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Defensive Equities ETFs
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BIL 10%TLT 5%VCIT 5%VXUS 15%XLE 13%XLU 13%XLV 12%XLP 12%SCHH 9%VNQI 6%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds
10%
SCHH
Schwab US REIT ETF
REIT
9%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds
5%
VCIT
Vanguard Intermediate-Term Corporate Bond ETF
Corporate Bonds
5%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
REIT
6%
VXUS
Vanguard Total International Stock ETF
Foreign Large Cap Equities
15%
XLE
Energy Select Sector SPDR Fund
Energy Equities
13%
XLP
Consumer Staples Select Sector SPDR Fund
Consumer Staples Equities
12%
XLU
Utilities Select Sector SPDR Fund
Utilities Equities
13%
XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities
12%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Defensive Equities ETFs, 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%MayJuneJulyAugustSeptemberOctober
8.31%
15.83%
Defensive Equities ETFs
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 28, 2011, corresponding to the inception date of VXUS

Returns By Period

As of Oct 30, 2024, the Defensive Equities ETFs returned 10.71% Year-To-Date and 6.43% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Defensive Equities ETFs10.71%-2.38%8.31%21.87%7.39%6.43%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
4.35%0.37%2.58%5.29%2.23%1.53%
TLT
iShares 20+ Year Treasury Bond ETF
-4.13%-6.33%6.41%13.97%-5.96%-0.11%
VCIT
Vanguard Intermediate-Term Corporate Bond ETF
3.85%-2.33%6.58%14.53%1.03%2.81%
VXUS
Vanguard Total International Stock ETF
9.71%-3.84%7.56%24.87%6.31%5.09%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
2.93%-7.18%7.93%22.72%-2.97%1.20%
SCHH
Schwab US REIT ETF
11.59%-1.65%22.59%38.32%1.77%4.68%
XLE
Energy Select Sector SPDR Fund
7.35%0.75%-4.54%7.01%14.10%4.05%
XLV
Health Care Select Sector SPDR Fund
10.04%-3.02%6.56%21.74%11.31%10.02%
XLU
Utilities Select Sector SPDR Fund
28.10%-1.42%20.56%38.37%7.69%9.26%
XLP
Consumer Staples Select Sector SPDR Fund
13.91%-3.14%7.88%22.26%8.50%8.45%

Monthly Returns

The table below presents the monthly returns of Defensive Equities ETFs, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.99%1.61%3.99%-2.29%3.23%-0.70%3.39%3.08%1.70%10.71%
20232.97%-4.38%1.91%2.06%-4.83%3.26%2.75%-2.50%-3.09%-2.46%5.42%3.95%4.44%
2022-0.56%-0.44%3.87%-3.49%1.99%-6.14%4.57%-2.41%-7.99%6.09%6.14%-2.08%-1.62%
2021-0.40%2.22%3.78%2.79%1.60%0.91%0.79%1.17%-2.50%4.28%-2.28%5.49%19.01%
2020-0.97%-6.58%-11.63%9.26%2.32%-0.17%3.24%1.12%-2.78%-1.66%9.09%2.75%2.09%
20196.01%1.44%2.23%0.37%-2.79%4.34%-0.37%0.38%1.87%1.04%0.72%2.49%18.93%
20181.66%-5.47%0.83%1.23%0.29%1.13%2.18%0.19%0.22%-3.81%2.55%-5.50%-4.85%
20171.02%2.58%-0.05%0.60%1.28%0.28%1.68%0.09%1.14%0.35%2.07%0.69%12.32%
2016-1.83%-0.26%6.00%1.25%0.38%3.09%1.69%-1.30%0.35%-2.48%-1.10%2.02%7.78%
20151.19%1.12%-0.51%0.91%-0.45%-2.76%1.47%-4.86%-1.06%4.98%-0.85%-0.85%-1.97%
2014-1.26%3.94%1.04%2.30%1.65%1.94%-1.89%2.79%-2.95%3.06%0.46%-0.16%11.21%
20133.88%0.93%2.98%3.18%-3.08%-1.46%3.39%-2.99%3.03%3.49%-0.25%0.80%14.40%

Expense Ratio

Defensive Equities ETFs has an expense ratio of 0.11%, 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 TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%
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 XLU: 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 XLP: 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 VNQI: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for XLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VXUS: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for SCHH: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VCIT: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Defensive Equities ETFs is 41, 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 Defensive Equities ETFs is 4141
Combined Rank
The Sharpe Ratio Rank of Defensive Equities ETFs is 3333Sharpe Ratio Rank
The Sortino Ratio Rank of Defensive Equities ETFs is 4545Sortino Ratio Rank
The Omega Ratio Rank of Defensive Equities ETFs is 4141Omega Ratio Rank
The Calmar Ratio Rank of Defensive Equities ETFs is 2929Calmar Ratio Rank
The Martin Ratio Rank of Defensive Equities ETFs is 5454Martin 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.


Defensive Equities ETFs
Sharpe ratio
The chart of Sharpe ratio for Defensive Equities ETFs, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for Defensive Equities ETFs, currently valued at 3.91, compared to the broader market-2.000.002.004.006.003.91
Omega ratio
The chart of Omega ratio for Defensive Equities ETFs, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for Defensive Equities ETFs, currently valued at 2.13, compared to the broader market0.005.0010.002.13
Martin ratio
The chart of Martin ratio for Defensive Equities ETFs, currently valued at 19.09, compared to the broader market0.0010.0020.0030.0040.0050.0060.0019.09
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.56334.81237.74485.715,453.66
TLT
iShares 20+ Year Treasury Bond ETF
0.891.361.150.282.32
VCIT
Vanguard Intermediate-Term Corporate Bond ETF
2.413.691.440.8511.39
VXUS
Vanguard Total International Stock ETF
2.062.901.371.5313.22
VNQI
Vanguard Global ex-U.S. Real Estate ETF
1.572.331.280.696.91
SCHH
Schwab US REIT ETF
2.293.281.411.209.33
XLE
Energy Select Sector SPDR Fund
0.410.681.080.551.26
XLV
Health Care Select Sector SPDR Fund
2.112.891.392.0110.51
XLU
Utilities Select Sector SPDR Fund
2.493.421.431.8512.62
XLP
Consumer Staples Select Sector SPDR Fund
2.373.401.411.9117.55

Sharpe Ratio

The current Defensive Equities ETFs Sharpe ratio is 2.66. 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 2.49 to 3.44, 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 Defensive Equities ETFs 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 Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
2.66
3.43
Defensive Equities ETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Defensive Equities ETFs provided a 3.15% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Defensive Equities ETFs3.15%3.26%2.48%2.55%2.50%3.35%3.01%2.51%2.54%2.51%2.42%2.39%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.20%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%0.00%
TLT
iShares 20+ Year Treasury Bond ETF
3.97%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
VCIT
Vanguard Intermediate-Term Corporate Bond ETF
4.21%3.72%3.03%2.87%2.78%3.37%3.61%3.21%3.29%3.34%3.34%4.00%
VXUS
Vanguard Total International Stock ETF
2.92%3.24%3.09%3.10%2.14%3.06%3.18%2.73%2.93%2.83%3.40%2.70%
VNQI
Vanguard Global ex-U.S. Real Estate ETF
3.63%3.74%0.57%6.48%0.93%7.58%4.62%3.86%5.18%2.86%4.11%3.27%
SCHH
Schwab US REIT ETF
2.92%3.24%2.55%1.50%2.86%2.86%3.66%2.22%2.81%2.48%2.18%2.59%
XLE
Energy Select Sector SPDR Fund
3.39%3.55%3.68%4.21%5.62%5.73%3.54%3.03%2.26%3.39%2.35%1.73%
XLV
Health Care Select Sector SPDR Fund
1.53%1.59%1.47%1.33%1.49%2.16%1.56%1.46%1.59%1.43%1.34%1.51%
XLU
Utilities Select Sector SPDR Fund
2.79%3.39%2.92%2.79%3.14%2.95%3.33%3.33%3.41%3.67%3.19%3.86%
XLP
Consumer Staples Select Sector SPDR Fund
2.62%2.63%2.47%2.28%2.50%2.57%3.04%2.62%2.53%2.52%2.40%2.39%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.82%
-0.54%
Defensive Equities ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Defensive Equities ETFs. 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 Defensive Equities ETFs was 28.87%, occurring on Mar 23, 2020. Recovery took 179 trading sessions.

The current Defensive Equities ETFs drawdown is 2.82%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.87%Feb 18, 202025Mar 23, 2020179Dec 4, 2020204
-14.6%Apr 21, 2022113Sep 30, 2022358Mar 6, 2024471
-12.54%Jul 25, 201150Oct 3, 201184Feb 2, 2012134
-11.57%Apr 27, 2015186Jan 20, 201694Jun 3, 2016280
-10.95%Jan 29, 2018229Dec 24, 201853Mar 13, 2019282

Volatility

Volatility Chart

The current Defensive Equities ETFs volatility is 1.97%, 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%MayJuneJulyAugustSeptemberOctober
1.97%
2.71%
Defensive Equities ETFs
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.

BILVCITTLTXLEXLUXLVSCHHXLPVNQIVXUS
BIL1.000.030.020.010.01-0.02-0.020.010.020.01
VCIT0.031.000.74-0.080.220.040.220.100.140.08
TLT0.020.741.00-0.310.06-0.19-0.01-0.11-0.15-0.24
XLE0.01-0.08-0.311.000.270.420.370.370.510.61
XLU0.010.220.060.271.000.440.610.620.390.37
XLV-0.020.04-0.190.420.441.000.520.630.550.63
SCHH-0.020.22-0.010.370.610.521.000.600.580.54
XLP0.010.10-0.110.370.620.630.601.000.510.55
VNQI0.020.14-0.150.510.390.550.580.511.000.85
VXUS0.010.08-0.240.610.370.630.540.550.851.00
The correlation results are calculated based on daily price changes starting from Jan 31, 2011