Fund
3.16%3.31%3.70%2.61%3.15%3.06%3.78%3.25%4.22%1.09%0.00%0.00%
SCHD
Schwab US Dividend Equity ETF
3.48%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%

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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.29%
-0.54%
2023-02
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2023-02. 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 2023-02 was 35.92%, occurring on Mar 23, 2020. Recovery took 166 trading sessions.

The current 2023-02 drawdown is 2.29%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.92%Feb 18, 202025Mar 23, 2020166Nov 16, 2020191
-24.22%Jan 3, 2022196Oct 12, 2022466Aug 21, 2024662
-13%Sep 24, 201864Dec 24, 201832Feb 11, 201996
-10.45%Dec 30, 201530Feb 11, 201622Mar 15, 201652
-9.65%Jan 29, 20189Feb 8, 2018122Aug 3, 2018131

Volatility

Volatility Chart

The current 2023-02 volatility is 2.99%, 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%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.99%
2.71%
2023-02
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.

SCHDXLRE
SCHD1.000.58
XLRE0.581.00
The correlation results are calculated based on daily price changes starting from Oct 9, 2015