Backtest with SPDR Sectors 2

Asset Allocation

Position	Category/Sector	Target Weight
ITB iShares U.S. Home Construction ETF	Building & Construction	5%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	20%
SMH VanEck Semiconductor ETF	Semiconductors, Technology Equities	5%
XLI Industrial Select Sector SPDR Fund	Industrials Equities	15%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	25%
XLV State Street Health Care Select Sector SPDR ETF	Health & Biotech Equities	15%
XLY Consumer Discretionary Select Sector SPDR Fund	Consumer Discretionary Equities	15%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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.

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The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns By Period

As of Apr 2, 2026, the Backtest with SPDR Sectors 2 returned 0.16% Year-To-Date and 15.84% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio Backtest with SPDR Sectors 2	-0.18%	-3.92%	0.16%	1.90%	19.97%	17.33%	11.81%	15.84%
Portfolio components:
XLY Consumer Discretionary Select Sector SPDR Fund	-1.50%	-5.24%	-9.25%	-9.29%	7.23%	14.37%	5.86%	11.80%
SCHD Schwab U.S. Dividend Equity ETF	0.16%	-2.44%	12.35%	13.88%	13.89%	11.70%	8.35%	12.30%
XLV State Street Health Care Select Sector SPDR ETF	-0.62%	-5.95%	-4.77%	3.39%	3.55%	5.64%	6.45%	9.60%
XLI Industrial Select Sector SPDR Fund	-0.40%	-6.39%	5.87%	6.87%	24.75%	19.11%	12.34%	13.48%
SMH VanEck Semiconductor ETF	0.09%	0.32%	8.94%	16.35%	83.82%	44.85%	26.17%	31.69%
ITB iShares U.S. Home Construction ETF	-0.85%	-12.80%	-6.10%	-16.34%	-5.45%	9.57%	6.28%	13.73%
XLK State Street Technology Select Sector SPDR ETF	0.80%	-0.98%	-5.43%	-4.69%	30.55%	22.58%	15.84%	21.15%

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

Monthly Returns

Based on dividend-adjusted daily data since Oct 21, 2011, Backtest with SPDR Sectors 2's average daily return is +0.07%, while the average monthly return is +1.34%. At this rate, your investment would double in approximately 4.3 years.

Historically, 70% of months were positive and 30% were negative. The best month was Apr 2020 with a return of +14.0%, while the worst month was Mar 2020 at -12.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Backtest with SPDR Sectors 2 closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.8%, while the worst single day was Mar 16, 2020 at -12.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.84%	1.91%	-6.02%	0.71%									0.16%
2025	2.70%	-1.71%	-4.82%	-1.86%	5.17%	5.31%	1.60%	3.21%	3.15%	2.17%	0.44%	0.19%	16.15%
2024	0.57%	5.36%	2.83%	-5.06%	3.53%	2.93%	2.68%	1.77%	2.46%	-1.95%	5.65%	-4.08%	17.27%
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%	-8.45%	10.44%	-4.99%	-8.75%	8.38%	6.50%	-5.54%	-17.55%
2021	-0.24%	2.57%	5.66%	4.21%	0.64%	2.13%	2.32%	2.35%	-5.02%	7.30%	0.84%	4.92%	30.76%

Benchmark Metrics

Backtest with SPDR Sectors 2 has an annualized alpha of 3.39%, beta of 1.01, and R² of 0.97 versus S&P 500 Index. Calculated based on daily prices since October 21, 2011.

This portfolio captured 113.43% of S&P 500 Index gains but only 96.18% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 3.39% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
With beta of 1.01 and R² of 0.97, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.

Alpha: 3.39%

Beta: 1.01

R²: 0.97

Upside Capture: 113.43%

Downside Capture: 96.18%

Expense Ratio

Backtest with SPDR Sectors 2 has an expense ratio of 0.12%, 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.

ITB

iShares U.S. Home Construction ETF

SMH

VanEck Semiconductor ETF

XLY

Consumer Discretionary Select Sector SPDR Fund

XLI

Industrial Select Sector SPDR Fund

XLV

State Street Health Care Select Sector SPDR ETF

XLK

State Street Technology Select Sector SPDR ETF

SCHD

Schwab U.S. Dividend Equity ETF

Return for Risk

Risk / Return Rank

Backtest with SPDR Sectors 2 ranks 44 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.07	0.88	+0.19
Sortino ratio Return per unit of downside risk	1.63	1.37	+0.26
Omega ratio Gain probability vs. loss probability	1.24	1.21	+0.03
Calmar ratio Return relative to maximum drawdown	1.67	1.39	+0.28
Martin ratio Return relative to average drawdown	7.62	6.43	+1.19
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
XLY Consumer Discretionary Select Sector SPDR Fund	21	0.31	0.63	1.08	0.62	2.01
SCHD Schwab U.S. Dividend Equity ETF	40	0.89	1.34	1.19	1.09	3.69
XLV State Street Health Care Select Sector SPDR ETF	16	0.20	0.40	1.05	0.39	0.83
XLI Industrial Select Sector SPDR Fund	68	1.28	1.84	1.26	2.07	7.98
SMH VanEck Semiconductor ETF	94	2.28	2.89	1.41	5.34	18.94
ITB iShares U.S. Home Construction ETF	9	-0.18	-0.05	0.99	-0.17	-0.38
XLK State Street Technology Select Sector SPDR ETF	61	1.13	1.71	1.24	1.98	6.27

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.

Backtest with SPDR Sectors 2 Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.07
5-Year: 0.68
10-Year: 0.85
All Time: 0.94

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 1.00 to 1.70, 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 Backtest with SPDR Sectors 2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Backtest with SPDR Sectors 2 provided a 1.48% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.48%	1.55%	1.51%	1.54%	1.65%	1.23%	1.50%	1.79%	1.90%	1.62%	1.88%	1.92%
Portfolio components:
XLY Consumer Discretionary Select Sector SPDR Fund	0.83%	0.79%	0.72%	0.78%	1.00%	0.53%	0.82%	1.28%	1.34%	1.20%	1.71%	1.43%
SCHD Schwab U.S. Dividend Equity ETF	3.45%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
XLV State Street Health Care Select Sector SPDR ETF	1.71%	1.60%	1.67%	1.59%	1.47%	1.33%	1.49%	2.17%	1.57%	1.47%	1.60%	1.43%
XLI Industrial Select Sector SPDR Fund	1.25%	1.29%	1.44%	1.63%	1.63%	1.25%	1.55%	1.94%	2.15%	1.77%	2.07%	2.15%
SMH VanEck Semiconductor ETF	0.28%	0.31%	0.44%	0.60%	1.18%	0.51%	0.69%	1.50%	1.88%	1.43%	0.80%	2.14%
ITB iShares U.S. Home Construction ETF	1.26%	1.67%	0.46%	0.48%	0.86%	0.37%	0.46%	0.50%	0.63%	0.28%	0.43%	0.34%
XLK State Street Technology Select Sector SPDR ETF	0.56%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%

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.

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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 5.65%.

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
-20.21%	Sep 21, 2018	65	Dec 24, 2018	69	Apr 4, 2019	134
-19.07%	Dec 5, 2024	84	Apr 8, 2025	57	Jul 1, 2025	141
-12.46%	Dec 2, 2015	49	Feb 11, 2016	34	Apr 1, 2016	83

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 7 assets, with an effective number of assets of 5.71, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

	Benchmark	ITB	XLV	SMH	XLK	SCHD	XLY	XLI	Portfolio
Benchmark	1.00	0.62	0.72	0.77	0.89	0.82	0.86	0.84	0.97
ITB	0.62	1.00	0.47	0.48	0.50	0.61	0.64	0.63	0.69
XLV	0.72	0.47	1.00	0.47	0.56	0.71	0.57	0.62	0.73
SMH	0.77	0.48	0.47	1.00	0.85	0.58	0.67	0.62	0.80
XLK	0.89	0.50	0.56	0.85	1.00	0.63	0.75	0.66	0.89
SCHD	0.82	0.61	0.71	0.58	0.63	1.00	0.69	0.84	0.85
XLY	0.86	0.64	0.57	0.67	0.75	0.69	1.00	0.72	0.87
XLI	0.84	0.63	0.62	0.62	0.66	0.84	0.72	1.00	0.86
Portfolio	0.97	0.69	0.73	0.80	0.89	0.85	0.87	0.86	1.00

The correlation results are calculated based on daily price changes starting from Oct 21, 2011

Backtest with SPDR Sectors 2

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table