Sector test 2011 - 2016
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Jun 19, 2018, corresponding to the inception date of XLC
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.08% | 9.75% | -1.63% | 12.74% | 15.66% | 10.77% |
| Sector test 2011 - 2016 | -0.10% | 6.32% | -1.54% | 13.49% | 12.51% | N/A |
| Portfolio components: | ||||||
XLC Communication Services Select Sector SPDR Fund | 3.78% | 9.75% | 3.67% | 24.08% | 15.78% | N/A |
XLRE Real Estate Select Sector SPDR Fund | 1.68% | 5.58% | -2.75% | 12.16% | 9.37% | N/A |
XLV Health Care Select Sector SPDR Fund | -3.77% | -3.65% | -9.67% | -6.59% | 7.48% | 7.68% |
XLY Consumer Discretionary Select Sector SPDR Fund | -3.78% | 13.47% | -0.11% | 22.11% | 14.52% | 12.18% |
Monthly Returns
The table below presents the monthly returns of Sector test 2011 - 2016, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 4.46% | -0.42% | -4.26% | -1.57% | 1.92% | -0.10% | |||||||
| 2024 | -0.45% | 4.53% | 1.85% | -5.66% | 3.66% | 2.72% | 3.23% | 3.15% | 3.12% | -1.97% | 6.13% | -3.56% | 17.29% |
| 2023 | 9.50% | -3.82% | 3.22% | 1.58% | -0.59% | 6.71% | 2.60% | -1.76% | -4.62% | -3.24% | 9.17% | 5.96% | 26.07% |
| 2022 | -7.46% | -4.33% | 4.68% | -8.62% | -1.75% | -7.34% | 8.50% | -4.85% | -8.91% | 3.34% | 4.99% | -6.01% | -26.07% |
| 2021 | 0.46% | 1.46% | 4.48% | 6.28% | 0.13% | 2.97% | 3.09% | 2.70% | -5.06% | 6.24% | -2.01% | 5.58% | 28.90% |
| 2020 | -0.19% | -6.55% | -11.71% | 13.64% | 4.91% | 0.57% | 6.11% | 5.28% | -3.05% | -2.47% | 8.84% | 2.78% | 16.66% |
| 2019 | 9.28% | 0.76% | 2.82% | 2.31% | -3.75% | 5.17% | 1.14% | 0.20% | 0.62% | 1.86% | 2.16% | 2.45% | 27.46% |
| 2018 | -0.22% | 1.81% | 3.37% | 0.25% | -6.11% | 3.49% | -8.16% | -6.06% |
Expense Ratio
Sector test 2011 - 2016 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Sector test 2011 - 2016 is 57, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
XLC Communication Services Select Sector SPDR Fund | 1.25 | 1.73 | 1.25 | 1.34 | 4.97 |
XLRE Real Estate Select Sector SPDR Fund | 0.68 | 1.02 | 1.13 | 0.51 | 2.24 |
XLV Health Care Select Sector SPDR Fund | -0.43 | -0.47 | 0.94 | -0.43 | -0.99 |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.87 | 1.33 | 1.17 | 0.82 | 2.42 |
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Dividends
Dividend yield
Sector test 2011 - 2016 provided a 1.76% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.76% | 1.70% | 1.63% | 1.82% | 1.30% | 1.53% | 1.83% | 1.84% | 1.48% | 1.88% | 0.99% | 0.66% |
| Portfolio components: | ||||||||||||
XLC Communication Services Select Sector SPDR Fund | 1.03% | 0.99% | 0.82% | 1.11% | 0.74% | 0.68% | 0.81% | 0.64% | 0.00% | 0.00% | 0.00% | 0.00% |
XLRE Real Estate Select Sector SPDR Fund | 3.40% | 3.43% | 3.31% | 3.70% | 2.61% | 3.15% | 3.06% | 3.78% | 3.25% | 4.22% | 1.09% | 0.00% |
XLV Health Care Select Sector SPDR Fund | 1.77% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.58% | 1.47% | 1.60% | 1.43% | 1.35% |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.82% | 0.72% | 0.78% | 1.00% | 0.53% | 0.82% | 1.28% | 1.34% | 1.20% | 1.71% | 1.43% | 1.31% |
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 Sector test 2011 - 2016. 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 Sector test 2011 - 2016 was 32.32%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.
The current Sector test 2011 - 2016 drawdown is 4.78%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.32% | Feb 19, 2020 | 24 | Mar 23, 2020 | 94 | Aug 5, 2020 | 118 |
| -29.42% | Dec 31, 2021 | 199 | Oct 14, 2022 | 431 | Jul 5, 2024 | 630 |
| -16.11% | Aug 30, 2018 | 80 | Dec 24, 2018 | 58 | Mar 20, 2019 | 138 |
| -14.98% | Feb 20, 2025 | 34 | Apr 8, 2025 | — | — | — |
| -8.34% | Sep 3, 2020 | 14 | Sep 23, 2020 | 37 | Nov 13, 2020 | 51 |
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 4.00, 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
| ^GSPC | XLRE | XLV | XLC | XLY | Portfolio | |
|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.60 | 0.70 | 0.84 | 0.87 | 0.92 |
| XLRE | 0.60 | 1.00 | 0.57 | 0.47 | 0.51 | 0.75 |
| XLV | 0.70 | 0.57 | 1.00 | 0.54 | 0.53 | 0.75 |
| XLC | 0.84 | 0.47 | 0.54 | 1.00 | 0.77 | 0.85 |
| XLY | 0.87 | 0.51 | 0.53 | 0.77 | 1.00 | 0.87 |
| Portfolio | 0.92 | 0.75 | 0.75 | 0.85 | 0.87 | 1.00 |