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XLE, XLU, XLP, XLF, XLV,XLK
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


S&P 500 Index

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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The earliest data available for this chart is Dec 22, 1998, corresponding to the inception date of XLE

Returns By Period

As of Apr 2, 2026, the XLE, XLU, XLP, XLF, XLV,XLK returned 5.11% Year-To-Date and 13.10% of annualized return in the last 10 years.


1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
0.72%-3.54%-3.95%-2.09%15.95%16.96%10.34%12.24%
Portfolio
XLE, XLU, XLP, XLF, XLV,XLK
-0.22%-1.45%5.11%7.38%15.84%14.85%13.08%13.10%
XLE
State Street Energy Select Sector SPDR ETF
-3.74%4.06%32.76%34.01%29.50%16.22%23.05%11.23%
XLU
Utilities Select Sector SPDR Fund
0.48%-1.98%8.77%6.26%19.98%14.30%10.90%9.79%
XLP
State Street Consumer Staples Select Sector SPDR ETF
-0.63%-7.66%5.46%5.53%2.35%5.77%6.45%7.10%
XLF
Financial Select Sector SPDR Fund
0.14%-3.13%-9.27%-6.60%0.91%17.30%9.37%12.45%
XLV
State Street Health Care Select Sector SPDR ETF
0.76%-6.43%-4.18%3.83%4.90%6.25%6.59%9.80%
XLK
State Street Technology Select Sector SPDR ETF
1.51%-3.20%-6.18%-4.94%30.47%22.19%15.65%21.00%
*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 +0.78%. At this rate, your investment would double in approximately 7.4 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%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20263.42%4.21%-2.24%-0.22%5.11%
20253.04%1.89%-1.84%-2.97%2.62%3.16%1.13%1.89%1.84%0.97%2.43%-0.77%14.00%
20241.08%3.08%4.67%-2.55%3.96%0.17%2.75%3.21%0.89%-1.21%5.32%-5.76%16.10%
20232.35%-3.55%2.11%2.42%-3.66%4.71%3.47%-2.19%-3.27%-1.90%6.38%3.15%9.75%
20220.08%-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 3.02%, beta of 0.87, and R² of 0.91 versus S&P 500 Index. Calculated based on daily prices since December 23, 1998.

  • This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (92.08%) than losses (81.78%) — typical of diversified or defensive assets.
  • This portfolio generated an annualized alpha of 3.02% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
  • With beta of 0.87 and R² of 0.91, 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
3.02%
Beta
0.87
0.91
Upside Capture
92.08%
Downside Capture
81.78%

Expense Ratio

XLE, XLU, XLP, XLF, XLV,XLK 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.


Return for Risk

Risk / Return Rank

XLE, XLU, XLP, XLF, XLV,XLK ranks 40 for risk / return — below 40% 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.


XLE, XLU, XLP, XLF, XLV,XLK Risk / Return Rank: 4040
Overall Rank
XLE, XLU, XLP, XLF, XLV,XLK Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
XLE, XLU, XLP, XLF, XLV,XLK Sortino Ratio Rank: 3535
Sortino Ratio Rank
XLE, XLU, XLP, XLF, XLV,XLK Omega Ratio Rank: 5050
Omega Ratio Rank
XLE, XLU, XLP, XLF, XLV,XLK Calmar Ratio Rank: 2828
Calmar Ratio Rank
XLE, XLU, XLP, XLF, XLV,XLK Martin Ratio Rank: 4545
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


PortfolioBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

1.15

0.92

+0.24

Sortino ratio

Return per unit of downside risk

1.61

1.41

+0.20

Omega ratio

Gain probability vs. loss probability

1.27

1.21

+0.05

Calmar ratio

Return relative to maximum drawdown

1.44

1.41

+0.03

Martin ratio

Return relative to average drawdown

7.58

6.61

+0.96


How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Risk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
XLE
State Street Energy Select Sector SPDR ETF
581.181.561.231.614.23
XLU
Utilities Select Sector SPDR Fund
661.271.731.232.215.31
XLP
State Street Consumer Staples Select Sector SPDR ETF
150.170.341.040.260.62
XLF
Financial Select Sector SPDR Fund
130.050.191.030.050.16
XLV
State Street Health Care Select Sector SPDR ETF
180.280.511.060.280.58
XLK
State Street Technology Select Sector SPDR ETF
651.131.711.241.976.31

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 Apr 2, 2026 (values are recalculated daily):

  • 1-Year: 1.15
  • 5-Year: 0.96
  • 10-Year: 0.80
  • All Time: 0.50

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 1.01 to 1.70, 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 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 1.94% dividend yield over the last twelve months.


TTM20252024202320222021202020192018201720162015
Portfolio1.94%2.03%2.14%2.27%2.27%2.15%2.62%2.91%2.53%2.22%5.44%2.46%
XLE
State Street Energy Select Sector SPDR ETF
2.53%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
2.58%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
2.67%2.75%2.77%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.52%
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%
XLV
State Street Health Care Select Sector SPDR ETF
1.70%1.60%1.67%1.59%1.47%1.33%1.49%2.17%1.57%1.47%1.60%1.43%
XLK
State Street Technology Select Sector SPDR ETF
0.57%0.54%0.66%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%

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.

The current XLE, XLU, XLP, XLF, XLV,XLK drawdown is 2.46%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-50.64%Dec 11, 2007312Mar 9, 2009743Feb 16, 20121055
-39.79%Nov 8, 2000479Oct 9, 2002593Feb 16, 20051072
-35.8%Feb 20, 202023Mar 23, 2020166Nov 16, 2020189
-16.37%Oct 3, 201857Dec 24, 201870Apr 5, 2019127
-14.99%Apr 21, 2022113Sep 30, 2022194Jul 12, 2023307

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. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

BenchmarkXLEXLUXLPXLKXLVXLFPortfolio
Benchmark1.000.550.500.620.870.730.810.93
XLE0.551.000.360.360.380.380.490.69
XLU0.500.361.000.530.350.440.410.64
XLP0.620.360.531.000.440.570.530.69
XLK0.870.380.350.441.000.580.600.75
XLV0.730.380.440.570.581.000.600.76
XLF0.810.490.410.530.600.601.000.81
Portfolio0.930.690.640.690.750.760.811.00
The correlation results are calculated based on daily price changes starting from Dec 23, 1998