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sectors

Currency in USD · Last updated May 11, 2025

Asset Allocation

XLF 30%XLK 30%XLE 30%SPY 10%EquityEquity
PositionCategory/SectorTarget Weight
SPY
SPDR S&P 500 ETF		Large Cap Growth Equities
10%
XLE
Energy Select Sector SPDR Fund		Energy Equities
30%
XLF
Financial Select Sector SPDR Fund		Financials Equities
30%
XLK
Technology Select Sector SPDR Fund		Technology Equities
30%

Performance

Performance Chart

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

Returns By Period

As of May 11, 2025, the sectors returned -1.53% Year-To-Date and 13.72% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-3.77%7.44%-5.60%8.37%14.12%10.46%
sectors-1.53%9.12%-4.93%6.84%21.33%13.72%
Portfolio components:
SPY
SPDR S&P 500 ETF		-3.42%7.58%-5.06%9.73%15.77%12.35%
XLF
Financial Select Sector SPDR Fund		3.54%8.60%2.16%21.05%20.22%14.17%
XLK
Technology Select Sector SPDR Fund		-6.25%11.95%-7.94%6.60%18.98%19.17%
XLE
Energy Select Sector SPDR Fund		-3.02%7.08%-10.65%-9.26%21.68%4.30%
*Annualized

Monthly Returns

The table below presents the monthly returns of sectors, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.70%0.81%-3.11%-4.39%2.68%-1.53%
20241.74%4.14%5.07%-3.66%3.41%2.05%1.74%1.24%-0.10%0.48%7.67%-4.93%19.80%
20236.31%-2.84%0.91%1.91%-1.64%6.49%4.87%-0.90%-2.45%-2.64%8.02%3.47%22.75%
20223.09%0.46%4.57%-7.66%5.77%-12.35%10.01%-2.12%-9.69%14.20%4.75%-5.45%1.97%
20210.21%11.03%3.77%4.24%2.87%2.58%-1.25%2.42%-0.51%8.43%-1.96%3.35%40.41%
2020-2.91%-10.75%-19.21%17.62%3.95%1.69%1.99%5.42%-7.10%-3.24%17.92%5.28%4.43%
20198.91%3.74%1.51%5.02%-8.67%8.15%1.43%-4.50%3.16%1.53%4.02%3.85%30.37%
20185.71%-4.56%-2.26%2.80%2.90%-0.34%2.99%1.66%0.06%-7.91%-0.05%-10.46%-10.23%
20170.35%2.78%-0.61%-0.43%-0.03%1.06%2.84%-1.19%4.90%2.81%2.29%2.38%18.35%
2016-5.31%-1.91%8.58%2.33%1.80%-0.46%3.17%2.02%7.80%-0.56%7.25%2.55%29.76%
2015-4.80%6.09%-1.72%2.92%-0.37%-2.60%-0.21%-5.70%-3.53%9.24%0.83%-4.62%-5.46%
2014-3.96%4.22%1.86%1.21%2.31%3.20%-1.10%3.31%-2.67%0.54%-0.01%-0.14%8.76%

Expense Ratio

sectors 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.

XLF
Financial Select Sector SPDR Fund
XLK
Technology Select Sector SPDR Fund
XLE
Energy Select Sector SPDR Fund
SPY
SPDR S&P 500 ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of sectors is 23, meaning it’s performing worse than 77% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of sectors is 2323
Overall Rank
The Sharpe Ratio Rank of sectors is 1919
Sharpe Ratio Rank
The Sortino Ratio Rank of sectors is 2020
Sortino Ratio Rank
The Omega Ratio Rank of sectors is 2525
Omega Ratio Rank
The Calmar Ratio Rank of sectors is 2626
Calmar Ratio Rank
The Martin Ratio Rank of sectors is 2727
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF		0.500.881.130.562.17
XLF
Financial Select Sector SPDR Fund		1.071.631.241.475.60
XLK
Technology Select Sector SPDR Fund		0.230.541.070.280.89
XLE
Energy Select Sector SPDR Fund		-0.39-0.300.96-0.43-1.15

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.

sectors Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.33
  • 5-Year: 1.03
  • 10-Year: 0.64
  • All Time: 0.39

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 0.41 to 0.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of sectors compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

sectors provided a 1.81% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.81%1.75%1.94%2.19%2.07%2.72%2.80%2.37%1.94%1.89%2.48%2.01%
Portfolio components:
SPY
SPDR S&P 500 ETF		1.27%1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%
XLF
Financial Select Sector SPDR Fund		1.43%1.42%1.71%2.04%1.63%2.03%1.86%2.09%1.48%1.63%2.40%1.98%
XLK
Technology Select Sector SPDR Fund		0.72%0.66%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%
XLE
Energy Select Sector SPDR Fund		3.47%3.36%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%

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 sectors. 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 sectors was 61.46%, occurring on Mar 9, 2009. Recovery took 1011 trading sessions.

The current sectors drawdown is 7.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-61.46%Oct 15, 2007352Mar 9, 20091011Mar 14, 20131363
-52.19%Sep 1, 2000526Oct 9, 2002787Nov 22, 20051313
-41.59%Feb 20, 202023Mar 23, 2020172Nov 24, 2020195
-23.95%Oct 4, 201856Dec 24, 2018217Nov 4, 2019273
-19.75%May 5, 2015196Feb 11, 2016123Aug 8, 2016319

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 4 assets, with an effective number of assets of 3.57, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCXLEXLKXLFSPYPortfolio
^GSPC1.000.570.870.810.980.92
XLE0.571.000.390.500.570.76
XLK0.870.391.000.600.860.80
XLF0.810.500.601.000.800.84
SPY0.980.570.860.801.000.92
Portfolio0.920.760.800.840.921.00
The correlation results are calculated based on daily price changes starting from Dec 23, 1998