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utilities
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SO 12.5%AEP 12.5%XEL 12.5%DUK 12.5%DTE 12.5%ETR 12.5%VST 12.5%WEC 12.5%EquityEquity
PositionCategory/SectorWeight
AEP
American Electric Power Company, Inc.
Utilities
12.50%
DTE
DTE Energy Company
Utilities
12.50%
DUK
Duke Energy Corporation
Utilities
12.50%
ETR
Entergy Corporation
Utilities
12.50%
SO
The Southern Company
Utilities
12.50%
VST
Vistra Corp.
Utilities
12.50%
WEC
WEC Energy Group, Inc.
Utilities
12.50%
XEL
Xcel Energy Inc.
Utilities
12.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in utilities, 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


-5.00%0.00%5.00%10.00%15.00%20.00%25.00%30.00%MayJuneJulyAugustSeptemberOctober
25.46%
15.84%
utilities
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 4, 2016, corresponding to the inception date of VST

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
utilities41.21%-0.09%25.46%55.13%11.11%N/A
SO
The Southern Company
31.72%-0.31%24.35%39.68%11.90%11.52%
AEP
American Electric Power Company, Inc.
23.59%-4.37%15.35%34.63%4.31%9.09%
XEL
Xcel Energy Inc.
5.36%-1.90%20.11%11.99%3.01%10.02%
DUK
Duke Energy Corporation
21.56%-1.35%18.70%35.75%8.32%7.81%
DTE
DTE Energy Company
15.43%-2.71%14.29%33.36%6.27%9.50%
ETR
Entergy Corporation
36.84%2.29%28.32%47.83%5.99%9.22%
VST
Vistra Corp.
231.59%7.59%67.84%294.27%40.05%N/A
WEC
WEC Energy Group, Inc.
16.70%0.07%17.59%21.56%3.44%10.29%

Monthly Returns

The table below presents the monthly returns of utilities, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.57%4.03%8.19%1.61%8.71%-4.93%7.07%5.39%8.25%41.21%
2023-1.73%-5.48%5.44%2.09%-6.11%1.61%3.37%-4.21%-1.23%1.10%5.98%3.13%3.09%
20220.20%-2.09%9.21%1.19%3.55%-6.20%4.71%-0.04%-12.93%1.92%7.56%-0.54%4.66%
2021-2.11%-7.14%12.26%4.64%-1.96%-2.20%4.81%2.41%-7.89%4.36%-2.07%10.99%14.82%
20206.87%-11.23%-10.98%6.94%3.50%-5.68%7.44%-1.93%2.03%3.41%1.31%-1.17%-1.85%
20196.26%4.31%2.39%1.61%-1.25%2.84%-0.10%7.98%3.50%-0.24%-2.96%1.49%28.45%
2018-3.48%-3.85%5.15%3.55%-0.54%1.10%2.12%1.11%-0.49%1.70%6.37%-4.27%8.10%
20170.98%4.39%0.27%-0.32%4.29%-1.35%1.02%4.60%-2.00%6.16%2.19%-5.12%15.53%
20162.47%-6.40%8.48%4.05%

Expense Ratio

utilities has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of utilities is 78, placing it in the top 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of utilities is 7878
Combined Rank
The Sharpe Ratio Rank of utilities is 8686Sharpe Ratio Rank
The Sortino Ratio Rank of utilities is 8585Sortino Ratio Rank
The Omega Ratio Rank of utilities is 7474Omega Ratio Rank
The Calmar Ratio Rank of utilities is 6868Calmar Ratio Rank
The Martin Ratio Rank of utilities is 7979Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


utilities
Sharpe ratio
The chart of Sharpe ratio for utilities, currently valued at 3.62, compared to the broader market0.002.004.006.003.62
Sortino ratio
The chart of Sortino ratio for utilities, currently valued at 4.86, compared to the broader market-2.000.002.004.006.004.86
Omega ratio
The chart of Omega ratio for utilities, currently valued at 1.62, compared to the broader market0.801.001.201.401.601.802.001.62
Calmar ratio
The chart of Calmar ratio for utilities, currently valued at 3.85, compared to the broader market0.005.0010.003.85
Martin ratio
The chart of Martin ratio for utilities, currently valued at 23.27, compared to the broader market0.0010.0020.0030.0040.0050.0060.0023.27
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SO
The Southern Company
2.353.411.413.0412.19
AEP
American Electric Power Company, Inc.
1.882.751.341.399.58
XEL
Xcel Energy Inc.
0.590.911.130.371.28
DUK
Duke Energy Corporation
2.253.131.391.8212.75
DTE
DTE Energy Company
1.742.481.311.1910.31
ETR
Entergy Corporation
3.024.241.572.6516.26
VST
Vistra Corp.
5.784.791.678.6423.52
WEC
WEC Energy Group, Inc.
1.181.731.220.854.07

Sharpe Ratio

The current utilities Sharpe ratio is 3.62. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.49 to 3.44, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of utilities with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.002.003.004.00MayJuneJulyAugustSeptemberOctober
3.62
3.43
utilities
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

utilities provided a 3.07% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
utilities3.07%3.66%3.34%3.18%3.37%3.02%3.34%3.21%5.24%3.53%3.07%3.77%
SO
The Southern Company
3.16%3.96%3.78%3.82%4.13%3.86%5.42%4.78%4.52%4.60%4.24%4.90%
AEP
American Electric Power Company, Inc.
3.61%4.15%3.34%3.37%3.41%2.87%3.39%3.25%3.61%3.69%3.34%4.17%
XEL
Xcel Energy Inc.
3.42%3.36%2.78%2.71%2.58%2.55%3.09%2.99%3.34%3.56%3.34%3.97%
DUK
Duke Energy Corporation
3.60%4.18%3.86%3.72%4.17%4.11%4.21%4.15%4.33%4.54%3.77%4.48%
DTE
DTE Energy Company
3.29%3.52%3.07%2.98%3.39%2.96%3.26%3.07%3.10%3.54%3.11%3.89%
ETR
Entergy Corporation
3.37%4.29%3.64%3.43%3.75%3.06%4.16%4.30%4.65%4.89%3.80%5.25%
VST
Vistra Corp.
0.68%2.13%3.12%2.64%2.75%2.17%0.00%0.00%14.97%0.00%0.00%0.00%
WEC
WEC Energy Group, Inc.
3.45%3.71%3.10%2.79%2.75%2.56%3.19%3.13%3.38%3.40%2.96%3.50%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-3.30%
-0.54%
utilities
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the utilities. 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 utilities was 36.96%, occurring on Mar 23, 2020. Recovery took 366 trading sessions.

The current utilities drawdown is 3.30%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.96%Feb 19, 202024Mar 23, 2020366Sep 2, 2021390
-22.07%Sep 13, 202222Oct 12, 2022359Mar 19, 2024381
-15.31%Nov 15, 201758Feb 8, 2018132Aug 17, 2018190
-14.82%Apr 21, 202241Jun 17, 202238Aug 12, 202279
-10.17%Sep 3, 202117Sep 28, 202155Dec 15, 202172

Volatility

Volatility Chart

The current utilities volatility is 4.90%, 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.


2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
4.90%
2.71%
utilities
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

VSTDTESOETRDUKWECXELAEP
VST1.000.310.280.300.250.240.240.28
DTE0.311.000.740.730.770.780.760.76
SO0.280.741.000.760.790.760.760.77
ETR0.300.730.761.000.760.760.770.78
DUK0.250.770.790.761.000.810.790.81
WEC0.240.780.760.760.811.000.840.81
XEL0.240.760.760.770.790.841.000.83
AEP0.280.760.770.780.810.810.831.00
The correlation results are calculated based on daily price changes starting from Oct 5, 2016