Stagflation Sectors

Asset Allocation

Position	Category/Sector	Target Weight
PJP Invesco Dynamic Pharmaceuticals ETF	Health & Biotech Equities	20%
IAK iShares U.S. Insurance ETF	Financials Equities	20%
VPU Vanguard Utilities ETF	Utilities Equities	20%
VDE Vanguard Energy ETF	Energy Equities	20%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	20%

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Stagflation 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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Returns By Period

As of Jul 26, 2026, the Stagflation Sectors returned 17.68% Year-To-Date and 10.46% of annualized return in the last 10 years.

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	0.05%	0.74%	7.18%	8.28%	16.02%	17.51%	10.93%	13.07%	8.07%
Portfolio Stagflation Sectors	0.67%	4.71%	14.73%	17.68%	25.72%	15.65%	13.91%	10.46%	9.74%
Portfolio components:
IAK iShares U.S. Insurance ETF	2.11%	7.61%	16.12%	10.81%	17.49%	20.39%	16.26%	13.33%	7.43%
PJP Invesco Dynamic Pharmaceuticals ETF	0.14%	4.06%	15.29%	15.78%	43.85%	17.08%	9.28%	7.06%	11.71%
VDE Vanguard Energy ETF	0.04%	10.29%	22.82%	35.27%	41.64%	15.31%	24.05%	9.81%	8.35%
VPU Vanguard Utilities ETF	0.02%	0.66%	9.17%	9.23%	12.20%	13.78%	10.11%	9.11%	9.93%
XLP State Street Consumer Staples Select Sector SPDR ETF	1.11%	0.23%	2.75%	9.67%	6.09%	6.34%	6.10%	7.18%	6.83%

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

Monthly Returns

Based on dividend-adjusted daily data since May 5, 2006, Stagflation Sectors's average daily return is +0.04%, while the average monthly return is +0.86%. At this rate, an investment would double in approximately 6.7 years.

Historically, 65% of months were positive and 35% were negative. The best month was Apr 2020 with a return of +12.4%, while the worst month was Oct 2008 at -16.6%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Stagflation Sectors closed higher 54% of trading days. The best single day was Oct 13, 2008 with a return of +12.9%, while the worst single day was Mar 16, 2020 at -10.5%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.35%	6.64%	-1.44%	1.48%	-2.19%	3.48%	4.46%						17.68%
2025	2.25%	3.18%	0.90%	-4.55%	1.46%	0.50%	0.42%	4.07%	1.04%	-0.53%	4.93%	-1.34%	12.67%
2024	0.70%	2.51%	6.17%	-1.81%	3.84%	-1.44%	4.40%	3.77%	0.62%	-1.29%	5.34%	-6.97%	16.13%
2023	0.80%	-3.75%	-0.28%	2.51%	-6.35%	4.05%	3.83%	-1.63%	-2.49%	-1.57%	3.37%	2.73%	0.61%
2022	1.95%	0.92%	6.95%	-2.91%	3.68%	-6.54%	3.81%	-0.38%	-6.86%	11.61%	4.46%	-2.46%	13.38%
2021	0.74%	4.79%	5.85%	2.28%	1.89%	0.14%	-0.38%	2.03%	-2.25%	5.53%	-3.38%	6.88%	26.27%

Benchmark Metrics

Stagflation Sectors has an annualized alpha of 2.42%, beta of 0.81, and R2 of 0.80 versus S&P 500 Index. Calculated based on daily prices since May 05, 2006.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (80.75%) than losses (75.29%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 2.42% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 2.42%

Beta: 0.81

R²: 0.80

Upside Capture: 80.75%

Downside Capture: 75.29%

See how alpha, beta & R² have trended over time →

Expense Ratio

Stagflation Sectors has an expense ratio of 0.24%, 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.

PJP

Invesco Dynamic Pharmaceuticals ETF

IAK

iShares U.S. Insurance ETF

VPU

Vanguard Utilities ETF

VDE

Vanguard Energy ETF

XLP

State Street Consumer Staples Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

Stagflation Sectors ranks 95 for risk / return — in the top 95% 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

The table below presents risk-adjusted performance metrics for Stagflation Sectors and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.70	1.31	+1.39
Sortino ratioReturn per unit of downside risk	3.96	1.84	+2.12
Omega ratioGain probability vs. loss probability	1.48	1.24	+0.24
Calmar ratioReturn relative to maximum drawdown	5.83	1.82	+4.01
Martin ratioReturn relative to average drawdown	19.42	7.79	+11.63

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
IAK iShares U.S. Insurance ETF	51	1.16	1.70	1.21	2.41	5.86
PJP Invesco Dynamic Pharmaceuticals ETF	93	2.62	3.72	1.44	4.71	14.61
VDE Vanguard Energy ETF	75	1.98	2.57	1.32	2.74	7.34
VPU Vanguard Utilities ETF	34	0.85	1.24	1.15	1.41	2.92
XLP State Street Consumer Staples Select Sector SPDR ETF	21	0.45	0.76	1.09	0.65	1.18

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. Learn how to interpret the Sharpe ratio.

The current Stagflation Sectors Sharpe ratio is 2.70 as of Jul 26, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.08 to 1.91, 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 Stagflation Sectors 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

Stagflation Sectors provided a 2.18% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.18%	2.25%	2.30%	2.38%	2.35%	2.44%	2.65%	2.28%	2.61%	2.19%	2.12%	3.29%
Portfolio components:
IAK iShares U.S. Insurance ETF	2.41%	1.69%	1.49%	1.44%	1.69%	2.26%	2.07%	1.84%	2.33%	1.62%	1.68%	1.62%
PJP Invesco Dynamic Pharmaceuticals ETF	0.88%	0.98%	0.97%	1.01%	0.95%	0.81%	0.75%	0.77%	1.12%	0.65%	0.91%	5.49%
VDE Vanguard Energy ETF	2.39%	3.11%	3.23%	3.34%	3.65%	4.13%	4.76%	3.42%	3.35%	2.90%	2.31%	3.17%
VPU Vanguard Utilities ETF	2.59%	2.73%	3.02%	3.49%	2.98%	2.70%	3.17%	2.83%	3.23%	3.18%	3.19%	3.63%
XLP State Street Consumer Staples Select Sector SPDR ETF	2.61%	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 Stagflation 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 Stagflation Sectors was 48.64%, occurring on Mar 9, 2009. Recovery took 491 trading sessions.

Drawdown	Fall	Recovery	Underwater	Related event
-48.64%Mar 2009	1y 2mo	1y 11mo	3y 2moDec 2007 - Feb 2011	Financial crisis2007–2009
-37.13%Mar 2020	1mo 4d	9mo 19d	10mo 23dFeb 2020 - Jan 2021	COVID crash2020
-16.46%Dec 2018	2mo 15d	6mo 11d	8mo 26dOct 2018 - Jul 2019	Rate-hike selloffLate 2018
-15.54%Aug 2011	1mo 1d	5mo 5d	6mo 6dJul 2011 - Jan 2012	—
-13.37%Jun 2022	1mo 27d	5mo 8d	7mo 5dApr 2022 - Nov 2022	Bear market2022

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 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.70	1.44	1.38	1.28	1.22

The portfolio has a diversification ratio of 1.22, in line with the typical range across portfolios.

Stagflation Sectors correlation to the S&P 500 Index

Stagflation Sectors has a 0.09 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.09
Correlation (3Y) Balances recent behavior with more history.	0.38
Correlation (5Y) Shows whether the relationship held over a longer period.	0.55
Correlation (10Y) Provides a long-term view across more market conditions.	0.66
Correlation (All Time) Calculated using the full available price history since May 5, 2006	0.81