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sectors

Last updated Oct 3, 2023

Asset Allocation


XLF 30%XLK 30%XLE 30%SPY 10%EquityEquity
PositionCategory/SectorWeight
XLF
Financial Select Sector SPDR Fund
Financials Equities30%
XLK
Technology Select Sector SPDR Fund
Technology Equities30%
XLE
Energy Select Sector SPDR Fund
Energy Equities30%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities10%

Performance

The chart shows the growth of an initial investment of $10,000 in sectors, 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


0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
6.00%
3.40%
sectors
Benchmark (^GSPC)
Portfolio components

Returns

As of Oct 3, 2023, the sectors returned 12.21% Year-To-Date and 12.21% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-6.34%3.14%10.16%14.98%7.84%9.62%
sectors-5.04%6.06%10.91%20.97%12.09%12.07%
SPY
SPDR S&P 500 ETF
-6.23%3.91%11.46%16.81%9.64%11.61%
XLF
Financial Select Sector SPDR Fund
-6.27%2.36%-4.02%5.93%5.02%9.21%
XLK
Technology Select Sector SPDR Fund
-7.36%9.09%31.74%34.25%18.21%19.27%
XLE
Energy Select Sector SPDR Fund
-1.72%5.86%3.96%20.74%7.92%4.42%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20230.91%1.91%-1.64%6.49%4.87%-0.90%-2.45%

Sharpe Ratio

The current sectors Sharpe ratio is 1.35. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.35

The Sharpe ratio of sectors lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50MayJuneJulyAugustSeptemberOctober
1.36
1.05
sectors
Benchmark (^GSPC)
Portfolio components

Dividend yield

sectors granted a 2.06% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
sectors2.06%2.24%2.18%2.97%3.21%2.76%2.32%2.26%2.91%2.38%2.08%2.31%
SPY
SPDR S&P 500 ETF
1.54%1.67%1.24%1.58%1.85%2.21%1.98%2.28%2.37%2.18%2.17%2.65%
XLF
Financial Select Sector SPDR Fund
2.06%2.07%1.69%2.14%2.02%2.30%1.66%1.86%2.27%1.91%1.77%2.15%
XLK
Technology Select Sector SPDR Fund
0.86%1.04%0.66%0.94%1.20%1.68%1.46%1.89%1.97%1.96%1.95%2.03%
XLE
Energy Select Sector SPDR Fund
3.43%3.78%4.51%6.30%6.85%4.47%3.95%3.04%4.67%3.34%2.50%2.63%

Expense Ratio

The sectors features an expense ratio of 0.13%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.13%
0.00%2.15%
0.09%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
SPY
SPDR S&P 500 ETF
1.17
XLF
Financial Select Sector SPDR Fund
0.46
XLK
Technology Select Sector SPDR Fund
1.57
XLE
Energy Select Sector SPDR Fund
1.06

Asset Correlations Table

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

XLEXLKXLFSPY
XLE1.000.400.500.58
XLK0.401.000.610.85
XLF0.500.611.000.81
SPY0.580.850.811.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-5.52%
-11.82%
sectors
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the sectors. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the sectors is 61.59%, recorded on Mar 9, 2009. It took 1043 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-61.59%Oct 15, 2007352Mar 9, 20091043Apr 30, 20131395
-52.34%Sep 1, 2000526Oct 9, 2002787Nov 22, 20051313
-41.59%Feb 20, 202023Mar 23, 2020172Nov 24, 2020195
-26.45%Dec 23, 199846Mar 2, 1999268Mar 22, 2000314
-23.95%Oct 4, 201856Dec 24, 2018217Nov 4, 2019273

Volatility Chart

The current sectors volatility is 3.49%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
3.49%
3.35%
sectors
Benchmark (^GSPC)
Portfolio components