Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in sectors, 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 Jun 22, 2006, corresponding to the inception date of XRT
Returns By Period
As of Apr 3, 2026, the sectors returned 2.74% Year-To-Date and 11.91% 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 sectors | 0.00% | -3.85% | 2.74% | 3.40% | 14.07% | 13.75% | 9.53% | 11.91% |
| Portfolio components: | ||||||||
XHB SPDR S&P Homebuilders ETF | -1.00% | -11.73% | -4.46% | -11.73% | 0.02% | 13.96% | 7.37% | 12.26% |
XLF Financial Select Sector SPDR Fund | 0.18% | -2.78% | -9.10% | -6.36% | 0.27% | 17.30% | 9.41% | 12.53% |
XLI Industrial Select Sector SPDR Fund | -0.40% | -6.39% | 5.87% | 6.87% | 24.75% | 19.11% | 12.34% | 13.48% |
XRT SPDR S&P Retail ETF | -0.19% | -5.82% | -5.42% | -6.86% | 13.59% | 9.45% | -0.59% | 7.47% |
XLU Utilities Select Sector SPDR Fund | 0.50% | -0.86% | 9.31% | 6.98% | 20.02% | 14.75% | 11.01% | 9.89% |
XLK State Street Technology Select Sector SPDR ETF | 0.80% | -0.98% | -5.43% | -4.69% | 30.55% | 22.58% | 15.84% | 21.15% |
XLB Materials Select Sector SPDR ETF | -0.10% | -2.51% | 11.65% | 13.47% | 18.14% | 9.62% | 6.98% | 10.69% |
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% |
XLE State Street Energy Select Sector SPDR ETF | 0.47% | 5.52% | 33.39% | 36.01% | 29.93% | 14.70% | 23.16% | 11.36% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 0.53% | -6.14% | 6.01% | 6.51% | 3.19% | 5.77% | 6.56% | 7.15% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 23, 2006, sectors's average daily return is +0.05%, while the average monthly return is +0.90%. At this rate, your investment would double in approximately 6.4 years.
Historically, 65% of months were positive and 35% were negative. The best month was Apr 2009 with a return of +15.0%, while the worst month was Oct 2008 at -19.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, sectors closed higher 55% of trading days. The best single day was Oct 28, 2008 with a return of +11.0%, while the worst single day was Mar 16, 2020 at -12.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.77% | 4.38% | -5.44% | 0.31% | 2.74% | ||||||||
| 2025 | 3.27% | -0.59% | -3.53% | -2.33% | 4.20% | 3.00% | 1.24% | 3.71% | 1.12% | -0.82% | 2.10% | -0.32% | 11.25% |
| 2024 | -1.27% | 5.52% | 4.10% | -4.76% | 3.40% | -0.13% | 4.51% | 2.14% | 2.53% | -2.16% | 6.45% | -6.66% | 13.49% |
| 2023 | 7.06% | -3.25% | 0.61% | 0.93% | -3.34% | 8.49% | 3.82% | -2.83% | -4.75% | -3.35% | 8.95% | 6.32% | 18.65% |
| 2022 | -4.48% | -1.71% | 3.60% | -5.90% | 0.30% | -9.17% | 9.28% | -2.97% | -9.59% | 9.09% | 6.38% | -5.08% | -11.94% |
| 2021 | 2.14% | 2.90% | 7.49% | 4.73% | 1.41% | 0.17% | 0.96% | 2.04% | -4.23% | 7.45% | -1.39% | 5.50% | 32.53% |
Benchmark Metrics
sectors has an annualized alpha of 1.32%, beta of 0.98, and R² of 0.93 versus S&P 500 Index. Calculated based on daily prices since June 23, 2006.
- This portfolio captured 102.91% of S&P 500 Index gains but only 97.90% of its losses — a favorable profile for investors.
- With beta of 0.98 and R² of 0.93, 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
- 1.32%
- Beta
- 0.98
- R²
- 0.93
- Upside Capture
- 102.91%
- Downside Capture
- 97.90%
Expense Ratio
sectors has an expense ratio of 0.19%, 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.
Top 10 holdings
Return for Risk
Risk / Return Rank
sectors ranks 20 for risk / return — below 20% 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.84 | 0.88 | -0.04 |
Sortino ratioReturn per unit of downside risk | 1.31 | 1.37 | -0.06 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.21 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 1.22 | 1.39 | -0.16 |
Martin ratioReturn relative to average drawdown | 5.51 | 6.43 | -0.93 |
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 | |
|---|---|---|---|---|---|---|
XHB SPDR S&P Homebuilders ETF | 12 | 0.00 | 0.22 | 1.02 | 0.08 | 0.19 |
XLF Financial Select Sector SPDR Fund | 12 | 0.01 | 0.15 | 1.02 | 0.07 | 0.22 |
XLI Industrial Select Sector SPDR Fund | 68 | 1.28 | 1.84 | 1.26 | 2.07 | 7.98 |
XRT SPDR S&P Retail ETF | 31 | 0.55 | 1.00 | 1.12 | 1.19 | 3.09 |
XLU Utilities Select Sector SPDR Fund | 62 | 1.27 | 1.73 | 1.24 | 2.24 | 5.38 |
XLK State Street Technology Select Sector SPDR ETF | 61 | 1.13 | 1.71 | 1.24 | 1.98 | 6.27 |
XLB Materials Select Sector SPDR ETF | 42 | 0.87 | 1.36 | 1.17 | 1.31 | 4.52 |
XLV State Street Health Care Select Sector SPDR ETF | 16 | 0.20 | 0.40 | 1.05 | 0.39 | 0.83 |
XLE State Street Energy Select Sector SPDR ETF | 54 | 1.19 | 1.58 | 1.23 | 1.60 | 4.21 |
XLP State Street Consumer Staples Select Sector SPDR ETF | 16 | 0.23 | 0.43 | 1.05 | 0.30 | 0.71 |
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Dividends
Dividend yield
sectors provided a 1.56% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.56% | 1.63% | 1.74% | 1.86% | 2.00% | 1.63% | 1.93% | 2.26% | 2.19% | 1.91% | 3.52% | 2.12% |
| Portfolio components: | ||||||||||||
XHB SPDR S&P Homebuilders ETF | 0.65% | 0.78% | 0.59% | 0.77% | 1.06% | 0.51% | 0.73% | 0.89% | 1.25% | 0.72% | 0.67% | 0.50% |
XLF Financial Select Sector SPDR Fund | 1.60% | 1.31% | 1.42% | 1.71% | 2.04% | 1.63% | 2.03% | 1.87% | 2.08% | 1.48% | 21.10% | 1.95% |
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% |
XRT SPDR S&P Retail ETF | 0.86% | 0.77% | 1.52% | 1.40% | 2.15% | 1.55% | 1.01% | 1.57% | 1.51% | 1.52% | 1.36% | 1.30% |
XLU Utilities Select Sector SPDR Fund | 2.57% | 2.71% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% |
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% |
XLB Materials Select Sector SPDR ETF | 1.73% | 1.92% | 1.92% | 2.00% | 2.26% | 1.62% | 1.72% | 1.98% | 2.20% | 1.66% | 1.95% | 2.24% |
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% |
XLE State Street Energy Select Sector SPDR ETF | 2.52% | 3.28% | 3.36% | 3.55% | 3.68% | 4.21% | 5.62% | 6.72% | 3.54% | 3.03% | 2.26% | 3.39% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 2.66% | 2.75% | 2.77% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% |
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 sectors. 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 sectors was 56.22%, occurring on Mar 9, 2009. Recovery took 536 trading sessions.
The current sectors drawdown is 5.15%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -56.22% | Jun 5, 2007 | 444 | Mar 9, 2009 | 536 | Apr 21, 2011 | 980 |
| -38.31% | Feb 21, 2020 | 22 | Mar 23, 2020 | 111 | Aug 28, 2020 | 133 |
| -20.78% | Jul 8, 2011 | 61 | Oct 3, 2011 | 85 | Feb 3, 2012 | 146 |
| -20.72% | Jan 5, 2022 | 186 | Sep 30, 2022 | 207 | Jul 31, 2023 | 393 |
| -19.02% | Sep 24, 2018 | 64 | Dec 24, 2018 | 81 | Apr 23, 2019 | 145 |
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 13 assets, with an effective number of assets of 13.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
| Benchmark | XLU | XLE | XLP | XLV | IYR | XLK | XRT | XHB | XLF | XLB | IYT | XLY | XLI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.49 | 0.60 | 0.64 | 0.73 | 0.67 | 0.88 | 0.72 | 0.72 | 0.81 | 0.79 | 0.78 | 0.86 | 0.86 | 0.94 |
| XLU | 0.49 | 1.00 | 0.35 | 0.60 | 0.47 | 0.57 | 0.36 | 0.32 | 0.36 | 0.39 | 0.43 | 0.38 | 0.38 | 0.45 | 0.54 |
| XLE | 0.60 | 0.35 | 1.00 | 0.38 | 0.41 | 0.40 | 0.44 | 0.46 | 0.45 | 0.55 | 0.66 | 0.53 | 0.46 | 0.61 | 0.65 |
| XLP | 0.64 | 0.60 | 0.38 | 1.00 | 0.63 | 0.59 | 0.50 | 0.51 | 0.50 | 0.54 | 0.55 | 0.52 | 0.56 | 0.58 | 0.68 |
| XLV | 0.73 | 0.47 | 0.41 | 0.63 | 1.00 | 0.55 | 0.59 | 0.52 | 0.53 | 0.60 | 0.59 | 0.56 | 0.60 | 0.63 | 0.71 |
| IYR | 0.67 | 0.57 | 0.40 | 0.59 | 0.55 | 1.00 | 0.53 | 0.58 | 0.63 | 0.63 | 0.58 | 0.59 | 0.61 | 0.62 | 0.76 |
| XLK | 0.88 | 0.36 | 0.44 | 0.50 | 0.59 | 0.53 | 1.00 | 0.60 | 0.60 | 0.62 | 0.63 | 0.64 | 0.76 | 0.70 | 0.76 |
| XRT | 0.72 | 0.32 | 0.46 | 0.51 | 0.52 | 0.58 | 0.60 | 1.00 | 0.73 | 0.66 | 0.64 | 0.71 | 0.79 | 0.70 | 0.82 |
| XHB | 0.72 | 0.36 | 0.45 | 0.50 | 0.53 | 0.63 | 0.60 | 0.73 | 1.00 | 0.66 | 0.67 | 0.71 | 0.74 | 0.72 | 0.83 |
| XLF | 0.81 | 0.39 | 0.55 | 0.54 | 0.60 | 0.63 | 0.62 | 0.66 | 0.66 | 1.00 | 0.70 | 0.73 | 0.70 | 0.78 | 0.83 |
| XLB | 0.79 | 0.43 | 0.66 | 0.55 | 0.59 | 0.58 | 0.63 | 0.64 | 0.67 | 0.70 | 1.00 | 0.73 | 0.68 | 0.81 | 0.84 |
| IYT | 0.78 | 0.38 | 0.53 | 0.52 | 0.56 | 0.59 | 0.64 | 0.71 | 0.71 | 0.73 | 0.73 | 1.00 | 0.73 | 0.86 | 0.85 |
| XLY | 0.86 | 0.38 | 0.46 | 0.56 | 0.60 | 0.61 | 0.76 | 0.79 | 0.74 | 0.70 | 0.68 | 0.73 | 1.00 | 0.75 | 0.86 |
| XLI | 0.86 | 0.45 | 0.61 | 0.58 | 0.63 | 0.62 | 0.70 | 0.70 | 0.72 | 0.78 | 0.81 | 0.86 | 0.75 | 1.00 | 0.90 |
| Portfolio | 0.94 | 0.54 | 0.65 | 0.68 | 0.71 | 0.76 | 0.76 | 0.82 | 0.83 | 0.83 | 0.84 | 0.85 | 0.86 | 0.90 | 1.00 |