Backtest with SPDR Sectors 2
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Backtest with SPDR Sectors 2, 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.
The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD
Returns By Period
As of Apr 21, 2025, the Backtest with SPDR Sectors 2 returned -10.54% Year-To-Date and 13.10% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.79% | -9.92% | 6.35% | 14.12% | 9.63% |
| Backtest with SPDR Sectors 2 | -12.98% | -8.50% | -15.12% | 1.07% | 16.75% | 13.17% |
| Portfolio components: | ||||||
XLY Consumer Discretionary Select Sector SPDR Fund | -17.13% | -5.84% | -6.64% | 10.18% | 12.36% | 10.52% |
SCHD Schwab US Dividend Equity ETF | -6.12% | -7.60% | -10.14% | 3.31% | 13.77% | 10.24% |
XLV Health Care Select Sector SPDR Fund | -1.13% | -7.22% | -10.78% | -0.92% | 8.65% | 7.93% |
XLI Industrial Select Sector SPDR Fund | -4.61% | -4.96% | -9.30% | 5.56% | 17.78% | 10.32% |
SMH VanEck Vectors Semiconductor ETF | -20.50% | -14.34% | -23.11% | -2.92% | 26.51% | 22.57% |
ITB iShares U.S. Home Construction ETF | -13.26% | -6.07% | -30.59% | -12.13% | 24.86% | 13.52% |
XLK Technology Select Sector SPDR Fund | -16.91% | -9.70% | -16.19% | 0.87% | 19.12% | 17.75% |
Monthly Returns
The table below presents the monthly returns of Backtest with SPDR Sectors 2, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.94% | -2.49% | -5.88% | -6.98% | -12.98% | ||||||||
| 2024 | 1.18% | 6.06% | 2.89% | -5.40% | 4.81% | 3.98% | 1.27% | 1.20% | 2.48% | -2.18% | 5.13% | -3.56% | 18.56% |
| 2023 | 7.36% | -1.53% | 5.10% | -0.08% | 2.94% | 7.67% | 3.00% | -1.71% | -5.81% | -2.80% | 11.01% | 6.51% | 34.87% |
| 2022 | -7.40% | -3.25% | 2.62% | -8.87% | 0.66% | -9.05% | 11.01% | -5.44% | -9.12% | 7.84% | 6.89% | -5.96% | -20.69% |
| 2021 | 0.14% | 2.35% | 4.93% | 4.25% | 0.37% | 2.69% | 2.44% | 2.52% | -5.17% | 7.57% | 2.02% | 4.50% | 31.99% |
| 2020 | 0.61% | -7.72% | -12.33% | 14.23% | 6.23% | 3.12% | 6.63% | 7.98% | -2.54% | -3.13% | 11.86% | 3.62% | 28.34% |
| 2019 | 8.11% | 4.18% | 2.30% | 4.27% | -7.47% | 7.97% | 1.77% | -1.09% | 2.30% | 2.86% | 3.87% | 2.90% | 35.89% |
| 2018 | 6.07% | -3.55% | -2.47% | -0.70% | 3.49% | 0.04% | 3.68% | 3.76% | 0.49% | -8.68% | 2.64% | -8.64% | -5.04% |
| 2017 | 2.60% | 4.03% | 1.29% | 1.50% | 2.31% | -0.01% | 2.12% | 0.99% | 2.37% | 3.72% | 3.29% | 1.13% | 28.41% |
| 2016 | -5.28% | 0.68% | 6.87% | -0.88% | 2.34% | 0.31% | 5.11% | -0.17% | 0.37% | -2.72% | 3.60% | 1.23% | 11.41% |
| 2015 | -2.43% | 6.60% | -1.52% | -0.06% | 2.15% | -2.13% | 2.15% | -5.85% | -2.27% | 8.70% | 0.72% | -1.64% | 3.58% |
| 2014 | -3.01% | 5.06% | -0.46% | -0.06% | 2.67% | 1.95% | -1.53% | 4.35% | -1.16% | 3.00% | 4.43% | -0.81% | 14.96% |
Expense Ratio
Backtest with SPDR Sectors 2 has an expense ratio of 0.14%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Backtest with SPDR Sectors 2 is 15, meaning it’s performing worse than 85% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
XLY Consumer Discretionary Select Sector SPDR Fund | 0.32 | 0.64 | 1.08 | 0.31 | 1.05 |
SCHD Schwab US Dividend Equity ETF | 0.27 | 0.48 | 1.07 | 0.27 | 1.05 |
XLV Health Care Select Sector SPDR Fund | -0.05 | 0.02 | 1.00 | -0.05 | -0.13 |
XLI Industrial Select Sector SPDR Fund | 0.23 | 0.47 | 1.06 | 0.24 | 0.93 |
SMH VanEck Vectors Semiconductor ETF | -0.27 | -0.11 | 0.99 | -0.33 | -0.84 |
ITB iShares U.S. Home Construction ETF | -0.47 | -0.52 | 0.94 | -0.39 | -0.94 |
XLK Technology Select Sector SPDR Fund | -0.13 | 0.03 | 1.00 | -0.15 | -0.51 |
Dividends
Dividend yield
Backtest with SPDR Sectors 2 provided a 1.74% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.74% | 1.51% | 1.54% | 1.65% | 1.23% | 1.50% | 1.79% | 1.90% | 1.62% | 1.88% | 1.92% | 1.71% |
| Portfolio components: | ||||||||||||
XLY Consumer Discretionary Select Sector SPDR Fund | 0.96% | 0.72% | 0.78% | 1.00% | 0.53% | 0.82% | 1.28% | 1.34% | 1.20% | 1.71% | 1.43% | 1.31% |
SCHD Schwab US Dividend Equity ETF | 4.09% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% |
XLV Health Care Select Sector SPDR Fund | 1.72% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.58% | 1.47% | 1.60% | 1.43% | 1.35% |
XLI Industrial Select Sector SPDR Fund | 1.54% | 1.44% | 1.63% | 1.64% | 1.25% | 1.55% | 1.94% | 2.15% | 1.77% | 2.07% | 2.15% | 1.85% |
SMH VanEck Vectors Semiconductor ETF | 0.56% | 0.44% | 0.60% | 1.18% | 0.51% | 0.69% | 1.50% | 1.88% | 1.43% | 0.80% | 2.14% | 1.16% |
ITB iShares U.S. Home Construction ETF | 1.11% | 0.46% | 0.48% | 0.86% | 0.37% | 0.46% | 0.50% | 0.63% | 0.28% | 0.43% | 0.34% | 0.34% |
XLK Technology Select Sector SPDR Fund | 0.81% | 0.66% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% | 1.75% |
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 Backtest with SPDR Sectors 2. 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 Backtest with SPDR Sectors 2 was 33.85%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.
The current Backtest with SPDR Sectors 2 drawdown is 14.65%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.85% | Feb 20, 2020 | 23 | Mar 23, 2020 | 82 | Jul 20, 2020 | 105 |
| -27.88% | Dec 30, 2021 | 200 | Oct 14, 2022 | 284 | Dec 1, 2023 | 484 |
| -21.73% | Jan 24, 2025 | 52 | Apr 8, 2025 | — | — | — |
| -20.39% | Sep 21, 2018 | 65 | Dec 24, 2018 | 69 | Apr 4, 2019 | 134 |
| -12.87% | Dec 2, 2015 | 49 | Feb 11, 2016 | 42 | Apr 13, 2016 | 91 |
Volatility
Volatility Chart
The current Backtest with SPDR Sectors 2 volatility is 14.72%, 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
| ITB | XLV | SMH | XLK | XLY | XLI | SCHD | |
|---|---|---|---|---|---|---|---|
| ITB | 1.00 | 0.47 | 0.50 | 0.52 | 0.65 | 0.64 | 0.61 |
| XLV | 0.47 | 1.00 | 0.49 | 0.59 | 0.59 | 0.63 | 0.72 |
| SMH | 0.50 | 0.49 | 1.00 | 0.85 | 0.68 | 0.62 | 0.61 |
| XLK | 0.52 | 0.59 | 0.85 | 1.00 | 0.77 | 0.67 | 0.67 |
| XLY | 0.65 | 0.59 | 0.68 | 0.77 | 1.00 | 0.73 | 0.71 |
| XLI | 0.64 | 0.63 | 0.62 | 0.67 | 0.73 | 1.00 | 0.86 |
| SCHD | 0.61 | 0.72 | 0.61 | 0.67 | 0.71 | 0.86 | 1.00 |