XL Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
IAU iShares Gold Trust	Gold, Precious Metals	20%
VTV Vanguard Value ETF	Large Cap Value Equities	20%
VUG Vanguard Growth ETF	Large Cap Growth Equities	22%
VXUS Vanguard Total International Stock ETF	Foreign Large Cap Equities	18%
XLB Materials Select Sector SPDR ETF	Materials	5%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	5%
XLU Utilities Select Sector SPDR Fund	Utilities Equities	10%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in XL Portfolio, 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 Jan 28, 2011, corresponding to the inception date of VXUS

Returns By Period

As of Apr 2, 2026, the XL Portfolio returned 2.78% Year-To-Date and 12.89% 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 XL Portfolio	-0.39%	-4.05%	2.78%	6.60%	25.20%	19.74%	12.72%	12.89%
Portfolio components:
XLU Utilities Select Sector SPDR Fund	0.50%	-0.86%	9.31%	6.98%	20.02%	14.75%	11.01%	9.89%
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%
VXUS Vanguard Total International Stock ETF	-0.68%	-2.51%	2.81%	6.58%	28.04%	15.41%	7.43%	9.01%
IAU iShares Gold Trust	-1.94%	-8.32%	8.34%	21.05%	49.18%	32.68%	21.72%	14.14%
VTV Vanguard Value ETF	0.16%	-3.03%	3.71%	6.74%	16.12%	14.94%	10.95%	11.89%
XLB Materials Select Sector SPDR ETF	-0.10%	-2.51%	11.65%	13.47%	18.14%	9.62%	6.98%	10.69%
VUG Vanguard Growth ETF	0.11%	-3.66%	-9.29%	-8.34%	17.67%	21.67%	11.69%	16.20%

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

Monthly Returns

Based on dividend-adjusted daily data since Jan 31, 2011, XL Portfolio's average daily return is +0.05%, while the average monthly return is +0.92%. At this rate, your investment would double in approximately 6.3 years.

Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +9.7%, while the worst month was Mar 2020 at -9.8%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, XL Portfolio closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +7.9%, while the worst single day was Mar 16, 2020 at -8.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	5.05%	4.48%	-6.84%	0.52%									2.78%
2025	3.86%	0.66%	-0.40%	1.21%	4.05%	3.00%	1.01%	2.75%	4.67%	1.68%	1.87%	0.48%	27.69%
2024	-0.37%	3.39%	4.73%	-1.61%	4.20%	0.59%	3.09%	2.83%	3.20%	-0.72%	2.61%	-3.52%	19.62%
2023	5.76%	-3.65%	4.41%	1.47%	-1.83%	3.99%	3.10%	-2.72%	-4.53%	-0.14%	6.93%	3.67%	16.82%
2022	-3.86%	-0.77%	3.07%	-5.86%	-0.19%	-6.45%	5.04%	-3.27%	-8.31%	4.59%	7.82%	-2.78%	-11.72%
2021	-1.44%	-0.10%	3.82%	4.22%	2.42%	-0.97%	1.85%	2.01%	-4.42%	4.75%	-1.61%	4.88%	16.01%

Benchmark Metrics

XL Portfolio has an annualized alpha of 2.65%, beta of 0.71, and R² of 0.86 versus S&P 500 Index. Calculated based on daily prices since January 31, 2011.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (76.13%) than losses (70.23%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 2.65% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 2.65%

Beta: 0.71

R²: 0.86

Upside Capture: 76.13%

Downside Capture: 70.23%

Expense Ratio

XL Portfolio has an expense ratio of 0.10%, 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.

IAU

iShares Gold Trust

XLU

Utilities Select Sector SPDR Fund

XLB

Materials Select Sector SPDR ETF

XLP

State Street Consumer Staples Select Sector SPDR ETF

VXUS

Vanguard Total International Stock ETF

VTV

Vanguard Value ETF

VUG

Vanguard Growth ETF

Return for Risk

Risk / Return Rank

XL Portfolio ranks 82 for risk / return — in the top 82% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

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	1.74	0.88	+0.86
Sortino ratio Return per unit of downside risk	2.42	1.37	+1.05
Omega ratio Gain probability vs. loss probability	1.37	1.21	+0.16
Calmar ratio Return relative to maximum drawdown	2.63	1.39	+1.24
Martin ratio Return relative to average drawdown	10.76	6.43	+4.32
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
XLU Utilities Select Sector SPDR Fund	62	1.27	1.73	1.24	2.24	5.38
XLP State Street Consumer Staples Select Sector SPDR ETF	16	0.23	0.43	1.05	0.30	0.71
VXUS Vanguard Total International Stock ETF	80	1.63	2.25	1.33	2.52	9.49
IAU iShares Gold Trust	80	1.78	2.21	1.33	2.58	9.32
VTV Vanguard Value ETF	56	1.09	1.57	1.23	1.48	6.62
XLB Materials Select Sector SPDR ETF	42	0.87	1.36	1.17	1.31	4.52
VUG Vanguard Growth ETF	38	0.78	1.27	1.18	1.13	3.90

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.

XL Portfolio Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.74
5-Year: 0.99
10-Year: 0.95
All Time: 0.84

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 1.68, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of XL Portfolio 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

XL Portfolio provided a 1.51% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.51%	1.58%	1.70%	1.77%	1.74%	1.57%	1.57%	1.78%	2.00%	1.75%	1.89%	1.92%
Portfolio components:
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%
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%
VXUS Vanguard Total International Stock ETF	2.95%	3.18%	3.37%	3.24%	3.09%	3.10%	2.14%	3.06%	3.18%	2.73%	2.93%	2.83%
IAU iShares Gold Trust	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VTV Vanguard Value ETF	2.02%	2.05%	2.31%	2.46%	2.52%	2.15%	2.56%	2.50%	2.73%	2.29%	2.44%	2.60%
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%
VUG Vanguard Growth ETF	0.45%	0.41%	0.47%	0.58%	0.70%	0.48%	0.66%	0.95%	1.32%	1.14%	1.39%	1.30%

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 XL Portfolio. 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 XL Portfolio was 27.44%, occurring on Mar 23, 2020. Recovery took 83 trading sessions.

The current XL Portfolio drawdown is 5.99%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-27.44%	Feb 20, 2020	23	Mar 23, 2020	83	Jul 21, 2020	106
-20.26%	Jan 5, 2022	196	Oct 14, 2022	193	Jul 25, 2023	389
-13.86%	May 2, 2011	108	Oct 3, 2011	83	Feb 1, 2012	191
-13.55%	Jan 29, 2018	229	Dec 24, 2018	68	Apr 3, 2019	297
-12.48%	May 19, 2015	170	Jan 20, 2016	62	Apr 19, 2016	232

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 5.69, 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	IAU	XLU	XLP	VUG	XLB	VXUS	VTV	Portfolio
Benchmark	1.00	0.04	0.43	0.61	0.94	0.79	0.81	0.89	0.90
IAU	0.04	1.00	0.13	0.05	0.04	0.14	0.19	0.04	0.35
XLU	0.43	0.13	1.00	0.60	0.33	0.38	0.36	0.50	0.55
XLP	0.61	0.05	0.60	1.00	0.50	0.54	0.51	0.68	0.64
VUG	0.94	0.04	0.33	0.50	1.00	0.68	0.75	0.73	0.83
XLB	0.79	0.14	0.38	0.54	0.68	1.00	0.76	0.84	0.81
VXUS	0.81	0.19	0.36	0.51	0.75	0.76	1.00	0.78	0.88
VTV	0.89	0.04	0.50	0.68	0.73	0.84	0.78	1.00	0.85
Portfolio	0.90	0.35	0.55	0.64	0.83	0.81	0.88	0.85	1.00

The correlation results are calculated based on daily price changes starting from Jan 31, 2011

XL Portfolio

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