Defensive Equities ETFs
Asset Allocation
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
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-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 22.29% | 1.65% | 15.83% | 39.98% | 13.99% | 11.23% |
| Defensive Equities ETFs | 10.71% | -2.38% | 8.31% | 21.87% | 7.39% | 6.43% |
| Portfolio components: | ||||||
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.99% | 1.61% | 3.99% | -2.29% | 3.23% | -0.70% | 3.39% | 3.08% | 1.70% | 10.71% | |||
| 2023 | 2.97% | -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% |
| 2019 | 6.01% | 1.44% | 2.23% | 0.37% | -2.79% | 4.34% | -0.37% | 0.38% | 1.87% | 1.04% | 0.72% | 2.49% | 18.93% |
| 2018 | 1.66% | -5.47% | 0.83% | 1.23% | 0.29% | 1.13% | 2.18% | 0.19% | 0.22% | -3.81% | 2.55% | -5.50% | -4.85% |
| 2017 | 1.02% | 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% |
| 2015 | 1.19% | 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% |
| 2013 | 3.88% | 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.
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.
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 | |
|---|---|---|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.56 | 334.81 | 237.74 | 485.71 | 5,453.66 |
TLT iShares 20+ Year Treasury Bond ETF | 0.89 | 1.36 | 1.15 | 0.28 | 2.32 |
VCIT Vanguard Intermediate-Term Corporate Bond ETF | 2.41 | 3.69 | 1.44 | 0.85 | 11.39 |
VXUS Vanguard Total International Stock ETF | 2.06 | 2.90 | 1.37 | 1.53 | 13.22 |
VNQI Vanguard Global ex-U.S. Real Estate ETF | 1.57 | 2.33 | 1.28 | 0.69 | 6.91 |
SCHH Schwab US REIT ETF | 2.29 | 3.28 | 1.41 | 1.20 | 9.33 |
XLE Energy Select Sector SPDR Fund | 0.41 | 0.68 | 1.08 | 0.55 | 1.26 |
XLV Health Care Select Sector SPDR Fund | 2.11 | 2.89 | 1.39 | 2.01 | 10.51 |
XLU Utilities Select Sector SPDR Fund | 2.49 | 3.42 | 1.43 | 1.85 | 12.62 |
XLP Consumer Staples Select Sector SPDR Fund | 2.37 | 3.40 | 1.41 | 1.91 | 17.55 |
Dividends
Dividend yield
Defensive Equities ETFs provided a 3.15% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Defensive Equities ETFs | 3.15% | 3.26% | 2.48% | 2.55% | 2.50% | 3.35% | 3.01% | 2.51% | 2.54% | 2.51% | 2.42% | 2.39% |
| Portfolio components: | ||||||||||||
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.
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, 2020 | 25 | Mar 23, 2020 | 179 | Dec 4, 2020 | 204 |
| -14.6% | Apr 21, 2022 | 113 | Sep 30, 2022 | 358 | Mar 6, 2024 | 471 |
| -12.54% | Jul 25, 2011 | 50 | Oct 3, 2011 | 84 | Feb 2, 2012 | 134 |
| -11.57% | Apr 27, 2015 | 186 | Jan 20, 2016 | 94 | Jun 3, 2016 | 280 |
| -10.95% | Jan 29, 2018 | 229 | Dec 24, 2018 | 53 | Mar 13, 2019 | 282 |
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.
Diversification
Asset Correlations Table
| BIL | VCIT | TLT | XLE | XLU | XLV | SCHH | XLP | VNQI | VXUS | |
|---|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.03 | 0.02 | 0.01 | 0.01 | -0.02 | -0.02 | 0.01 | 0.02 | 0.01 |
| VCIT | 0.03 | 1.00 | 0.74 | -0.08 | 0.22 | 0.04 | 0.22 | 0.10 | 0.14 | 0.08 |
| TLT | 0.02 | 0.74 | 1.00 | -0.31 | 0.06 | -0.19 | -0.01 | -0.11 | -0.15 | -0.24 |
| XLE | 0.01 | -0.08 | -0.31 | 1.00 | 0.27 | 0.42 | 0.37 | 0.37 | 0.51 | 0.61 |
| XLU | 0.01 | 0.22 | 0.06 | 0.27 | 1.00 | 0.44 | 0.61 | 0.62 | 0.39 | 0.37 |
| XLV | -0.02 | 0.04 | -0.19 | 0.42 | 0.44 | 1.00 | 0.52 | 0.63 | 0.55 | 0.63 |
| SCHH | -0.02 | 0.22 | -0.01 | 0.37 | 0.61 | 0.52 | 1.00 | 0.60 | 0.58 | 0.54 |
| XLP | 0.01 | 0.10 | -0.11 | 0.37 | 0.62 | 0.63 | 0.60 | 1.00 | 0.51 | 0.55 |
| VNQI | 0.02 | 0.14 | -0.15 | 0.51 | 0.39 | 0.55 | 0.58 | 0.51 | 1.00 | 0.85 |
| VXUS | 0.01 | 0.08 | -0.24 | 0.61 | 0.37 | 0.63 | 0.54 | 0.55 | 0.85 | 1.00 |