Portfolio Optimizer MVO
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
XLE Energy Select Sector SPDR Fund | Energy Equities | 25% |
XLP Consumer Staples Select Sector SPDR Fund | Consumer Staples Equities | 25% |
XLU Utilities Select Sector SPDR Fund | Utilities Equities | 25% |
XLV Health Care Select Sector SPDR Fund | Health & Biotech Equities | 25% |
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 every 3 months.
The earliest data available for this chart is Dec 22, 1998, corresponding to the inception date of XLP
Returns By Period
As of Apr 21, 2025, the Portfolio Optimizer MVO returned 0.86% Year-To-Date and 8.38% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.79% | -9.92% | 6.35% | 14.12% | 9.63% |
| Portfolio Optimizer MVO | 0.34% | -4.64% | -6.18% | 3.42% | 12.36% | 7.04% |
| Portfolio components: | ||||||
XLP Consumer Staples Select Sector SPDR Fund | 4.70% | 3.75% | 0.84% | 12.84% | 10.02% | 8.08% |
XLE Energy Select Sector SPDR Fund | -4.11% | -11.22% | -8.32% | -11.36% | 25.50% | 3.91% |
XLV Health Care Select Sector SPDR Fund | -1.13% | -7.22% | -10.78% | -0.92% | 8.65% | 7.93% |
XLU Utilities Select Sector SPDR Fund | 3.48% | -0.54% | -3.64% | 22.49% | 9.73% | 9.23% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.41% | 2.86% | 0.26% | -5.91% | 0.34% | ||||||||
| 2024 | 0.43% | 2.56% | 5.62% | -1.76% | 2.97% | -1.09% | 3.22% | 3.21% | 0.35% | -2.17% | 3.81% | -7.28% | 9.57% |
| 2023 | -0.45% | -5.11% | 2.58% | 2.88% | -6.56% | 4.07% | 3.38% | -1.86% | -2.32% | -2.76% | 3.32% | 2.30% | -1.26% |
| 2022 | -0.05% | 0.48% | 6.79% | -2.52% | 4.47% | -6.99% | 5.29% | -1.38% | -7.60% | 11.61% | 4.49% | -2.07% | 11.32% |
| 2021 | -0.35% | 0.95% | 6.38% | 2.92% | 1.48% | 0.93% | 1.59% | 1.65% | -2.90% | 5.67% | -2.76% | 8.32% | 25.92% |
| 2020 | -1.49% | -9.60% | -11.71% | 11.21% | 2.96% | -2.31% | 4.69% | 1.13% | -3.06% | -1.19% | 8.32% | 2.55% | -0.93% |
| 2019 | 6.11% | 2.26% | 2.13% | 0.00% | -4.43% | 6.10% | -0.41% | -0.46% | 2.36% | 0.69% | 1.65% | 3.54% | 20.82% |
| 2018 | 2.49% | -6.85% | 0.26% | 2.58% | 0.40% | 2.13% | 3.43% | 0.58% | 1.63% | -4.50% | 3.27% | -8.80% | -4.28% |
| 2017 | 0.18% | 3.17% | -0.68% | -0.04% | 0.75% | 0.06% | 1.65% | -0.46% | 2.06% | 0.12% | 3.07% | 0.29% | 10.57% |
| 2016 | -2.03% | -0.35% | 6.39% | 2.39% | 0.81% | 3.92% | 0.57% | -1.83% | 0.68% | -2.55% | 0.89% | 2.42% | 11.51% |
| 2015 | -0.89% | 2.01% | -0.80% | 1.63% | -0.31% | -2.80% | 0.62% | -5.53% | -3.12% | 6.82% | -0.73% | -1.68% | -5.17% |
| 2014 | -2.55% | 4.84% | 1.56% | 3.24% | 1.42% | 3.51% | -3.28% | 3.73% | -3.28% | 2.08% | -1.05% | 0.11% | 10.34% |
Expense Ratio
Portfolio Optimizer MVO has an expense ratio of 0.13%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Portfolio Optimizer MVO is 59, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | 1.14 | 1.64 | 1.21 | 1.78 | 4.82 |
XLE Energy Select Sector SPDR Fund | -0.44 | -0.43 | 0.94 | -0.54 | -1.50 |
XLV Health Care Select Sector SPDR Fund | -0.05 | 0.02 | 1.00 | -0.05 | -0.13 |
XLU Utilities Select Sector SPDR Fund | 1.62 | 2.17 | 1.29 | 2.09 | 6.87 |
Dividends
Dividend yield
Portfolio Optimizer MVO provided a 2.66% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.66% | 2.69% | 2.79% | 2.63% | 2.65% | 3.19% | 3.36% | 2.87% | 2.61% | 2.45% | 2.76% | 2.32% |
| Portfolio components: | ||||||||||||
XLP Consumer Staples Select Sector SPDR Fund | 2.49% | 2.77% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.53% | 2.40% |
XLE Energy Select Sector SPDR Fund | 3.51% | 3.36% | 3.55% | 3.68% | 4.21% | 5.62% | 5.73% | 3.54% | 3.03% | 2.26% | 3.39% | 2.35% |
XLV Health Care Select Sector SPDR Fund | 1.72% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.58% | 1.47% | 1.60% | 1.43% | 1.35% |
XLU Utilities Select Sector SPDR Fund | 2.93% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.42% | 3.67% | 3.19% |
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 46.08%, occurring on Mar 9, 2009. Recovery took 541 trading sessions.
The current Portfolio Optimizer MVO drawdown is 6.44%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -46.08% | May 21, 2008 | 201 | Mar 9, 2009 | 541 | Apr 29, 2011 | 742 |
| -36.12% | May 22, 2001 | 291 | Jul 23, 2002 | 583 | Nov 12, 2004 | 874 |
| -34.9% | Jan 21, 2020 | 44 | Mar 23, 2020 | 205 | Jan 13, 2021 | 249 |
| -17.2% | Jul 25, 2011 | 50 | Oct 3, 2011 | 94 | Feb 16, 2012 | 144 |
| -16.39% | Jul 19, 1999 | 155 | Feb 25, 2000 | 55 | May 15, 2000 | 210 |
Volatility
Volatility Chart
The current Portfolio Optimizer MVO volatility is 9.67%, 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 | 0.37 | 0.39 | 0.37 |
| XLU | 0.37 | 1.00 | 0.45 | 0.54 |
| XLV | 0.39 | 0.45 | 1.00 | 0.58 |
| XLP | 0.37 | 0.54 | 0.58 | 1.00 |