etf
Asset Allocation
Performance
The chart shows the growth of an initial investment of $10,000 in etf, 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
Returns
As of Sep 23, 2023, the etf returned 34.92% Year-To-Date and 12.63% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -1.94% | 8.79% | 12.52% | 16.97% | 8.21% | 8.88% |
| etf | 0.35% | 18.56% | 34.92% | 31.64% | 12.55% | 12.63% |
| Portfolio components: | ||||||
XLK Technology Select Sector SPDR Fund | -2.34% | 13.12% | 32.97% | 34.11% | 18.36% | 18.48% |
XLC Communication Services Select Sector SPDR Fund | 0.62% | 16.31% | 37.68% | 34.87% | 7.17% | 6.27% |
XLY Consumer Discretionary Select Sector SPDR Fund | -2.09% | 14.10% | 25.45% | 10.97% | 7.75% | 8.27% |
DXJ WisdomTree Japan Hedged Equity Fund | 6.99% | 34.70% | 42.83% | 47.72% | 12.34% | 12.92% |
QQQ Invesco QQQ | -1.54% | 15.45% | 35.00% | 30.79% | 15.06% | 15.26% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| DXJ | XLC | XLY | XLK | QQQ | |
|---|---|---|---|---|---|
| DXJ | 1.00 | 0.56 | 0.61 | 0.58 | 0.58 |
| XLC | 0.56 | 1.00 | 0.79 | 0.81 | 0.88 |
| XLY | 0.61 | 0.79 | 1.00 | 0.81 | 0.86 |
| XLK | 0.58 | 0.81 | 0.81 | 1.00 | 0.97 |
| QQQ | 0.58 | 0.88 | 0.86 | 0.97 | 1.00 |
Dividend yield
etf granted a 1.21% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| etf | 1.21% | 1.41% | 1.03% | 1.15% | 1.37% | 1.60% | 1.26% | 1.44% | 2.37% | 3.99% | 1.57% | 1.49% |
| Portfolio components: | ||||||||||||
XLK Technology Select Sector SPDR Fund | 0.85% | 1.04% | 0.66% | 0.94% | 1.20% | 1.68% | 1.46% | 1.89% | 1.97% | 1.96% | 1.95% | 2.03% |
XLC Communication Services Select Sector SPDR Fund | 0.82% | 1.11% | 0.75% | 0.69% | 0.84% | 0.67% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.89% | 1.00% | 0.54% | 0.84% | 1.32% | 1.41% | 1.27% | 1.83% | 1.56% | 1.45% | 1.31% | 1.82% |
DXJ WisdomTree Japan Hedged Equity Fund | 2.89% | 3.08% | 2.77% | 2.73% | 2.73% | 3.32% | 2.69% | 2.37% | 7.27% | 15.03% | 3.52% | 2.22% |
QQQ Invesco QQQ | 0.61% | 0.81% | 0.43% | 0.56% | 0.76% | 0.94% | 0.87% | 1.11% | 1.05% | 1.51% | 1.10% | 1.39% |
Expense Ratio
The etf has a high expense ratio of 0.21%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
XLK Technology Select Sector SPDR Fund | 1.26 | ||||
XLC Communication Services Select Sector SPDR Fund | 1.33 | ||||
XLY Consumer Discretionary Select Sector SPDR Fund | 0.25 | ||||
DXJ WisdomTree Japan Hedged Equity Fund | 2.91 | ||||
QQQ Invesco QQQ | 1.18 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the etf. 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 etf is 30.03%, recorded on Mar 16, 2020. It took 77 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -30.03% | Feb 20, 2020 | 18 | Mar 16, 2020 | 77 | Jul 6, 2020 | 95 |
| -28.6% | Jan 4, 2022 | 211 | Nov 3, 2022 | 171 | Jul 13, 2023 | 382 |
| -22.05% | Oct 2, 2018 | 58 | Dec 24, 2018 | 81 | Apr 23, 2019 | 139 |
| -10.19% | Apr 30, 2019 | 24 | Jun 3, 2019 | 26 | Jul 10, 2019 | 50 |
| -9.18% | Sep 3, 2020 | 14 | Sep 23, 2020 | 38 | Nov 16, 2020 | 52 |
Volatility Chart
The current etf volatility is 4.23%, 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.