Asset Allocation
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.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 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% |
| Portfolio components: | ||||||||
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% |
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%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.42% | 4.21% | -2.24% | -0.22% | 5.11% | ||||||||
| 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 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
- R²
- 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.15 | 0.92 | +0.24 |
Sortino ratioReturn per unit of downside risk | 1.61 | 1.41 | +0.20 |
Omega ratioGain probability vs. loss probability | 1.27 | 1.21 | +0.05 |
Calmar ratioReturn relative to maximum drawdown | 1.44 | 1.41 | +0.03 |
Martin ratioReturn relative to average drawdown | 7.58 | 6.61 | +0.96 |
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 | 58 | 1.18 | 1.56 | 1.23 | 1.61 | 4.23 |
XLU Utilities Select Sector SPDR Fund | 66 | 1.27 | 1.73 | 1.23 | 2.21 | 5.31 |
XLP State Street Consumer Staples Select Sector SPDR ETF | 15 | 0.17 | 0.34 | 1.04 | 0.26 | 0.62 |
XLF Financial Select Sector SPDR Fund | 13 | 0.05 | 0.19 | 1.03 | 0.05 | 0.16 |
XLV State Street Health Care Select Sector SPDR ETF | 18 | 0.28 | 0.51 | 1.06 | 0.28 | 0.58 |
XLK State Street Technology Select Sector SPDR ETF | 65 | 1.13 | 1.71 | 1.24 | 1.97 | 6.31 |
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Dividends
Dividend yield
XLE, XLU, XLP, XLF, XLV,XLK provided a 1.94% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.94% | 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 | 2.53% | 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, 2007 | 312 | Mar 9, 2009 | 743 | Feb 16, 2012 | 1055 |
| -39.79% | Nov 8, 2000 | 479 | Oct 9, 2002 | 593 | Feb 16, 2005 | 1072 |
| -35.8% | Feb 20, 2020 | 23 | Mar 23, 2020 | 166 | Nov 16, 2020 | 189 |
| -16.37% | Oct 3, 2018 | 57 | Dec 24, 2018 | 70 | Apr 5, 2019 | 127 |
| -14.99% | Apr 21, 2022 | 113 | Sep 30, 2022 | 194 | Jul 12, 2023 | 307 |
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
| Benchmark | XLE | XLU | XLP | XLK | XLV | XLF | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.55 | 0.50 | 0.62 | 0.87 | 0.73 | 0.81 | 0.93 |
| XLE | 0.55 | 1.00 | 0.36 | 0.36 | 0.38 | 0.38 | 0.49 | 0.69 |
| XLU | 0.50 | 0.36 | 1.00 | 0.53 | 0.35 | 0.44 | 0.41 | 0.64 |
| XLP | 0.62 | 0.36 | 0.53 | 1.00 | 0.44 | 0.57 | 0.53 | 0.69 |
| XLK | 0.87 | 0.38 | 0.35 | 0.44 | 1.00 | 0.58 | 0.60 | 0.75 |
| XLV | 0.73 | 0.38 | 0.44 | 0.57 | 0.58 | 1.00 | 0.60 | 0.76 |
| XLF | 0.81 | 0.49 | 0.41 | 0.53 | 0.60 | 0.60 | 1.00 | 0.81 |
| Portfolio | 0.93 | 0.69 | 0.64 | 0.69 | 0.75 | 0.76 | 0.81 | 1.00 |