sectors
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 Quarterly
The earliest data available for this chart is Jun 22, 2006, corresponding to the inception date of XRT
Returns By Period
As of Sep 20, 2024, the sectors returned 15.77% Year-To-Date and 11.82% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| sectors | 15.77% | 3.21% | 8.12% | 28.54% | 14.61% | 11.90% |
| Portfolio components: | ||||||
XHB SPDR S&P Homebuilders ETF | 31.06% | 8.89% | 13.54% | 65.07% | 24.85% | 16.29% |
XLF Financial Select Sector SPDR Fund | 22.45% | 4.32% | 10.75% | 36.41% | 12.38% | 13.76% |
XLI Industrial Select Sector SPDR Fund | 18.43% | 4.65% | 7.48% | 32.89% | 13.33% | 11.69% |
XRT SPDR S&P Retail ETF | 7.50% | -0.36% | 0.47% | 30.46% | 14.90% | 7.60% |
XLU Utilities Select Sector SPDR Fund | 25.21% | 3.61% | 23.16% | 26.23% | 7.32% | 9.86% |
XLK Technology Select Sector SPDR Fund | 16.57% | -0.87% | 6.72% | 37.07% | 23.92% | 20.35% |
XLB Materials Select Sector SPDR ETF | 11.68% | 3.30% | 4.18% | 22.63% | 12.38% | 8.72% |
XLV Health Care Select Sector SPDR Fund | 15.19% | 0.80% | 7.63% | 20.99% | 13.00% | 11.06% |
XLE Energy Select Sector SPDR Fund | 7.82% | 0.15% | -2.95% | 2.36% | 12.92% | 3.55% |
XLP Consumer Staples Select Sector SPDR Fund | 16.46% | 1.13% | 10.09% | 19.86% | 9.27% | 9.11% |
XLY Consumer Discretionary Select Sector SPDR Fund | 10.73% | 5.11% | 8.12% | 22.04% | 11.33% | 12.71% |
IYT iShares Transportation Average ETF | 5.56% | 4.10% | -2.04% | 21.02% | 12.93% | 11.04% |
IYR iShares U.S. Real Estate ETF | 13.23% | 5.97% | 17.32% | 30.84% | 4.67% | 7.34% |
Monthly Returns
The table below presents the monthly returns of sectors, 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 | -1.27% | 5.52% | 4.10% | -4.76% | 3.40% | -0.13% | 4.51% | 2.14% | 15.77% | ||||
| 2023 | 7.06% | -3.25% | 0.70% | 0.93% | -3.34% | 8.58% | 3.82% | -2.83% | -4.66% | -3.35% | 8.95% | 6.40% | 19.05% |
| 2022 | -4.48% | -1.71% | 3.67% | -5.90% | 0.30% | -9.12% | 9.28% | -2.97% | -9.52% | 9.09% | 6.38% | -4.99% | -11.68% |
| 2021 | 2.14% | 2.90% | 7.56% | 4.73% | 1.41% | 0.20% | 0.96% | 2.04% | -4.18% | 7.45% | -1.39% | 5.55% | 32.79% |
| 2020 | -1.28% | -9.09% | -16.68% | 14.04% | 5.94% | 1.71% | 6.15% | 5.46% | -2.15% | -1.81% | 12.38% | 3.19% | 14.60% |
| 2019 | 8.38% | 3.31% | 1.44% | 3.11% | -6.58% | 7.06% | 0.89% | -1.68% | 3.15% | 1.29% | 2.51% | 2.43% | 27.44% |
| 2018 | 3.58% | -5.21% | -1.00% | 0.46% | 1.84% | 1.16% | 3.32% | 1.97% | -0.17% | -6.83% | 2.87% | -9.24% | -7.96% |
| 2017 | 1.39% | 3.19% | -0.21% | 0.84% | 0.37% | 1.19% | 1.09% | -0.31% | 3.03% | 1.05% | 4.02% | 1.46% | 18.40% |
| 2016 | -5.23% | 1.55% | 7.60% | 0.44% | 0.62% | 0.93% | 3.81% | -0.55% | 1.35% | -2.26% | 4.70% | 1.46% | 14.77% |
| 2015 | -1.79% | 4.27% | -0.94% | -0.52% | 0.58% | -1.95% | 1.88% | -5.58% | -2.38% | 7.09% | -0.02% | -2.49% | -2.42% |
| 2014 | -3.12% | 4.91% | 0.57% | 0.74% | 2.22% | 2.38% | -2.70% | 4.33% | -2.24% | 3.25% | 3.23% | 0.50% | 14.56% |
| 2013 | 6.06% | 1.14% | 4.18% | 2.15% | 1.10% | -1.60% | 4.71% | -3.47% | 3.96% | 4.04% | 2.26% | 2.32% | 29.90% |
Expense Ratio
sectors has an expense ratio of 0.21%, 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 sectors is 45, 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 | |
|---|---|---|---|---|---|
XHB SPDR S&P Homebuilders ETF | 2.29 | 3.13 | 1.38 | 3.24 | 11.88 |
XLF Financial Select Sector SPDR Fund | 2.54 | 3.33 | 1.43 | 1.55 | 12.84 |
XLI Industrial Select Sector SPDR Fund | 2.23 | 3.07 | 1.38 | 2.40 | 13.47 |
XRT SPDR S&P Retail ETF | 1.25 | 1.93 | 1.22 | 0.67 | 6.41 |
XLU Utilities Select Sector SPDR Fund | 1.48 | 2.04 | 1.26 | 0.99 | 5.83 |
XLK Technology Select Sector SPDR Fund | 1.52 | 2.05 | 1.27 | 1.94 | 6.96 |
XLB Materials Select Sector SPDR ETF | 1.31 | 1.82 | 1.23 | 1.26 | 6.32 |
XLV Health Care Select Sector SPDR Fund | 1.84 | 2.51 | 1.34 | 1.71 | 8.93 |
XLE Energy Select Sector SPDR Fund | 0.00 | 0.13 | 1.02 | 0.00 | 0.00 |
XLP Consumer Staples Select Sector SPDR Fund | 1.73 | 2.48 | 1.29 | 1.27 | 8.20 |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.94 | 1.35 | 1.17 | 0.61 | 4.06 |
IYT iShares Transportation Average ETF | 1.05 | 1.60 | 1.18 | 0.97 | 3.53 |
IYR iShares U.S. Real Estate ETF | 1.44 | 2.07 | 1.26 | 0.78 | 5.17 |
Dividends
Dividend yield
sectors granted a 1.35% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| sectors | 1.35% | 1.86% | 2.00% | 1.63% | 1.93% | 2.19% | 2.19% | 1.91% | 2.02% | 2.15% | 1.85% | 1.80% |
| Portfolio components: | ||||||||||||
XHB SPDR S&P Homebuilders ETF | 0.40% | 0.77% | 1.06% | 0.51% | 0.73% | 0.89% | 1.25% | 0.72% | 0.67% | 0.50% | 0.78% | 0.29% |
XLF Financial Select Sector SPDR Fund | 1.09% | 1.71% | 2.04% | 1.63% | 2.03% | 1.87% | 2.08% | 1.48% | 1.63% | 2.40% | 1.98% | 1.81% |
XLI Industrial Select Sector SPDR Fund | 1.05% | 1.63% | 1.63% | 1.25% | 1.55% | 1.94% | 2.15% | 1.77% | 2.07% | 2.15% | 1.85% | 1.68% |
XRT SPDR S&P Retail ETF | 1.10% | 1.40% | 2.15% | 1.55% | 1.01% | 1.57% | 1.51% | 1.52% | 1.36% | 1.30% | 0.74% | 0.60% |
XLU Utilities Select Sector SPDR Fund | 2.14% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% | 3.19% | 3.86% |
XLK 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% |
XLB Materials Select Sector SPDR ETF | 1.42% | 2.00% | 2.26% | 1.62% | 1.72% | 1.98% | 2.20% | 1.66% | 1.95% | 2.24% | 1.97% | 2.08% |
XLV 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% |
XLE Energy Select Sector SPDR Fund | 2.53% | 3.55% | 3.68% | 4.21% | 5.62% | 5.73% | 3.54% | 3.03% | 2.26% | 3.39% | 2.35% | 1.73% |
XLP Consumer Staples Select Sector SPDR Fund | 2.02% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% | 2.40% | 2.39% |
XLY 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% |
IYT iShares Transportation Average ETF | 1.19% | 1.26% | 1.40% | 0.77% | 0.93% | 1.29% | 1.35% | 0.92% | 0.96% | 1.28% | 0.70% | 0.86% |
IYR iShares U.S. Real Estate ETF | 2.49% | 2.75% | 2.92% | 2.06% | 2.58% | 3.05% | 3.53% | 3.73% | 4.41% | 3.92% | 3.66% | 3.78% |
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 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 55.97%, occurring on Mar 9, 2009. Recovery took 492 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -55.97% | Jun 5, 2007 | 444 | Mar 9, 2009 | 492 | Feb 17, 2011 | 936 |
| -38.31% | Feb 21, 2020 | 22 | Mar 23, 2020 | 111 | Aug 28, 2020 | 133 |
| -20.66% | Jul 8, 2011 | 61 | Oct 3, 2011 | 85 | Feb 3, 2012 | 146 |
| -20.56% | Jan 5, 2022 | 186 | Sep 30, 2022 | 203 | Jul 25, 2023 | 389 |
| -18.92% | Sep 24, 2018 | 64 | Dec 24, 2018 | 75 | Apr 12, 2019 | 139 |
Volatility
Volatility Chart
The current sectors volatility is 3.52%, 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
| XLU | XLE | XLP | XLV | IYR | XLK | XRT | XHB | XLF | XLB | IYT | XLY | XLI | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| XLU | 1.00 | 0.36 | 0.62 | 0.48 | 0.58 | 0.38 | 0.33 | 0.36 | 0.39 | 0.43 | 0.39 | 0.40 | 0.46 |
| XLE | 0.36 | 1.00 | 0.40 | 0.43 | 0.41 | 0.47 | 0.48 | 0.47 | 0.58 | 0.69 | 0.55 | 0.49 | 0.64 |
| XLP | 0.62 | 0.40 | 1.00 | 0.65 | 0.59 | 0.55 | 0.52 | 0.51 | 0.56 | 0.56 | 0.54 | 0.59 | 0.61 |
| XLV | 0.48 | 0.43 | 0.65 | 1.00 | 0.54 | 0.62 | 0.53 | 0.53 | 0.60 | 0.59 | 0.57 | 0.62 | 0.64 |
| IYR | 0.58 | 0.41 | 0.59 | 0.54 | 1.00 | 0.56 | 0.58 | 0.63 | 0.64 | 0.58 | 0.60 | 0.63 | 0.63 |
| XLK | 0.38 | 0.47 | 0.55 | 0.62 | 0.56 | 1.00 | 0.62 | 0.62 | 0.63 | 0.66 | 0.66 | 0.78 | 0.71 |
| XRT | 0.33 | 0.48 | 0.52 | 0.53 | 0.58 | 0.62 | 1.00 | 0.74 | 0.66 | 0.64 | 0.71 | 0.80 | 0.70 |
| XHB | 0.36 | 0.47 | 0.51 | 0.53 | 0.63 | 0.62 | 0.74 | 1.00 | 0.67 | 0.66 | 0.71 | 0.76 | 0.73 |
| XLF | 0.39 | 0.58 | 0.56 | 0.60 | 0.64 | 0.63 | 0.66 | 0.67 | 1.00 | 0.70 | 0.73 | 0.71 | 0.78 |
| XLB | 0.43 | 0.69 | 0.56 | 0.59 | 0.58 | 0.66 | 0.64 | 0.66 | 0.70 | 1.00 | 0.73 | 0.69 | 0.81 |
| IYT | 0.39 | 0.55 | 0.54 | 0.57 | 0.60 | 0.66 | 0.71 | 0.71 | 0.73 | 0.73 | 1.00 | 0.74 | 0.86 |
| XLY | 0.40 | 0.49 | 0.59 | 0.62 | 0.63 | 0.78 | 0.80 | 0.76 | 0.71 | 0.69 | 0.74 | 1.00 | 0.76 |
| XLI | 0.46 | 0.64 | 0.61 | 0.64 | 0.63 | 0.71 | 0.70 | 0.73 | 0.78 | 0.81 | 0.86 | 0.76 | 1.00 |