XLE, XLU, XLP, XLF, XLV,XLK

Asset Allocation

Position	Category/Sector	Target Weight
XLE State Street Energy Select Sector SPDR ETF	Energy Equities	16.67%
XLU State Street Utilities Select Sector SPDR ETF	Utilities Equities	16.67%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	16.67%
XLF State Street Financial Select Sector SPDR ETF	Financials Equities	16.67%
XLV State Street Health Care Select Sector SPDR ETF	Health & Biotech Equities	16.67%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	16.67%

Benchmark Against

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 XLE, XLU, XLP, XLF, XLV,XLK, 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 Jun 5, 2026, the XLE, XLU, XLP, XLF, XLV,XLK returned 12.34% Year-To-Date and 13.45% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.64%	0.25%	7.86%	7.47%	—	—	—	—
Portfolio XLE, XLU, XLP, XLF, XLV,XLK	-1.27%	1.80%	12.34%	12.26%	24.93%	17.18%	13.20%	13.45%
Portfolio components:
XLE State Street Energy Select Sector SPDR ETF	-1.84%	1.18%	29.83%	27.49%	45.41%	16.70%	20.01%	9.54%
XLF State Street Financial Select Sector SPDR ETF	0.21%	0.89%	-4.02%	-1.73%	4.85%	18.44%	8.20%	12.65%
XLK State Street Technology Select Sector SPDR ETF	-6.66%	6.04%	25.39%	23.33%	53.58%	30.43%	21.75%	24.71%
XLP State Street Consumer Staples Select Sector SPDR ETF	1.71%	-0.95%	8.02%	7.80%	5.30%	7.46%	5.88%	7.37%
XLU State Street Utilities Select Sector SPDR ETF	0.93%	-2.98%	4.61%	3.91%	12.86%	14.14%	9.56%	9.33%
XLV State Street Health Care Select Sector SPDR ETF	0.61%	5.23%	-0.75%	0.67%	17.00%	7.44%	6.32%	9.61%

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

Monthly Returns

Based on dividend-adjusted daily data since Dec 23, 1998, XLE, XLU, XLP, XLF, XLV,XLK's average daily return is +0.04%, while the average monthly return is +0.80%. At this rate, an investment would double in approximately 7.2 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2020 with a return of +13.0%, while the worst month was Oct 2008 at -15.5%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 5 months.

On a daily basis, XLE, XLU, XLP, XLF, XLV,XLK closed higher 55% of trading days. The best single day was Oct 28, 2008 with a return of +12.3%, while the worst single day was Mar 16, 2020 at -11.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.42%	4.21%	-2.24%	4.69%	2.14%	-0.27%							12.34%
2025	3.04%	1.89%	-1.84%	-2.97%	2.62%	3.16%	1.13%	1.89%	1.84%	0.97%	2.43%	-0.77%	14.00%
2024	1.08%	3.08%	4.67%	-2.55%	3.96%	0.17%	2.75%	3.21%	0.89%	-1.21%	5.32%	-5.76%	16.10%
2023	2.35%	-3.55%	2.11%	2.42%	-3.66%	4.71%	3.47%	-2.19%	-3.27%	-1.90%	6.38%	3.15%	9.75%
2022	0.08%	-0.27%	5.28%	-4.90%	3.32%	-8.04%	7.01%	-2.11%	-8.63%	10.88%	5.26%	-3.64%	2.20%
2021	-0.57%	4.42%	5.51%	3.73%	1.77%	1.26%	1.07%	2.39%	-2.71%	6.52%	-2.06%	6.40%	30.87%

Benchmark Metrics

XLE, XLU, XLP, XLF, XLV,XLK has an annualized alpha of 11.63%, beta of 0.50, and R2 of 0.54 versus S&P 500 Index. Calculated based on daily prices since December 23, 1998.

This portfolio captured 65.19% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -10.65%) - a profile typical of hedging or uncorrelated assets.
This portfolio generated an annualized alpha of 11.63% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.50 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 11.63%

Beta: 0.50

R²: 0.54

Upside Capture: 65.19%

Downside Capture: -10.65%

Expense Ratio

XLE, XLU, XLP, XLF, XLV,XLK has an expense ratio of 0.08%, 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.

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

XLF

State Street Financial Select Sector SPDR ETF

XLV

State Street Health Care Select Sector SPDR ETF

XLK

State Street Technology Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

XLE, XLU, XLP, XLF, XLV,XLK ranks 89 for risk / return — in the top 89% 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 XLE, XLU, XLP, XLF, XLV,XLK and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	3.00	—	—
Sortino ratioReturn per unit of downside risk	4.16	—	—
Omega ratioGain probability vs. loss probability	1.54	—	—
Calmar ratioReturn relative to maximum drawdown	5.96	—	—
Martin ratioReturn relative to average drawdown	23.60	—	—
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
XLE State Street Energy Select Sector SPDR ETF	66	2.23	2.86	1.36	3.79	10.90
XLF State Street Financial Select Sector SPDR ETF	14	0.33	0.55	1.07	0.33	0.85
XLK State Street Technology Select Sector SPDR ETF	69	2.45	2.98	1.41	3.38	11.25
XLP State Street Consumer Staples Select Sector SPDR ETF	15	0.42	0.69	1.08	0.55	1.07
XLU State Street Utilities Select Sector SPDR ETF	25	0.89	1.28	1.16	1.41	3.12
XLV State Street Health Care Select Sector SPDR ETF	32	1.14	1.80	1.20	1.63	3.92

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.

XLE, XLU, XLP, XLF, XLV,XLK Sharpe ratios as of Jun 5, 2026 (values are recalculated daily):

1-Year: 3.00
5-Year: 0.97
10-Year: 0.82
All Time: 0.52

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 1.84 to 2.81, 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 XLE, XLU, XLP, XLF, XLV,XLK 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

XLE, XLU, XLP, XLF, XLV,XLK provided a 1.91% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.91%	2.03%	2.14%	2.27%	2.27%	2.15%	2.62%	2.91%	2.53%	2.22%	5.44%	2.46%
Portfolio components:
XLE State Street Energy Select Sector SPDR ETF	2.59%	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%
XLK State Street Technology Select Sector SPDR ETF	0.42%	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	2.61%	2.75%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%
XLU State Street Utilities Select Sector SPDR ETF	2.68%	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 XLE, XLU, XLP, XLF, XLV,XLK. 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 XLE, XLU, XLP, XLF, XLV,XLK was 50.64%, occurring on Mar 9, 2009. Recovery took 743 trading sessions.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-50.64%Mar 2009	1y 2mo	2y 11mo	4y 2moDec 2007 - Feb 2012
Dot-com crash2000–2002	-39.79%Oct 2002	1y 11mo	2y 4mo	4y 3moNov 2000 - Feb 2005
COVID crash2020	-35.80%Mar 2020	1mo 2d	7mo 28d	9moFeb 2020 - Nov 2020
Rate-hike selloffLate 2018	-16.37%Dec 2018	2mo 22d	3mo 12d	6mo 4dOct 2018 - Apr 2019
Bear market2022	-14.99%Sep 2022	5mo 12d	9mo 15d	1y 2moApr 2022 - Jul 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 6 assets, with an effective number of assets of 6.00, 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	1.97	1.51	1.40	1.28	1.28

The portfolio has a diversification ratio of 1.28, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

XLE, XLU, XLP, XLF, XLV,XLK correlation to the S&P 500 Index

XLE, XLU, XLP, XLF, XLV,XLK has a 0.66 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	0.66
Correlation (3Y) Calculated over the trailing 3-year period	0.66
Correlation (5Y) Calculated over the trailing 5-year period	0.66
Correlation (10Y) Calculated over the trailing 10-year period	0.66
Correlation (All Time) Calculated using the full available price history since Dec 23, 1998	0.66

Benchmark Correlations

Correlation vs. S&P 500 Index. XLK has the highest benchmark correlation at 0.85, while XLE has the lowest at -0.09.

-0.09

0.04

0.20

0.34

0.61

0.85

Portfolio Correlations

Correlation vs. XLE, XLU, XLP, XLF, XLV,XLK. XLF has the highest portfolio correlation at 0.81, while XLU has the lowest at 0.64.

0.64

0.69

0.69

0.74

0.76

0.81

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	XLV	XLK	XLF
XLE	1.00	0.35	0.35	0.38	0.37	0.49
XLU	0.35	1.00	0.53	0.44	0.35	0.41
XLP	0.35	0.53	1.00	0.57	0.43	0.53
XLV	0.38	0.44	0.57	1.00	0.57	0.60
XLK	0.37	0.35	0.43	0.57	1.00	0.59
XLF	0.49	0.41	0.53	0.60	0.59	1.00

The correlation results are calculated based on daily price changes starting from Dec 23, 1998

Diversification Analysis

Find what XLE, XLU, XLP, XLF, XLV,XLK is missing

See which holdings overlap, where XLE, XLU, XLP, XLF, XLV,XLK is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification