Sector test 2011 - 2016
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Sector test 2011 - 2016, 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
The earliest data available for this chart is Jun 19, 2018, corresponding to the inception date of XLC
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| Sector test 2011 - 2016 | 15.67% | 3.58% | 10.30% | 28.69% | 11.41% | N/A |
| Portfolio components: | ||||||
XLC Communication Services Select Sector SPDR Fund | 23.01% | 2.31% | 8.94% | 36.54% | 12.95% | N/A |
XLRE Real Estate Select Sector SPDR Fund | 13.43% | 5.01% | 16.87% | 32.84% | 6.01% | N/A |
XLV Health Care Select Sector SPDR Fund | 14.72% | 0.32% | 7.18% | 20.75% | 13.02% | 11.00% |
XLY Consumer Discretionary Select Sector SPDR Fund | 10.48% | 6.72% | 7.88% | 22.97% | 11.20% | 12.68% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.45% | 4.53% | 1.85% | -5.66% | 3.66% | 2.72% | 3.23% | 3.15% | 15.67% | ||||
| 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 compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Sector test 2011 - 2016 is 33, 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.
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 | 2.13 | 2.79 | 1.38 | 1.38 | 16.28 |
XLRE Real Estate Select Sector SPDR Fund | 1.49 | 2.15 | 1.27 | 0.80 | 6.41 |
XLV Health Care Select Sector SPDR Fund | 1.79 | 2.45 | 1.33 | 1.67 | 8.97 |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.99 | 1.41 | 1.17 | 0.64 | 4.65 |
Dividends
Dividend yield
Sector test 2011 - 2016 granted a 1.18% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sector test 2011 - 2016 | 1.18% | 1.62% | 1.82% | 1.30% | 1.53% | 1.83% | 1.83% | 1.48% | 1.88% | 0.99% | 0.66% | 0.67% |
| Portfolio components: | ||||||||||||
XLC Communication Services Select Sector SPDR Fund | 0.69% | 0.82% | 1.10% | 0.74% | 0.68% | 0.82% | 0.64% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XLRE Real Estate Select Sector SPDR Fund | 2.40% | 3.31% | 3.70% | 2.61% | 3.15% | 3.06% | 3.78% | 3.25% | 4.22% | 1.09% | 0.00% | 0.00% |
XLV Health Care Select Sector SPDR Fund | 1.09% | 1.59% | 1.47% | 1.33% | 1.49% | 2.16% | 1.56% | 1.46% | 1.59% | 1.43% | 1.34% | 1.51% |
XLY Consumer Discretionary Select Sector SPDR Fund | 0.56% | 0.78% | 1.00% | 0.53% | 0.82% | 1.28% | 1.34% | 1.20% | 1.71% | 1.43% | 1.31% | 1.16% |
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.
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 0.21%.
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 |
| -8.34% | Sep 3, 2020 | 14 | Sep 23, 2020 | 37 | Nov 13, 2020 | 51 |
| -6.03% | Sep 7, 2021 | 20 | Oct 4, 2021 | 19 | Oct 29, 2021 | 39 |
Volatility
Volatility Chart
The current Sector test 2011 - 2016 volatility is 2.98%, 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.
Diversification
Asset Correlations Table
| XLRE | XLV | XLC | XLY | |
|---|---|---|---|---|
| XLRE | 1.00 | 0.56 | 0.49 | 0.53 |
| XLV | 0.56 | 1.00 | 0.55 | 0.54 |
| XLC | 0.49 | 0.55 | 1.00 | 0.77 |
| XLY | 0.53 | 0.54 | 0.77 | 1.00 |