2023-02

Asset Allocation

Position	Category/Sector	Target Weight
SCHD Schwab U.S. Dividend Equity ETF	Dividend	50%
XLRE Real Estate Select Sector SPDR Fund	REIT	50%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Portfolio Optimizer

Find the right asset allocation for 2023-02

Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.

Open Portfolio Optimizer

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 Every 3 months.

Loading charts...

Returns By Period

As of Jun 6, 2026, the 2023-02 returned 15.30% Year-To-Date and 9.97% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.64%	0.64%	7.86%	7.47%	23.05%	19.90%	11.79%	13.33%
Portfolio 2023-02	-0.09%	1.51%	15.30%	15.02%	18.40%	12.97%	6.05%	9.97%
Portfolio components:
SCHD Schwab U.S. Dividend Equity ETF	-0.89%	2.41%	18.75%	18.75%	26.41%	15.14%	8.31%	12.64%
XLRE Real Estate Select Sector SPDR Fund	0.68%	0.68%	11.53%	10.98%	10.45%	10.37%	3.42%	6.96%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 9, 2015, 2023-02's average daily return is +0.04%, while the average monthly return is +0.90%. At this rate, an investment would double in approximately 6.4 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2020 with a return of +11.0%, while the worst month was Mar 2020 at -13.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, 2023-02 closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +8.8%, while the worst single day was Mar 16, 2020 at -13.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	5.70%	6.19%	-4.34%	6.65%	0.18%	0.51%							15.30%
2025	1.86%	3.37%	-1.78%	-4.49%	1.19%	1.17%	-0.01%	3.76%	-0.49%	-2.47%	2.52%	-0.82%	3.53%
2024	-2.33%	2.19%	3.25%	-6.48%	3.56%	0.99%	6.72%	4.06%	2.11%	-1.56%	4.39%	-7.61%	8.52%
2023	5.98%	-4.63%	-1.27%	0.10%	-4.32%	5.45%	2.76%	-2.27%	-5.67%	-3.33%	9.42%	7.59%	8.65%
2022	-5.68%	-3.32%	5.30%	-3.84%	-0.62%	-7.42%	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%

Benchmark Metrics

2023-02 has an annualized alpha of 0.15%, beta of 0.80, and R2 of 0.70 versus S&P 500 Index. Calculated based on daily prices since October 09, 2015.

This portfolio participated in 87.77% of S&P 500 Index downside but only 79.72% of its upside - more exposed to losses than it benefited from rallies.

Alpha: 0.15%

Beta: 0.80

R²: 0.70

Upside Capture: 79.72%

Downside Capture: 87.77%

Expense Ratio

2023-02 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.

XLRE

Real Estate Select Sector SPDR Fund

SCHD

Schwab U.S. Dividend Equity ETF

Return for Risk

Risk / Return Rank

2023-02 ranks 32 for risk / return — below 32% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for 2023-02 and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.78	2.01	-0.23
Sortino ratioReturn per unit of downside risk	2.55	2.71	-0.16
Omega ratioGain probability vs. loss probability	1.31	1.36	-0.06
Calmar ratioReturn relative to maximum drawdown	3.20	2.69	+0.51
Martin ratioReturn relative to average drawdown	10.23	12.34	-2.11
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
SCHD Schwab U.S. Dividend Equity ETF	87	2.55	3.94	1.46	6.07	14.90
XLRE Real Estate Select Sector SPDR Fund	25	0.80	1.15	1.14	1.30	3.56

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

2023-02 Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 1.78
5-Year: 0.39
10-Year: 0.58
All Time: 0.60

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.65 to 2.54, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of 2023-02 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading charts...

Dividends

Dividend yield

2023-02 provided a 3.20% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.20%	3.63%	3.54%	3.40%	3.54%	2.70%	3.16%	3.02%	3.42%	2.94%	3.55%	2.03%
Portfolio components:
SCHD Schwab U.S. Dividend Equity ETF	3.27%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
XLRE Real Estate Select Sector SPDR Fund	3.13%	3.45%	3.43%	3.31%	3.70%	2.61%	3.15%	3.06%	3.78%	3.25%	4.22%	1.09%

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.

Loading charts...

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 0.64%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-35.92%Mar 2020	1mo 4d	7mo 28d	9mo 2dFeb 2020 - Nov 2020
Bear market2022	-24.22%Oct 2022	9mo 12d	1y 10mo	2y 7moJan 2022 - Aug 2024
2025 selloff2025	-16.19%Apr 2025	4mo 10d	9mo 13d	1y 1moNov 2024 - Jan 2026
Rate-hike selloffLate 2018	-13.00%Dec 2018	3mo 1d	1mo 19d	4mo 20dSep 2018 - Feb 2019
2016 correction2016	-10.45%Feb 2016	1mo 13d	1mo 3d	2mo 16dDec 2015 - Mar 2016

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading charts...

Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 2 assets, with an effective number of assets of 2.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.13	1.09	1.08	1.07	1.08

The portfolio has a diversification ratio of 1.08, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

2023-02 correlation to the S&P 500 Index

2023-02 has a 0.37 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.37
Correlation (3Y) Calculated over the trailing 3-year period	0.53
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (10Y) Calculated over the trailing 10-year period	0.71
Correlation (All Time) Calculated using the full available price history since Oct 9, 2015	0.72

Benchmark Correlations

Correlation vs. S&P 500 Index. SCHD has the highest benchmark correlation at 0.78, while XLRE has the lowest at 0.55.

XLRE

0.55

SCHD

0.78

Portfolio Correlations

Correlation vs. 2023-02. XLRE has the highest portfolio correlation at 0.91, while SCHD has the lowest at 0.85.

SCHD

0.85

XLRE

0.91

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	XLRE	SCHD
XLRE	1.00	0.59
SCHD	0.59	1.00

The correlation results are calculated based on daily price changes starting from Oct 9, 2015

Diversification Analysis

Find what 2023-02 is missing

See which holdings overlap, where 2023-02 is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification