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Asset Allocation


XLF 30%XLK 30%XLE 30%SPY 10%EquityEquity
PositionCategory/SectorWeight
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

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
7.52%
12.23%
sectors
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Oct 10, 2024, the sectors returned 19.13% Year-To-Date and 14.67% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
21.43%5.87%12.23%32.90%14.34%11.78%
sectors19.13%6.49%7.52%28.70%19.34%14.67%
SPY
SPDR S&P 500 ETF
22.57%5.95%12.97%34.61%16.10%13.74%
XLF
Financial Select Sector SPDR Fund
23.11%2.19%12.79%39.70%12.86%14.19%
XLK
Technology Select Sector SPDR Fund
20.36%11.40%12.98%37.10%24.33%21.33%
XLE
Energy Select Sector SPDR Fund
11.96%6.63%-4.78%6.85%15.09%4.96%

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
20241.74%4.14%5.07%-3.66%3.41%2.05%1.74%1.24%-0.10%19.13%
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%1.96%
20210.21%11.03%3.77%4.24%2.87%2.58%-1.25%2.42%-0.51%8.43%-1.96%3.35%40.42%
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%1.50%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%29.77%
2015-4.80%6.09%-1.72%2.92%-0.37%-2.60%-0.22%-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%
20135.39%0.85%3.11%1.14%3.77%-2.12%4.83%-2.46%2.57%4.23%2.57%2.89%29.87%

Expense Ratio

sectors 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.


Expense ratio chart for XLF: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for XLE: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of sectors is 46, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of sectors is 4646
sectors
The Sharpe Ratio Rank of sectors is 4040Sharpe Ratio Rank
The Sortino Ratio Rank of sectors is 3535Sortino Ratio Rank
The Omega Ratio Rank of sectors is 4343Omega Ratio Rank
The Calmar Ratio Rank of sectors is 7474Calmar Ratio Rank
The Martin Ratio Rank of sectors is 4040Martin 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.


sectors
Sharpe ratio
The chart of Sharpe ratio for sectors, currently valued at 2.35, compared to the broader market0.002.004.002.35
Sortino ratio
The chart of Sortino ratio for sectors, currently valued at 3.08, compared to the broader market-2.000.002.004.006.003.08
Omega ratio
The chart of Omega ratio for sectors, currently valued at 1.43, compared to the broader market0.801.001.201.401.601.801.43
Calmar ratio
The chart of Calmar ratio for sectors, currently valued at 3.20, compared to the broader market0.002.004.006.008.0010.0012.003.20
Martin ratio
The chart of Martin ratio for sectors, currently valued at 13.36, compared to the broader market0.0010.0020.0030.0040.0050.0013.36
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.68, compared to the broader market0.002.004.002.68
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.59, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.801.49
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.37, compared to the broader market0.002.004.006.008.0010.0012.002.37
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.37, compared to the broader market0.0010.0020.0030.0040.0050.0016.37

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SPY
SPDR S&P 500 ETF
2.843.801.523.0317.57
XLF
Financial Select Sector SPDR Fund
3.174.121.541.9019.23
XLK
Technology Select Sector SPDR Fund
1.742.291.312.207.64
XLE
Energy Select Sector SPDR Fund
0.390.651.080.520.98

Sharpe Ratio

The current sectors Sharpe ratio is 2.35. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.16 to 2.86, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of sectors with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.35
2.68
sectors
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

sectors granted a 1.73% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
sectors1.73%1.94%2.19%2.07%2.72%2.80%2.37%1.94%1.89%2.48%2.01%1.75%
SPY
SPDR S&P 500 ETF
1.21%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
XLF
Financial Select Sector SPDR Fund
1.45%1.71%2.04%1.63%2.03%1.87%2.08%1.48%1.63%2.40%1.98%1.81%
XLK
Technology Select Sector SPDR Fund
0.68%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%
XLE
Energy Select Sector SPDR Fund
3.25%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%

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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober00
sectors
Benchmark (^GSPC)
Portfolio components

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-61.46%Oct 15, 2007352Mar 9, 20091011Mar 14, 20131363
-52.21%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 current sectors volatility is 2.67%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%MayJuneJulyAugustSeptemberOctober
2.67%
2.94%
sectors
Benchmark (^GSPC)
Portfolio components

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.

XLEXLKXLFSPY
XLE1.000.390.500.57
XLK0.391.000.610.85
XLF0.500.611.000.81
SPY0.570.850.811.00
The correlation results are calculated based on daily price changes starting from Dec 23, 1998