Morgan Stanley
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Morgan Stanley , 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
The earliest data available for this chart is Jun 19, 2018, corresponding to the inception date of XLC
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.29% | 1.65% | 15.83% | 39.98% | 13.99% | 11.23% |
| Morgan Stanley | 16.60% | 0.40% | 12.96% | 34.10% | 14.28% | N/A |
| Portfolio components: | ||||||
XLC Communication Services Select Sector SPDR Fund | 28.09% | 2.09% | 18.12% | 44.15% | 13.36% | N/A |
XLY Consumer Discretionary Select Sector SPDR Fund | 12.70% | -0.07% | 15.22% | 32.72% | 11.22% | 12.72% |
XLP Consumer Staples Select Sector SPDR Fund | 13.91% | -3.12% | 8.57% | 21.82% | 8.30% | 8.45% |
XLE Energy Select Sector SPDR Fund | 7.35% | 0.05% | -2.99% | 6.66% | 13.26% | 4.05% |
XLF Financial Select Sector SPDR Fund | 26.21% | 3.53% | 17.14% | 47.37% | 11.96% | 13.86% |
ARKG ARK Genomic Revolution Multi-Sector ETF | -27.03% | -6.48% | -0.13% | 4.00% | -3.94% | N/A |
XLV Health Care Select Sector SPDR Fund | 10.04% | -3.65% | 6.37% | 21.04% | 11.02% | 10.02% |
XBI SPDR S&P Biotech ETF | 10.54% | -0.24% | 13.02% | 49.05% | 3.35% | 5.83% |
XLI Industrial Select Sector SPDR Fund | 20.14% | 0.13% | 12.63% | 40.00% | 12.66% | 11.48% |
ITA iShares U.S. Aerospace & Defense ETF | 17.21% | -1.41% | 13.81% | 35.53% | 6.73% | 11.46% |
IGV iShares Expanded Tech-Software Sector ET | 15.73% | 5.06% | 18.74% | 39.12% | 17.00% | 19.26% |
XLK Technology Select Sector SPDR Fund | 21.85% | 3.35% | 20.53% | 43.32% | 23.12% | 20.72% |
XLB Materials Select Sector SPDR ETF | 11.46% | -2.33% | 6.64% | 26.23% | 11.80% | 9.09% |
IWM iShares Russell 2000 ETF | 11.45% | 0.38% | 13.66% | 36.46% | 8.23% | 8.10% |
XLVP.L Invesco US Health Care Sector UCITS ETF | 10.28% | -2.57% | 6.42% | 21.62% | 10.69% | 11.92% |
Monthly Returns
The table below presents the monthly returns of Morgan Stanley , with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.07% | 4.66% | 2.65% | -4.84% | 3.50% | 2.29% | 2.58% | 2.48% | 0.99% | 16.60% | |||
| 2023 | 5.87% | -2.45% | 2.39% | 1.29% | -0.13% | 6.25% | 3.34% | -2.02% | -4.56% | -2.70% | 9.12% | 5.39% | 22.89% |
| 2022 | -4.66% | -1.44% | 3.10% | -8.48% | 0.47% | -7.30% | 8.26% | -3.51% | -8.47% | 9.56% | 5.09% | -4.77% | -13.44% |
| 2021 | -0.37% | 3.86% | 3.82% | 4.22% | 1.27% | 2.34% | 1.13% | 2.66% | -4.15% | 5.98% | -2.40% | 4.28% | 24.55% |
| 2020 | -0.74% | -8.05% | -12.79% | 13.58% | 5.35% | 2.07% | 4.20% | 6.57% | -3.59% | -2.52% | 13.38% | 4.48% | 20.17% |
| 2019 | 8.71% | 3.88% | 1.23% | 3.46% | -6.46% | 7.46% | 1.12% | -2.35% | 1.38% | 2.42% | 4.96% | 2.56% | 31.21% |
| 2018 | -1.87% | 3.61% | 3.33% | 0.66% | -7.90% | 2.16% | -9.55% | -10.00% |
Expense Ratio
Morgan Stanley has an expense ratio of 0.17%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Morgan Stanley is 43, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
XLC Communication Services Select Sector SPDR Fund | 2.62 | 3.49 | 1.48 | 1.92 | 21.00 |
XLY Consumer Discretionary Select Sector SPDR Fund | 1.49 | 2.06 | 1.26 | 1.09 | 6.97 |
XLP Consumer Staples Select Sector SPDR Fund | 2.01 | 2.88 | 1.35 | 1.73 | 14.46 |
XLE Energy Select Sector SPDR Fund | 0.34 | 0.58 | 1.07 | 0.45 | 1.07 |
XLF Financial Select Sector SPDR Fund | 3.41 | 4.47 | 1.59 | 2.57 | 21.71 |
ARKG ARK Genomic Revolution Multi-Sector ETF | -0.13 | 0.10 | 1.01 | -0.07 | -0.25 |
XLV Health Care Select Sector SPDR Fund | 1.67 | 2.32 | 1.31 | 1.76 | 8.19 |
XBI SPDR S&P Biotech ETF | 1.55 | 2.22 | 1.26 | 0.67 | 5.29 |
XLI Industrial Select Sector SPDR Fund | 2.85 | 3.94 | 1.51 | 4.29 | 19.48 |
ITA iShares U.S. Aerospace & Defense ETF | 2.30 | 3.03 | 1.43 | 5.43 | 15.36 |
IGV iShares Expanded Tech-Software Sector ET | 1.75 | 2.24 | 1.32 | 1.70 | 7.34 |
XLK Technology Select Sector SPDR Fund | 1.70 | 2.24 | 1.31 | 2.12 | 7.38 |
XLB Materials Select Sector SPDR ETF | 1.67 | 2.32 | 1.29 | 1.77 | 8.33 |
IWM iShares Russell 2000 ETF | 1.47 | 2.14 | 1.26 | 1.04 | 8.02 |
XLVP.L Invesco US Health Care Sector UCITS ETF | 1.74 | 2.48 | 1.30 | 1.68 | 8.09 |
Dividends
Dividend yield
Morgan Stanley provided a 1.23% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Morgan Stanley | 1.23% | 1.33% | 1.42% | 1.19% | 1.47% | 1.72% | 1.65% | 1.35% | 1.48% | 1.61% | 1.45% | 1.36% |
| Portfolio components: | ||||||||||||
XLC Communication Services Select Sector SPDR Fund | 0.95% | 0.82% | 1.10% | 0.74% | 0.68% | 0.82% | 0.64% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.75% | 0.78% | 1.00% | 0.53% | 0.82% | 1.28% | 1.34% | 1.20% | 1.71% | 1.43% | 1.31% | 1.16% |
XLP Consumer Staples Select Sector SPDR Fund | 2.62% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% | 2.40% | 2.39% |
XLE Energy Select Sector SPDR Fund | 3.39% | 3.55% | 3.68% | 4.21% | 5.62% | 5.73% | 3.54% | 3.03% | 2.26% | 3.39% | 2.35% | 1.73% |
XLF Financial Select Sector SPDR Fund | 1.42% | 1.71% | 2.04% | 1.63% | 2.03% | 1.87% | 2.08% | 1.48% | 1.63% | 2.40% | 1.98% | 1.81% |
ARKG ARK Genomic Revolution Multi-Sector ETF | 0.00% | 0.00% | 0.00% | 0.62% | 0.85% | 3.14% | 1.94% | 1.34% | 0.00% | 0.00% | 0.00% | 0.00% |
XLV Health Care Select Sector SPDR Fund | 1.53% | 1.59% | 1.47% | 1.33% | 1.49% | 2.16% | 1.56% | 1.46% | 1.59% | 1.43% | 1.34% | 1.51% |
XBI SPDR S&P Biotech ETF | 0.15% | 0.02% | 0.00% | 0.04% | 0.20% | 0.00% | 0.28% | 0.24% | 0.26% | 0.61% | 1.07% | 0.17% |
XLI Industrial Select Sector SPDR Fund | 1.36% | 1.63% | 1.63% | 1.25% | 1.55% | 1.94% | 2.15% | 1.77% | 2.07% | 2.15% | 1.85% | 1.68% |
ITA iShares U.S. Aerospace & Defense ETF | 0.83% | 0.93% | 0.95% | 0.82% | 1.07% | 1.53% | 1.13% | 0.91% | 1.07% | 1.03% | 1.20% | 1.13% |
IGV iShares Expanded Tech-Software Sector ET | 0.35% | 0.42% | 0.01% | 0.00% | 0.35% | 0.02% | 0.16% | 0.09% | 0.82% | 0.22% | 0.29% | 0.33% |
XLK Technology Select Sector SPDR Fund | 0.67% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% | 1.75% | 1.70% |
XLB Materials Select Sector SPDR ETF | 1.87% | 2.00% | 2.26% | 1.62% | 1.72% | 1.98% | 2.20% | 1.66% | 1.95% | 2.24% | 1.97% | 2.08% |
IWM iShares Russell 2000 ETF | 1.16% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% | 1.26% | 1.23% |
XLVP.L Invesco US Health Care Sector UCITS ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Morgan Stanley . 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 Morgan Stanley was 34.47%, occurring on Mar 23, 2020. Recovery took 98 trading sessions.
The current Morgan Stanley drawdown is 1.52%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.47% | Feb 20, 2020 | 23 | Mar 23, 2020 | 98 | Aug 10, 2020 | 121 |
| -21.54% | Jan 5, 2022 | 192 | Sep 30, 2022 | 203 | Jul 18, 2023 | 395 |
| -20.69% | Sep 21, 2018 | 67 | Dec 24, 2018 | 86 | Apr 26, 2019 | 153 |
| -10.7% | Aug 1, 2023 | 64 | Oct 27, 2023 | 25 | Dec 1, 2023 | 89 |
| -8.62% | Sep 3, 2020 | 15 | Sep 23, 2020 | 33 | Nov 9, 2020 | 48 |
Volatility
Volatility Chart
The current Morgan Stanley volatility is 2.59%, 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.
Diversification
Asset Correlations Table
| XLVP.L | XLE | XLP | XBI | ARKG | ITA | XLV | IGV | XLC | XLF | XLK | XLB | XLY | XLI | IWM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| XLVP.L | 1.00 | 0.23 | 0.38 | 0.35 | 0.35 | 0.30 | 0.65 | 0.33 | 0.33 | 0.36 | 0.33 | 0.39 | 0.34 | 0.38 | 0.37 |
| XLE | 0.23 | 1.00 | 0.27 | 0.31 | 0.26 | 0.56 | 0.33 | 0.24 | 0.34 | 0.60 | 0.30 | 0.58 | 0.37 | 0.59 | 0.57 |
| XLP | 0.38 | 0.27 | 1.00 | 0.27 | 0.24 | 0.45 | 0.62 | 0.34 | 0.43 | 0.50 | 0.42 | 0.54 | 0.46 | 0.54 | 0.44 |
| XBI | 0.35 | 0.31 | 0.27 | 1.00 | 0.86 | 0.44 | 0.55 | 0.61 | 0.55 | 0.42 | 0.54 | 0.45 | 0.56 | 0.47 | 0.73 |
| ARKG | 0.35 | 0.26 | 0.24 | 0.86 | 1.00 | 0.42 | 0.50 | 0.69 | 0.60 | 0.40 | 0.60 | 0.47 | 0.62 | 0.47 | 0.72 |
| ITA | 0.30 | 0.56 | 0.45 | 0.44 | 0.42 | 1.00 | 0.47 | 0.45 | 0.50 | 0.69 | 0.49 | 0.67 | 0.58 | 0.84 | 0.73 |
| XLV | 0.65 | 0.33 | 0.62 | 0.55 | 0.50 | 0.47 | 1.00 | 0.55 | 0.55 | 0.55 | 0.58 | 0.59 | 0.53 | 0.60 | 0.58 |
| IGV | 0.33 | 0.24 | 0.34 | 0.61 | 0.69 | 0.45 | 0.55 | 1.00 | 0.75 | 0.46 | 0.86 | 0.51 | 0.74 | 0.55 | 0.66 |
| XLC | 0.33 | 0.34 | 0.43 | 0.55 | 0.60 | 0.50 | 0.55 | 0.75 | 1.00 | 0.57 | 0.79 | 0.58 | 0.77 | 0.60 | 0.68 |
| XLF | 0.36 | 0.60 | 0.50 | 0.42 | 0.40 | 0.69 | 0.55 | 0.46 | 0.57 | 1.00 | 0.54 | 0.75 | 0.63 | 0.81 | 0.76 |
| XLK | 0.33 | 0.30 | 0.42 | 0.54 | 0.60 | 0.49 | 0.58 | 0.86 | 0.79 | 0.54 | 1.00 | 0.59 | 0.78 | 0.63 | 0.67 |
| XLB | 0.39 | 0.58 | 0.54 | 0.45 | 0.47 | 0.67 | 0.59 | 0.51 | 0.58 | 0.75 | 0.59 | 1.00 | 0.66 | 0.84 | 0.76 |
| XLY | 0.34 | 0.37 | 0.46 | 0.56 | 0.62 | 0.58 | 0.53 | 0.74 | 0.77 | 0.63 | 0.78 | 0.66 | 1.00 | 0.69 | 0.77 |
| XLI | 0.38 | 0.59 | 0.54 | 0.47 | 0.47 | 0.84 | 0.60 | 0.55 | 0.60 | 0.81 | 0.63 | 0.84 | 0.69 | 1.00 | 0.81 |
| IWM | 0.37 | 0.57 | 0.44 | 0.73 | 0.72 | 0.73 | 0.58 | 0.66 | 0.68 | 0.76 | 0.67 | 0.76 | 0.77 | 0.81 | 1.00 |