SPDR 系列基金 (sector rotation)

Asset Allocation

Position	Category/Sector	Target Weight
XLE State Street Energy Select Sector SPDR ETF	Energy Equities	9.09%
XLU State Street Utilities Select Sector SPDR ETF	Utilities Equities	9.09%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	9.09%
XLV State Street Health Care Select Sector SPDR ETF	Health & Biotech Equities	9.09%
XLC Communication Services Select Sector SPDR Fund	Communications Equities	9.09%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	9.09%
XLY Consumer Discretionary Select Sector SPDR Fund	Consumer Discretionary Equities	9.09%
XLF State Street Financial Select Sector SPDR ETF	Financials Equities	9.09%
XLB Materials Select Sector SPDR ETF	Materials	9.09%
XLI Industrial Select Sector SPDR Fund	Industrials Equities	9.09%
XLRE Real Estate Select Sector SPDR Fund	REIT	9.09%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in SPDR 系列基金 (sector rotation), 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

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio SPDR 系列基金 (sector rotation)	-0.21%	0.08%	9.04%	10.26%	19.03%	16.50%	10.86%	—
Portfolio components:
XLB Materials Select Sector SPDR ETF	-1.32%	-3.16%	10.66%	16.01%	16.06%	10.29%	5.04%	9.85%
XLC Communication Services Select Sector SPDR Fund	-0.52%	-5.00%	-5.33%	-3.83%	8.44%	22.01%	8.07%	—
XLE State Street Energy Select Sector SPDR ETF	1.14%	4.72%	31.32%	30.37%	44.35%	16.51%	20.33%	10.02%
XLF State Street Financial Select Sector SPDR ETF	-0.63%	1.42%	-4.62%	-1.98%	2.91%	18.06%	8.47%	12.79%
XLI Industrial Select Sector SPDR Fund	-0.32%	0.25%	12.25%	13.16%	21.42%	21.04%	12.54%	13.86%
XLK State Street Technology Select Sector SPDR ETF	2.15%	4.93%	28.09%	25.10%	55.42%	31.33%	22.26%	25.04%
XLP State Street Consumer Staples Select Sector SPDR ETF	-0.44%	-1.32%	7.54%	8.22%	4.50%	7.23%	6.10%	7.21%
XLRE Real Estate Select Sector SPDR Fund	-1.50%	-0.86%	9.85%	9.99%	8.79%	9.56%	2.78%	6.77%
XLU State Street Utilities Select Sector SPDR ETF	-1.87%	-2.68%	2.66%	3.35%	10.26%	12.85%	9.10%	8.99%
XLV State Street Health Care Select Sector SPDR ETF	-0.24%	6.38%	-0.98%	1.65%	15.62%	7.16%	6.05%	9.65%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 19, 2018, SPDR 系列基金 (sector rotation)'s average daily return is +0.05%, while the average monthly return is +1.08%. At this rate, an investment would double in approximately 5.4 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2020 with a return of +13.1%, while the worst month was Mar 2020 at -13.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, SPDR 系列基金 (sector rotation) closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.7%, while the worst single day was Mar 16, 2020 at -11.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.81%	3.80%	-4.21%	5.60%	1.07%	-1.03%							9.04%
2025	3.62%	0.60%	-2.98%	-2.06%	3.94%	3.12%	0.96%	2.45%	1.92%	-0.35%	1.72%	-0.01%	13.44%
2024	-0.28%	4.27%	3.99%	-3.73%	3.72%	0.54%	3.27%	2.90%	2.33%	-1.34%	5.92%	-5.55%	16.50%
2023	6.05%	-3.30%	2.08%	1.49%	-2.72%	6.62%	3.32%	-2.25%	-4.16%	-2.48%	7.88%	4.56%	17.31%
2022	-3.10%	-1.75%	4.93%	-6.37%	1.16%	-8.79%	8.04%	-2.98%	-9.47%	8.34%	6.05%	-4.73%	-10.35%
2021	-0.88%	4.13%	5.77%	4.77%	1.58%	0.86%	1.53%	2.35%	-4.03%	6.67%	-1.95%	5.89%	29.42%

Benchmark Metrics

SPDR 系列基金 (sector rotation) has an annualized alpha of 0.81%, beta of 0.89, and R2 of 0.92 versus S&P 500 Index. Calculated based on daily prices since June 19, 2018.

This portfolio participated in 89.75% of S&P 500 Index downside but only 88.69% of its upside - more exposed to losses than it benefited from rallies.
With beta of 0.89 and R2 of 0.92, 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: 0.81%

Beta: 0.89

R²: 0.92

Upside Capture: 88.69%

Downside Capture: 89.75%

Expense Ratio

SPDR 系列基金 (sector rotation) 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.

Top 10 holdings

XLRE

Real Estate Select Sector SPDR Fund

XLC

Communication Services Select Sector SPDR Fund

XLY

Consumer Discretionary Select Sector SPDR Fund

XLB

Materials Select Sector SPDR ETF

XLE

State Street Energy Select Sector SPDR ETF

XLU

State Street Utilities Select Sector SPDR ETF

XLP

State Street Consumer Staples Select Sector SPDR ETF

XLV

State Street Health Care Select Sector SPDR ETF

XLK

State Street Technology Select Sector SPDR ETF

XLF

State Street Financial Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

SPDR 系列基金 (sector rotation) ranks 50 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

The table below presents risk-adjusted performance metrics for SPDR 系列基金 (sector rotation) and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.02	1.94	+0.09
Sortino ratioReturn per unit of downside risk	2.84	2.63	+0.22
Omega ratioGain probability vs. loss probability	1.36	1.35	+0.01
Calmar ratioReturn relative to maximum drawdown	3.15	2.59	+0.56
Martin ratioReturn relative to average drawdown	12.35	11.84	+0.50
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
XLB Materials Select Sector SPDR ETF	29	0.95	1.43	1.17	1.30	4.02
XLC Communication Services Select Sector SPDR Fund	21	0.64	1.01	1.11	0.80	2.63
XLE State Street Energy Select Sector SPDR ETF	70	2.18	2.81	1.35	3.70	10.59
XLF State Street Financial Select Sector SPDR ETF	12	0.20	0.37	1.05	0.20	0.51
XLI Industrial Select Sector SPDR Fund	43	1.39	2.06	1.24	1.76	6.97
XLK State Street Technology Select Sector SPDR ETF	77	2.53	3.06	1.42	3.50	11.58
XLP State Street Consumer Staples Select Sector SPDR ETF	15	0.36	0.60	1.07	0.47	0.91
XLRE Real Estate Select Sector SPDR Fund	22	0.65	0.95	1.12	1.06	2.91
XLU State Street Utilities Select Sector SPDR ETF	22	0.71	1.04	1.13	1.12	2.47
XLV State Street Health Care Select Sector SPDR ETF	32	1.05	1.68	1.19	1.50	3.60

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.

SPDR 系列基金 (sector rotation) Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 2.02
5-Year: 0.74
All Time: 0.70

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 1.59 to 2.46, 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 SPDR 系列基金 (sector rotation) 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

SPDR 系列基金 (sector rotation) provided a 1.78% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.78%	1.89%	1.94%	2.01%	2.12%	1.79%	2.15%	2.41%	2.30%	1.93%	3.87%	1.97%
Portfolio components:
XLB Materials Select Sector SPDR ETF	1.75%	1.92%	1.92%	2.00%	2.26%	1.62%	1.72%	1.98%	2.20%	1.66%	1.95%	2.24%
XLC Communication Services Select Sector SPDR Fund	1.26%	1.13%	0.99%	0.82%	1.10%	0.74%	0.68%	0.82%	0.64%	0.00%	0.00%	0.00%
XLE State Street Energy Select Sector SPDR ETF	2.56%	3.28%	3.36%	3.55%	3.68%	4.21%	5.62%	6.72%	3.54%	3.03%	2.26%	3.39%
XLF State Street Financial Select Sector SPDR ETF	1.52%	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	1.18%	1.29%	1.44%	1.63%	1.63%	1.25%	1.55%	1.94%	2.15%	1.77%	2.07%	2.15%
XLK State Street Technology Select Sector SPDR ETF	0.41%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%
XLP State Street Consumer Staples Select Sector SPDR ETF	2.62%	2.75%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%
XLRE Real Estate Select Sector SPDR Fund	3.18%	3.45%	3.43%	3.31%	3.70%	2.61%	3.15%	3.06%	3.78%	3.25%	4.22%	1.09%
XLU State Street Utilities Select Sector SPDR ETF	2.73%	2.71%	2.96%	3.39%	2.92%	2.79%	3.14%	2.95%	3.33%	3.33%	3.41%	3.67%
XLV State Street Health Care Select Sector SPDR ETF	1.64%	1.60%	1.67%	1.59%	1.47%	1.33%	1.49%	2.17%	1.57%	1.47%	1.60%	1.43%

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 SPDR 系列基金 (sector rotation). 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 SPDR 系列基金 (sector rotation) was 35.77%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.

The current SPDR 系列基金 (sector rotation) drawdown is 1.42%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-35.77%Mar 2020	1mo 4d	5mo 13d	6mo 17dFeb 2020 - Sep 2020
Bear market2022	-19.27%Oct 2022	6mo 16d	9mo 15d	1y 3moMar 2022 - Jul 2023
Rate-hike selloffLate 2018	-17.53%Dec 2018	3mo 1d	3mo 10d	6mo 11dSep 2018 - Apr 2019
2025 selloff2025	-15.18%Apr 2025	4mo 7d	2mo 23d	7moDec 2024 - Jun 2025
2023 correction2023	-10.28%Oct 2023	2mo 27d	1mo 17d	4mo 14dAug 2023 - Dec 2023

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 11 assets, with an effective number of assets of 11.00, 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	All Time
Diversification Ratio	1.70	1.40	1.32	1.23

The portfolio has a diversification ratio of 1.23, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

SPDR 系列基金 (sector rotation) correlation to the S&P 500 Index

SPDR 系列基金 (sector rotation) has a 0.76 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) Calculated over the trailing 1-year period	0.76
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (All Time) Calculated using the full available price history since Jun 19, 2018	0.92

Benchmark Correlations

Correlation vs. S&P 500 Index. XLK has the highest benchmark correlation at 0.90, while XLU has the lowest at 0.39.

0.39

0.42

0.50

0.57

0.66

0.74

0.74

0.80

0.81

0.86

0.90

Portfolio Correlations

Correlation vs. SPDR 系列基金 (sector rotation). XLI has the highest portfolio correlation at 0.88, while XLU has the lowest at 0.54.

0.54

0.57

0.63

0.70

0.70

0.73

0.75

0.80

0.81

0.85

0.88

Asset Correlations Table

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

	XLE	XLU	XLP	XLRE	XLV	XLK	XLC	XLY	XLF	XLB	XLI
XLE	1.00	0.21	0.25	0.26	0.29	0.26	0.30	0.32	0.53	0.53	0.53
XLU	0.21	1.00	0.60	0.63	0.45	0.23	0.28	0.28	0.35	0.40	0.42
XLP	0.25	0.60	1.00	0.60	0.59	0.31	0.38	0.41	0.47	0.52	0.49
XLRE	0.26	0.63	0.60	1.00	0.56	0.41	0.46	0.49	0.50	0.55	0.56
XLV	0.29	0.45	0.59	0.56	1.00	0.49	0.51	0.50	0.54	0.57	0.57
XLK	0.26	0.23	0.31	0.41	0.49	1.00	0.74	0.75	0.52	0.56	0.62
XLC	0.30	0.28	0.38	0.46	0.51	0.74	1.00	0.75	0.56	0.55	0.58
XLY	0.32	0.28	0.41	0.49	0.50	0.75	0.75	1.00	0.63	0.64	0.68
XLF	0.53	0.35	0.47	0.50	0.54	0.52	0.56	0.63	1.00	0.72	0.79
XLB	0.53	0.40	0.52	0.55	0.57	0.56	0.55	0.64	0.72	1.00	0.82
XLI	0.53	0.42	0.49	0.56	0.57	0.62	0.58	0.68	0.79	0.82	1.00

The correlation results are calculated based on daily price changes starting from Jun 19, 2018

Diversification Analysis

Find what SPDR 系列基金 (sector rotation) is missing

See which holdings overlap, where SPDR 系列基金 (sector rotation) is concentrated, and which low-correlation assets could fill the gaps.

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