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utilities

Last updated Sep 22, 2023

selected utilities - renewable trending

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
SO
The Southern Company
Utilities12.5%
AEP
American Electric Power Company, Inc.
Utilities12.5%
XEL
Xcel Energy Inc.
Utilities12.5%
DUK
Duke Energy Corporation
Utilities12.5%
DTE
DTE Energy Company
Utilities12.5%
ETR
Entergy Corporation
Utilities12.5%
VST
Vistra Corp.
Utilities12.5%
WEC
WEC Energy Group, Inc.
Utilities12.5%

Performance

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


0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
2.69%
8.86%
utilities
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 22, 2023, the utilities returned -2.13% Year-To-Date and 9.89% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.31%9.66%12.78%14.25%8.15%10.59%
utilities4.04%5.23%-2.13%-5.36%8.97%9.89%
SO
The Southern Company
3.20%7.47%0.88%-4.38%14.43%9.74%
AEP
American Electric Power Company, Inc.
1.60%-4.65%-13.43%-15.83%5.83%7.34%
XEL
Xcel Energy Inc.
3.39%-4.57%-13.14%-15.43%7.58%9.19%
DUK
Duke Energy Corporation
4.26%4.24%-6.39%-6.60%7.53%7.15%
DTE
DTE Energy Company
1.98%5.16%-7.34%-13.28%6.13%8.09%
ETR
Entergy Corporation
2.35%-2.40%-12.05%-11.70%6.97%8.03%
VST
Vistra Corp.
13.48%41.92%47.43%41.08%9.96%15.90%
WEC
WEC Energy Group, Inc.
1.47%-2.36%-5.56%-10.67%8.32%9.39%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

VSTSODTEETRDUKWECAEPXEL
VST1.000.300.340.310.280.270.310.28
SO0.301.000.730.770.790.760.780.77
DTE0.340.731.000.740.770.770.760.78
ETR0.310.770.741.000.770.760.780.78
DUK0.280.790.770.771.000.810.820.81
WEC0.270.760.770.760.811.000.810.87
AEP0.310.780.760.780.820.811.000.85
XEL0.280.770.780.780.810.870.851.00

Sharpe Ratio

The current utilities Sharpe ratio is -0.34. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.34

The Sharpe ratio of utilities is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-0.34
0.70
utilities
Benchmark (^GSPC)
Portfolio components

Dividend yield

utilities granted a 3.73% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
utilities3.73%3.43%3.38%3.70%3.44%3.95%3.96%6.45%4.69%4.25%5.44%5.68%
SO
The Southern Company
3.95%3.90%4.09%4.62%4.50%6.60%6.14%6.07%6.47%6.25%7.57%7.34%
AEP
American Electric Power Company, Inc.
4.16%3.44%3.59%3.76%3.26%3.98%3.96%4.55%4.82%4.54%5.89%6.48%
XEL
Xcel Energy Inc.
3.45%2.85%2.85%2.80%2.84%3.52%3.54%4.07%4.49%4.37%5.40%5.66%
DUK
Duke Energy Corporation
4.33%3.99%3.99%4.65%4.78%5.12%5.28%5.74%6.28%5.44%6.75%7.48%
DTE
DTE Energy Company
3.59%3.15%3.14%3.70%3.36%3.80%3.70%3.86%4.56%4.16%5.39%5.79%
ETR
Entergy Corporation
4.41%3.72%3.66%4.11%3.47%4.90%5.30%6.01%6.60%5.37%7.77%8.11%
VST
Vistra Corp.
2.39%3.19%2.78%2.99%2.44%0.00%0.00%17.13%0.00%0.00%0.00%0.00%
WEC
WEC Energy Group, Inc.
3.55%3.18%2.95%2.99%2.86%3.67%3.73%4.16%4.33%3.90%4.77%4.60%

Expense Ratio

The 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

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SO
The Southern Company
-0.27
AEP
American Electric Power Company, Inc.
-0.75
XEL
Xcel Energy Inc.
-0.74
DUK
Duke Energy Corporation
-0.37
DTE
DTE Energy Company
-0.69
ETR
Entergy Corporation
-0.54
VST
Vistra Corp.
1.18
WEC
WEC Energy Group, Inc.
-0.53

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%AprilMayJuneJulyAugustSeptember
-11.01%
-9.73%
utilities
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the utilities. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the utilities is 36.96%, recorded on Mar 23, 2020. It took 366 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.96%Feb 19, 202024Mar 23, 2020366Sep 2, 2021390
-22.07%Sep 13, 202222Oct 12, 2022
-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 Chart

The current utilities volatility is 3.48%, 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%7.00%AprilMayJuneJulyAugustSeptember
3.48%
3.66%
utilities
Benchmark (^GSPC)
Portfolio components