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 Quarterly
The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD
Returns By Period
As of Sep 21, 2024, the Backtest with SPDR Sectors 2 returned 16.46% Year-To-Date and 15.48% of annualized return in the last 10 years.
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
Backtest with SPDR Sectors 2 | 16.46% | 1.61% | 7.46% | 31.31% | 17.79% | 15.48% |
Portfolio components: | ||||||
Consumer Discretionary Select Sector SPDR Fund | 10.48% | 4.87% | 7.88% | 21.76% | 11.27% | 12.68% |
Schwab US Dividend Equity ETF | 13.02% | 2.31% | 7.55% | 21.69% | 12.91% | 11.59% |
Health Care Select Sector SPDR Fund | 14.72% | 0.39% | 7.18% | 20.50% | 12.89% | 11.00% |
Industrial Select Sector SPDR Fund | 17.60% | 3.92% | 6.73% | 31.96% | 13.16% | 11.61% |
VanEck Vectors Semiconductor ETF | 36.04% | -5.08% | 4.51% | 70.03% | 35.07% | 28.40% |
iShares U.S. Home Construction ETF | 23.72% | 5.81% | 10.40% | 60.27% | 25.00% | 19.05% |
Technology Select Sector SPDR Fund | 16.01% | -1.35% | 6.20% | 36.40% | 23.78% | 20.28% |
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 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.57% | 5.36% | 2.83% | -5.06% | 3.53% | 2.93% | 2.68% | 1.77% | 16.46% | ||||
2023 | 6.86% | -1.73% | 4.28% | 0.03% | 1.26% | 7.85% | 2.89% | -1.62% | -5.42% | -3.04% | 9.97% | 6.28% | 29.79% |
2022 | -6.72% | -2.86% | 2.99% | -8.11% | 0.61% | -8.46% | 10.44% | -4.99% | -8.75% | 8.38% | 6.50% | -5.48% | -17.51% |
2021 | -0.24% | 2.57% | 5.66% | 4.21% | 0.64% | 2.13% | 2.32% | 2.35% | -5.02% | 7.30% | 0.84% | 4.95% | 30.80% |
2020 | 0.38% | -7.94% | -12.39% | 13.99% | 6.06% | 2.57% | 6.34% | 7.64% | -2.38% | -2.74% | 11.94% | 3.37% | 26.27% |
2019 | 8.09% | 4.26% | 2.20% | 4.09% | -7.36% | 7.90% | 1.63% | -1.15% | 2.32% | 2.71% | 3.86% | 3.03% | 35.38% |
2018 | 6.19% | -3.49% | -2.61% | -0.59% | 3.35% | 0.12% | 3.91% | 3.65% | 0.70% | -8.54% | 2.71% | -8.59% | -4.39% |
2017 | 2.50% | 4.03% | 1.20% | 1.49% | 2.29% | -0.06% | 2.13% | 0.95% | 2.28% | 3.56% | 3.32% | 1.26% | 27.90% |
2016 | -5.02% | 0.74% | 6.95% | -0.97% | 2.34% | 0.35% | 5.11% | -0.06% | 0.51% | -2.56% | 3.60% | 1.31% | 12.35% |
2015 | -2.56% | 6.62% | -1.70% | 0.23% | 2.00% | -2.39% | 2.03% | -5.81% | -2.03% | 8.85% | 0.67% | -1.54% | 3.54% |
2014 | -3.08% | 4.98% | -0.18% | 0.06% | 2.67% | 1.92% | -1.31% | 4.23% | -1.07% | 2.86% | 4.39% | -0.79% | 15.29% |
2013 | 5.28% | 1.29% | 3.94% | 2.10% | 2.56% | -1.56% | 4.70% | -2.86% | 4.12% | 4.51% | 3.20% | 3.01% | 34.43% |
Expense Ratio
Backtest with SPDR Sectors 2 has an expense ratio of 0.14%, 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 Backtest with SPDR Sectors 2 is 48, 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 | |
---|---|---|---|---|---|
Consumer Discretionary Select Sector SPDR Fund | 0.99 | 1.41 | 1.17 | 0.64 | 4.65 |
Schwab US Dividend Equity ETF | 1.68 | 2.45 | 1.29 | 1.51 | 8.79 |
Health Care Select Sector SPDR Fund | 1.79 | 2.45 | 1.33 | 1.67 | 8.97 |
Industrial Select Sector SPDR Fund | 2.20 | 3.03 | 1.38 | 2.37 | 13.88 |
VanEck Vectors Semiconductor ETF | 1.96 | 2.48 | 1.33 | 2.69 | 8.25 |
iShares U.S. Home Construction ETF | 2.04 | 2.80 | 1.34 | 2.80 | 9.34 |
Technology Select Sector SPDR Fund | 1.60 | 2.14 | 1.28 | 2.02 | 7.25 |
Dividends
Dividend yield
Backtest with SPDR Sectors 2 granted a 1.09% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Backtest with SPDR Sectors 2 | 1.09% | 1.54% | 1.71% | 1.25% | 1.53% | 2.02% | 1.99% | 1.69% | 1.92% | 2.02% | 1.77% | 1.73% |
Portfolio components: | ||||||||||||
Consumer Discretionary Select Sector SPDR Fund | 0.56% | 0.78% | 1.00% | 0.53% | 0.82% | 1.28% | 1.34% | 1.20% | 1.71% | 1.43% | 1.31% | 1.16% |
Schwab US Dividend Equity ETF | 2.58% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% | 2.63% | 2.47% |
Health Care Select Sector SPDR Fund | 1.09% | 1.59% | 1.47% | 1.33% | 1.49% | 2.16% | 1.56% | 1.46% | 1.59% | 1.43% | 1.34% | 1.51% |
Industrial Select Sector SPDR Fund | 1.06% | 1.63% | 1.63% | 1.25% | 1.55% | 1.94% | 2.15% | 1.77% | 2.07% | 2.15% | 1.85% | 1.68% |
VanEck Vectors Semiconductor ETF | 0.44% | 0.60% | 2.37% | 1.02% | 1.38% | 6.00% | 3.75% | 2.85% | 1.61% | 4.28% | 2.31% | 3.11% |
iShares U.S. Home Construction ETF | 0.39% | 0.48% | 0.86% | 0.37% | 0.46% | 0.50% | 0.63% | 0.28% | 0.43% | 0.34% | 0.34% | 0.12% |
Technology Select Sector SPDR Fund | 0.52% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% | 1.75% | 1.70% |
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 33.96%, occurring on Mar 23, 2020. Recovery took 84 trading sessions.
The current Backtest with SPDR Sectors 2 drawdown is 0.61%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-33.96% | Feb 13, 2020 | 27 | Mar 23, 2020 | 84 | Jul 22, 2020 | 111 |
-25.02% | Dec 30, 2021 | 200 | Oct 14, 2022 | 188 | Jul 18, 2023 | 388 |
-20.13% | Sep 21, 2018 | 65 | Dec 24, 2018 | 68 | Apr 3, 2019 | 133 |
-12.36% | Dec 2, 2015 | 49 | Feb 11, 2016 | 34 | Apr 1, 2016 | 83 |
-11.85% | May 22, 2015 | 66 | Aug 25, 2015 | 48 | Nov 2, 2015 | 114 |
Volatility
Volatility Chart
The current Backtest with SPDR Sectors 2 volatility is 4.76%, 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 | XLI | XLY | SCHD | |
---|---|---|---|---|---|---|---|
ITB | 1.00 | 0.47 | 0.51 | 0.53 | 0.64 | 0.66 | 0.60 |
XLV | 0.47 | 1.00 | 0.50 | 0.61 | 0.63 | 0.60 | 0.72 |
SMH | 0.51 | 0.50 | 1.00 | 0.84 | 0.63 | 0.68 | 0.63 |
XLK | 0.53 | 0.61 | 0.84 | 1.00 | 0.67 | 0.78 | 0.69 |
XLI | 0.64 | 0.63 | 0.63 | 0.67 | 1.00 | 0.73 | 0.87 |
XLY | 0.66 | 0.60 | 0.68 | 0.78 | 0.73 | 1.00 | 0.72 |
SCHD | 0.60 | 0.72 | 0.63 | 0.69 | 0.87 | 0.72 | 1.00 |