Portfolio Optimizer MVO
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Portfolio Optimizer MVO, 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
The earliest data available for this chart is Dec 22, 1998, corresponding to the inception date of XLP
Returns By Period
As of Sep 21, 2024, the Portfolio Optimizer MVO returned 17.05% Year-To-Date and 9.59% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| Portfolio Optimizer MVO | 17.05% | 2.13% | 10.01% | 18.79% | 12.44% | 9.51% |
| Portfolio components: | ||||||
XLP Consumer Staples Select Sector SPDR Fund | 17.03% | 1.76% | 10.63% | 21.09% | 9.29% | 9.02% |
XLE Energy Select Sector SPDR Fund | 7.58% | -0.34% | -3.17% | 1.96% | 12.86% | 3.51% |
XLV Health Care Select Sector SPDR Fund | 14.72% | 0.32% | 7.18% | 20.75% | 13.02% | 10.82% |
XLU Utilities Select Sector SPDR Fund | 28.52% | 6.48% | 26.41% | 29.81% | 7.88% | 10.19% |
Monthly Returns
The table below presents the monthly returns of Portfolio Optimizer MVO, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.17% | 2.41% | 5.64% | -1.35% | 3.41% | -1.46% | 3.34% | 3.45% | 17.05% | ||||
| 2023 | -0.52% | -4.98% | 2.81% | 2.87% | -6.58% | 3.88% | 3.36% | -2.24% | -2.52% | -2.26% | 3.56% | 2.29% | -1.05% |
| 2022 | 1.81% | 1.05% | 7.04% | -2.14% | 4.35% | -7.13% | 5.37% | -1.06% | -8.02% | 11.42% | 4.60% | -2.11% | 14.23% |
| 2021 | -0.19% | 3.39% | 6.25% | 2.67% | 1.70% | 0.97% | 0.76% | 1.41% | -2.12% | 5.92% | -2.81% | 8.01% | 28.55% |
| 2020 | -1.65% | -9.86% | -12.14% | 13.62% | 2.74% | -2.11% | 3.81% | 0.92% | -4.12% | -1.38% | 10.73% | 2.77% | 0.32% |
| 2019 | 6.16% | 2.31% | 2.32% | 0.26% | -4.42% | 6.01% | -0.25% | -0.39% | 2.45% | 0.48% | 1.59% | 3.54% | 21.44% |
| 2018 | 2.16% | -6.74% | 0.36% | 2.14% | 0.22% | 2.29% | 3.41% | 0.67% | 1.46% | -3.51% | 3.14% | -8.46% | -3.67% |
| 2017 | 0.51% | 3.64% | -0.61% | 0.11% | 1.05% | -0.15% | 1.64% | -0.40% | 1.78% | 0.16% | 3.22% | 0.15% | 11.58% |
| 2016 | -1.45% | -0.18% | 6.43% | 2.04% | 0.84% | 4.09% | 0.53% | -1.96% | 0.48% | -2.33% | 0.16% | 2.55% | 11.42% |
| 2015 | -0.48% | 1.60% | -0.82% | 1.07% | 0.09% | -2.92% | 1.75% | -5.43% | -2.16% | 6.42% | -0.82% | -1.11% | -3.24% |
| 2014 | -1.77% | 4.67% | 1.57% | 2.89% | 1.30% | 2.96% | -3.37% | 4.14% | -2.11% | 3.35% | 0.57% | 0.32% | 15.10% |
| 2013 | 6.58% | 1.82% | 4.79% | 2.63% | -1.80% | -0.57% | 5.27% | -3.52% | 1.97% | 4.67% | 1.11% | 1.30% | 26.50% |
Expense Ratio
Portfolio Optimizer MVO has an expense ratio of 0.13%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Portfolio Optimizer MVO is 25, indicating that it is in the bottom 25% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
XLP Consumer Staples Select Sector SPDR Fund | 1.77 | 2.53 | 1.30 | 1.30 | 10.30 |
XLE Energy Select Sector SPDR Fund | 0.04 | 0.18 | 1.02 | 0.06 | 0.10 |
XLV Health Care Select Sector SPDR Fund | 1.79 | 2.45 | 1.33 | 1.67 | 8.97 |
XLU Utilities Select Sector SPDR Fund | 1.64 | 2.26 | 1.29 | 1.12 | 6.99 |
Dividends
Dividend yield
Portfolio Optimizer MVO granted a 1.93% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio Optimizer MVO | 1.93% | 2.79% | 2.63% | 2.65% | 3.19% | 3.35% | 2.87% | 2.61% | 2.45% | 2.75% | 2.32% | 2.37% |
| Portfolio components: | ||||||||||||
XLP Consumer Staples Select Sector SPDR Fund | 2.01% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% | 2.40% | 2.39% |
XLE Energy Select Sector SPDR Fund | 2.54% | 3.55% | 3.68% | 4.21% | 5.62% | 5.73% | 3.54% | 3.03% | 2.26% | 3.39% | 2.35% | 1.73% |
XLV Health Care Select Sector SPDR Fund | 1.09% | 1.59% | 1.47% | 1.33% | 1.49% | 2.16% | 1.56% | 1.46% | 1.59% | 1.43% | 1.34% | 1.51% |
XLU Utilities Select Sector SPDR Fund | 2.09% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% | 3.19% | 3.86% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Portfolio Optimizer MVO. 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 Portfolio Optimizer MVO was 40.93%, occurring on Mar 9, 2009. Recovery took 498 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -40.93% | Dec 11, 2007 | 312 | Mar 9, 2009 | 498 | Feb 28, 2011 | 810 |
| -35.53% | Jan 21, 2020 | 44 | Mar 23, 2020 | 183 | Dec 10, 2020 | 227 |
| -35.37% | May 22, 2001 | 291 | Jul 23, 2002 | 583 | Nov 12, 2004 | 874 |
| -16.76% | Jul 19, 1999 | 155 | Feb 25, 2000 | 55 | May 15, 2000 | 210 |
| -14.47% | Jul 22, 2011 | 12 | Aug 8, 2011 | 98 | Dec 27, 2011 | 110 |
Volatility
Volatility Chart
The current Portfolio Optimizer MVO volatility is 2.32%, 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.
Diversification
Asset Correlations Table
| XLE | XLU | XLV | XLP | |
|---|---|---|---|---|
| XLE | 1.00 | 0.36 | 0.39 | 0.37 |
| XLU | 0.36 | 1.00 | 0.45 | 0.54 |
| XLV | 0.39 | 0.45 | 1.00 | 0.58 |
| XLP | 0.37 | 0.54 | 0.58 | 1.00 |