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etf

Last updated Sep 23, 2023

Asset Allocation


XLK 20%XLC 20%XLY 20%DXJ 20%QQQ 20%EquityEquity
PositionCategory/SectorWeight
XLK
Technology Select Sector SPDR Fund
Technology Equities20%
XLC
Communication Services Select Sector SPDR Fund
Large Cap Growth Equities20%
XLY
Consumer Discretionary Select Sector SPDR Fund
Consumer Discretionary Equities20%
DXJ
WisdomTree Japan Hedged Equity Fund
Japan Equities20%
QQQ
Invesco QQQ
Large Cap Blend Equities20%

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


0.00%5.00%10.00%15.00%20.00%25.00%AprilMayJuneJulyAugustSeptember
18.68%
8.61%
etf
Benchmark (^GSPC)
Portfolio components

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 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.94%8.79%12.52%16.97%8.21%8.88%
etf0.35%18.56%34.92%31.64%12.55%12.63%
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%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

DXJXLCXLYXLKQQQ
DXJ1.000.560.610.580.58
XLC0.561.000.790.810.88
XLY0.610.791.000.810.86
XLK0.580.810.811.000.97
QQQ0.580.880.860.971.00

Sharpe Ratio

The current etf Sharpe ratio is 1.42. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.42

The Sharpe ratio of etf is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.50AprilMayJuneJulyAugustSeptember
1.42
0.81
etf
Benchmark (^GSPC)
Portfolio components

Dividend yield

etf granted a 1.21% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
etf1.21%1.41%1.03%1.15%1.37%1.60%1.26%1.44%2.37%3.99%1.57%1.49%
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.


0.48%
0.00%2.15%
0.20%
0.00%2.15%
0.13%
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
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.


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-4.32%
-9.93%
etf
Benchmark (^GSPC)
Portfolio components

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, 202018Mar 16, 202077Jul 6, 202095
-28.6%Jan 4, 2022211Nov 3, 2022171Jul 13, 2023382
-22.05%Oct 2, 201858Dec 24, 201881Apr 23, 2019139
-10.19%Apr 30, 201924Jun 3, 201926Jul 10, 201950
-9.18%Sep 3, 202014Sep 23, 202038Nov 16, 202052

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.


2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
4.23%
3.41%
etf
Benchmark (^GSPC)
Portfolio components