SPDR 系列基金 (sector rotation)

Asset Allocation

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

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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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The earliest data available for this chart is Jun 19, 2018, corresponding to the inception date of XLC

Returns By Period

	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 SPDR 系列基金 (sector rotation)	0.17%	-2.70%	3.65%	4.99%	15.32%	15.19%	11.09%	—
Portfolio components:
XLE State Street Energy Select Sector SPDR ETF	0.47%	5.52%	33.39%	36.01%	29.93%	14.70%	23.16%	11.36%
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%
XLRE Real Estate Select Sector SPDR Fund	1.61%	-4.14%	3.82%	1.04%	2.32%	7.60%	4.11%	6.16%
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%
XLC Communication Services Select Sector SPDR Fund	0.41%	-5.00%	-4.81%	-3.46%	16.76%	25.63%	9.52%	—
XLK State Street Technology Select Sector SPDR ETF	0.80%	-0.98%	-5.43%	-4.69%	30.55%	22.58%	15.84%	21.15%
XLY Consumer Discretionary Select Sector SPDR Fund	-1.50%	-5.24%	-9.25%	-9.29%	7.23%	14.37%	5.86%	11.80%
XLF Financial Select Sector SPDR Fund	0.18%	-2.78%	-9.10%	-6.36%	0.27%	17.30%	9.41%	12.53%
XLB Materials Select Sector SPDR ETF	-0.10%	-2.51%	11.65%	13.47%	18.14%	9.62%	6.98%	10.69%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 20, 2018, SPDR 系列基金 (sector rotation)'s average daily return is +0.05%, while the average monthly return is +1.05%. At this rate, your investment would double in approximately 5.5 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%	0.42%									3.65%
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 1.49%, beta of 0.90, and R² of 0.93 versus S&P 500 Index. Calculated based on daily prices since June 20, 2018.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (92.27%) than losses (90.41%) — typical of diversified or defensive assets.
With beta of 0.90 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: 1.49%

Beta: 0.90

R²: 0.93

Upside Capture: 92.27%

Downside Capture: 90.41%

Expense Ratio

SPDR 系列基金 (sector rotation) has an expense ratio of 0.11%, 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

XLU

Utilities Select Sector SPDR Fund

XLRE

Real Estate Select Sector SPDR Fund

XLC

Communication Services Select Sector SPDR Fund

XLY

Consumer Discretionary Select Sector SPDR Fund

XLF

Financial Select Sector SPDR Fund

XLB

Materials Select Sector SPDR ETF

XLI

Industrial Select Sector SPDR Fund

XLE

State Street Energy Select Sector SPDR ETF

XLP

State Street Consumer Staples Select Sector SPDR ETF

XLV

State Street Health Care Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

SPDR 系列基金 (sector rotation) ranks 29 for risk / return — below 29% 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.

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	1.01	0.88	+0.13
Sortino ratio Return per unit of downside risk	1.48	1.37	+0.11
Omega ratio Gain probability vs. loss probability	1.23	1.21	+0.03
Calmar ratio Return relative to maximum drawdown	1.35	1.39	-0.04
Martin ratio Return relative to average drawdown	6.71	6.43	+0.27
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
XLE State Street Energy Select Sector SPDR ETF	54	1.19	1.58	1.23	1.60	4.21
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
XLRE Real Estate Select Sector SPDR Fund	15	0.14	0.31	1.04	0.24	0.82
XLV State Street Health Care Select Sector SPDR ETF	16	0.20	0.40	1.05	0.39	0.83
XLC Communication Services Select Sector SPDR Fund	48	0.92	1.43	1.20	1.55	5.19
XLK State Street Technology Select Sector SPDR ETF	61	1.13	1.71	1.24	1.98	6.27
XLY Consumer Discretionary Select Sector SPDR Fund	21	0.31	0.63	1.08	0.62	2.01
XLF Financial Select Sector SPDR Fund	12	0.01	0.15	1.02	0.07	0.22
XLB Materials Select Sector SPDR ETF	42	0.87	1.36	1.17	1.31	4.52

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 Apr 3, 2026 (values are recalculated daily):

1-Year: 1.01
5-Year: 0.76
All Time: 0.67

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 0.98 to 1.67, 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 1.82% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.82%	1.89%	1.94%	2.01%	2.12%	1.79%	2.15%	2.41%	2.30%	1.93%	3.87%	1.97%
Portfolio components:
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%
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%
XLRE Real Estate Select Sector SPDR Fund	3.36%	3.45%	3.43%	3.31%	3.70%	2.61%	3.15%	3.06%	3.78%	3.25%	4.22%	1.09%
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%
XLC Communication Services Select Sector SPDR Fund	1.25%	1.13%	0.99%	0.82%	1.10%	0.74%	0.68%	0.82%	0.64%	0.00%	0.00%	0.00%
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%
XLY Consumer Discretionary Select Sector SPDR Fund	0.83%	0.79%	0.72%	0.78%	1.00%	0.53%	0.82%	1.28%	1.34%	1.20%	1.71%	1.43%
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%
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%

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 3.81%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-35.77%	Feb 18, 2020	25	Mar 23, 2020	114	Sep 2, 2020	139
-19.27%	Mar 30, 2022	136	Oct 12, 2022	194	Jul 24, 2023	330
-17.53%	Sep 24, 2018	64	Dec 24, 2018	68	Apr 3, 2019	132
-15.18%	Dec 2, 2024	87	Apr 8, 2025	56	Jun 30, 2025	143
-10.28%	Aug 1, 2023	63	Oct 27, 2023	32	Dec 13, 2023	95

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. 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

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

	Benchmark	XLE	XLU	XLP	XLRE	XLV	XLK	XLC	XLY	XLF	XLB	XLI	Portfolio
Benchmark	1.00	0.44	0.40	0.51	0.58	0.67	0.90	0.82	0.86	0.74	0.74	0.81	0.93
XLE	0.44	1.00	0.22	0.25	0.27	0.30	0.27	0.31	0.34	0.55	0.55	0.55	0.59
XLU	0.40	0.22	1.00	0.60	0.64	0.46	0.25	0.28	0.29	0.35	0.40	0.42	0.54
XLP	0.51	0.25	0.60	1.00	0.61	0.59	0.33	0.38	0.42	0.47	0.53	0.50	0.63
XLRE	0.58	0.27	0.64	0.61	1.00	0.56	0.42	0.46	0.49	0.50	0.55	0.56	0.70
XLV	0.67	0.30	0.46	0.59	0.56	1.00	0.51	0.51	0.50	0.55	0.58	0.58	0.71
XLK	0.90	0.27	0.25	0.33	0.42	0.51	1.00	0.75	0.76	0.53	0.56	0.63	0.74
XLC	0.82	0.31	0.28	0.38	0.46	0.51	0.75	1.00	0.75	0.56	0.56	0.59	0.75
XLY	0.86	0.34	0.29	0.42	0.49	0.50	0.76	0.75	1.00	0.63	0.64	0.69	0.80
XLF	0.74	0.55	0.35	0.47	0.50	0.55	0.53	0.56	0.63	1.00	0.73	0.80	0.81
XLB	0.74	0.55	0.40	0.53	0.55	0.58	0.56	0.56	0.64	0.73	1.00	0.82	0.85
XLI	0.81	0.55	0.42	0.50	0.56	0.58	0.63	0.59	0.69	0.80	0.82	1.00	0.88
Portfolio	0.93	0.59	0.54	0.63	0.70	0.71	0.74	0.75	0.80	0.81	0.85	0.88	1.00

The correlation results are calculated based on daily price changes starting from Jun 20, 2018

SPDR 系列基金 (sector rotation)

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Top 10 holdings

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