Backtest Portfolio Asset Allocation

Portfolio Backtesting Overview

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

Portfolio Model Configuration

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Portfolio Analysis Results (Jan 1999 - Dec 2022)

S&P 500 ENERGY SECTOR

Ticker Name Allocation
XLE Energy Select Sector SPDR ETF 100.00%
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S&P 500 UTILITIES SECTOR

Ticker Name Allocation
XLU Utilities Select Sector SPDR ETF 100.00%
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S&P 500 CONSUMER STAPLES SECTOR

Ticker Name Allocation
XLP Consumer Staples Select Sector SPDR ETF 100.00%
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Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
S&P 500 ENERGY SECTOR$10,000$68,291 8.33% 25.69%64.17%-38.97%-63.91% 0.380.580.63
S&P 500 UTILITIES SECTOR$10,000$53,947 7.28% 15.20%28.73%-28.93%-43.51% 0.430.610.43
S&P 500 CONSUMER STAPLES SECTOR$10,000$47,715 6.73% 12.50%27.43%-20.10%-32.61% 0.450.650.60
Vanguard 500 Index Investor$10,000$47,709 6.73% 15.40%32.18%-37.02%-50.97% 0.390.560.99

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
S&P 500 ENERGY SECTOR22.70%64.17%64.17%19.32%9.19%5.95%8.33%45.66%38.23%
S&P 500 UTILITIES SECTOR8.50%1.42%1.42%6.28%9.45%10.95%7.28%19.70%16.26%
S&P 500 CONSUMER STAPLES SECTOR12.52%-0.83%-0.83%8.58%8.44%10.76%6.73%16.12%14.73%
Vanguard 500 Index Investor7.52%-18.23%-18.23%7.51%9.28%12.41%6.73%21.17%18.69%
Trailing return and volatility are as of last full calendar month ending December 2022
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • The results assume annual rebalancing of portfolio assets to match the specified allocation.

Annual Returns

YearInflationS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTORVanguard 500 Index InvestorEnergy Select Sector SPDR ETF (XLE)Utilities Select Sector SPDR ETF (XLU)Consumer Staples Select Sector SPDR ETF (XLP)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
19992.68%17.95%$11,795-4.42%$9,558-14.26%$8,57421.07%$12,10717.95%-4.42%-14.26%
20003.39%24.39%$14,67122.48%$11,70725.55%$10,765-9.06%$11,01024.39%22.48%25.55%
20011.55%-18.13%$12,011-12.98%$10,188-9.92%$9,698-12.02%$9,687-18.13%-12.98%-9.92%
20022.38%-14.69%$10,246-28.77%$7,257-20.10%$7,748-22.15%$7,542-14.69%-28.77%-20.10%
20031.88%25.82%$12,89126.44%$9,17611.16%$8,61328.50%$9,69125.82%26.44%11.16%
20043.26%33.94%$17,26623.58%$11,3397.65%$9,27210.74%$10,73233.94%23.58%7.65%
20053.42%40.17%$24,20216.37%$13,1952.84%$9,5364.77%$11,24440.17%16.37%2.84%
20062.54%18.08%$28,57720.90%$15,95214.49%$10,91715.64%$13,00318.08%20.90%14.49%
20074.08%36.88%$39,11518.41%$18,88912.67%$12,3005.39%$13,70336.88%18.41%12.67%
20080.09%-38.97%$23,873-28.93%$13,425-15.02%$10,453-37.02%$8,630-38.97%-28.93%-15.02%
20092.72%21.79%$29,07611.71%$14,99714.28%$11,94626.49%$10,91621.79%11.71%14.28%
20101.50%21.78%$35,4095.30%$15,79313.78%$13,59314.91%$12,54421.78%5.30%13.78%
20112.96%2.84%$36,41419.62%$18,89114.07%$15,5061.97%$12,7912.84%19.62%14.07%
20121.74%5.20%$38,3081.04%$19,08710.74%$17,17115.82%$14,8155.20%1.04%10.74%
20131.50%26.25%$48,36413.05%$21,57726.30%$21,68832.18%$19,58226.25%13.05%26.30%
20140.76%-8.70%$44,15628.73%$27,77715.72%$25,09813.51%$22,227-8.70%28.73%15.72%
20150.73%-21.47%$34,675-4.91%$26,4136.89%$26,8261.25%$22,504-21.47%-4.91%6.89%
20162.07%28.02%$44,38916.06%$30,6544.98%$28,16311.82%$25,16428.02%16.06%4.98%
20172.11%-0.90%$43,98912.03%$34,34312.98%$31,81921.67%$30,616-0.90%12.03%12.98%
20181.91%-18.21%$35,9803.92%$35,690-8.07%$29,250-4.52%$29,231-18.21%3.92%-8.07%
20192.29%11.73%$40,20225.91%$44,93927.43%$37,27331.33%$38,38811.73%25.91%27.43%
20201.36%-32.51%$27,1310.57%$45,19610.15%$41,05518.25%$45,393-32.51%0.57%10.15%
20217.04%53.31%$41,59617.69%$53,19317.20%$48,11628.53%$58,34553.31%17.69%17.20%
20226.45%64.17%$68,2911.42%$53,947-0.83%$47,715-18.23%$47,70964.17%1.42%-0.83%

Monthly Returns

YearMonthS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTORVanguard 500 Index InvestorEnergy Select Sector SPDR ETF (XLE)Utilities Select Sector SPDR ETF (XLU)Consumer Staples Select Sector SPDR ETF (XLP)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
19991-6.56%$9,344-2.48%$9,752-1.32%$9,8684.20%$10,420-6.56%-2.48%-1.32%
19992-0.86%$9,264-2.76%$9,483-1.05%$9,764-3.12%$10,095-0.86%-2.76%-1.05%
1999314.14%$10,574-6.30%$8,886-0.12%$9,7534.00%$10,49814.14%-6.30%-0.12%
1999414.80%$12,1399.66%$9,744-3.49%$9,4133.85%$10,90314.80%9.66%-3.49%
19995-2.16%$11,8771.17%$9,859-1.04%$9,315-2.39%$10,642-2.16%1.17%-1.04%
199962.04%$12,1194.12%$10,2651.77%$9,4795.56%$11,2332.04%4.12%1.77%
199971.89%$12,3490.31%$10,296-3.72%$9,126-3.13%$10,8821.89%0.31%-3.72%
199981.09%$12,484-4.78%$9,8041.71%$9,282-0.50%$10,8281.09%-4.78%1.71%
19999-4.60%$11,9092.53%$10,052-9.02%$8,445-2.74%$10,531-4.60%2.53%-9.02%
199910-1.48%$11,7330.52%$10,1059.13%$9,2166.33%$11,197-1.48%0.52%9.13%
199911-0.17%$11,713-3.29%$9,7730.31%$9,2452.02%$11,424-0.17%-3.29%0.31%
1999120.70%$11,795-2.19%$9,558-7.26%$8,5745.98%$12,1070.70%-2.19%-7.26%
200010.81%$11,890-1.78%$9,3890.88%$8,650-5.03%$11,4980.81%-1.78%0.88%
20002-4.23%$11,387-12.15%$8,248-11.70%$7,638-1.91%$11,278-4.23%-12.15%-11.70%
2000312.45%$12,80510.92%$9,1483.76%$7,9259.75%$12,37812.45%10.92%3.76%
20004-1.49%$12,6146.55%$9,7475.30%$8,345-3.00%$12,007-1.49%6.55%5.30%
2000511.74%$14,095-0.22%$9,7257.13%$8,940-2.04%$11,76211.74%-0.22%7.13%
20006-5.51%$13,318-3.39%$9,3965.67%$9,4472.49%$12,056-5.51%-3.39%5.67%
20007-3.81%$12,8111.55%$9,541-3.65%$9,102-1.50%$11,875-3.81%1.55%-3.65%
2000810.92%$14,2103.90%$9,913-1.22%$8,9916.19%$12,61010.92%3.90%-1.22%
200091.63%$14,44213.21%$11,2224.43%$9,389-5.29%$11,9431.63%13.21%4.43%
200010-2.72%$14,0495.81%$11,8746.94%$10,041-0.43%$11,892-2.72%5.81%6.94%
200011-5.25%$13,313-0.05%$11,8683.45%$10,387-7.89%$10,954-5.25%-0.05%3.45%
20001210.21%$14,671-1.36%$11,7073.64%$10,7650.51%$11,01010.21%-1.36%3.64%
20011-3.19%$14,204-5.63%$11,049-7.29%$9,9803.55%$11,401-3.19%-5.63%-7.29%
20012-1.21%$14,0312.08%$11,2780.60%$10,040-9.14%$10,359-1.21%2.08%0.60%
20013-2.98%$13,613-1.43%$11,117-6.93%$9,344-6.36%$9,701-2.98%-1.43%-6.93%
2001410.33%$15,0194.83%$11,6531.94%$9,5267.77%$10,45410.33%4.83%1.94%
20015-0.94%$14,8770.70%$11,7351.47%$9,6660.65%$10,522-0.94%0.70%1.47%
20016-9.12%$13,521-5.02%$11,146-4.62%$9,219-2.45%$10,265-9.12%-5.02%-4.62%
20017-1.15%$13,365-0.90%$11,0463.04%$9,499-1.00%$10,162-1.15%-0.90%3.04%
20018-4.23%$12,799-3.56%$10,6520.48%$9,545-6.27%$9,525-4.23%-3.56%0.48%
20019-9.62%$11,568-0.93%$10,552-0.11%$9,534-8.09%$8,754-9.62%-0.93%-0.11%
2001104.03%$12,033-5.26%$9,997-0.64%$9,4741.90%$8,9204.03%-5.26%-0.64%
200111-5.58%$11,361-1.26%$9,8714.42%$9,8927.65%$9,603-5.58%-1.26%4.42%
2001125.71%$12,0113.21%$10,188-1.97%$9,6980.87%$9,6875.71%3.21%-1.97%
20021-3.56%$11,583-3.60%$9,821-0.67%$9,633-1.47%$9,544-3.56%-3.60%-0.67%
200223.42%$11,979-0.19%$9,8022.10%$9,835-1.94%$9,3593.42%-0.19%2.10%
200238.85%$13,0395.33%$10,3241.61%$9,9933.74%$9,7098.85%5.33%1.61%
20024-3.60%$12,570-6.07%$9,698-3.72%$9,622-6.07%$9,120-3.60%-6.07%-3.72%
20025-1.76%$12,349-0.83%$9,617-1.11%$9,514-0.75%$9,051-1.76%-0.83%-1.11%
20026-3.66%$11,897-6.73%$8,970-10.18%$8,546-7.13%$8,405-3.66%-6.73%-10.18%
20027-13.85%$10,249-14.72%$7,650-4.27%$8,181-7.72%$7,756-13.85%-14.72%-4.27%
200281.51%$10,4033.97%$7,9530.80%$8,2460.65%$7,8071.51%3.97%0.80%
20029-7.14%$9,660-12.08%$6,992-7.23%$7,650-10.87%$6,958-7.14%-12.08%-7.23%
2002101.84%$9,838-2.30%$6,8313.89%$7,9488.78%$7,5691.84%-2.30%3.89%
2002114.13%$10,2452.91%$7,030-2.77%$7,7275.88%$8,0144.13%2.91%-2.77%
2002120.01%$10,2463.23%$7,2570.27%$7,748-5.89%$7,5420.01%3.23%0.27%
20031-2.51%$9,989-2.35%$7,086-3.41%$7,484-2.62%$7,344-2.51%-2.35%-3.41%
200322.94%$10,283-5.35%$6,707-3.06%$7,255-1.52%$7,2322.94%-5.35%-3.06%
200330.13%$10,2965.05%$7,0460.00%$7,2550.96%$7,3010.13%5.05%0.00%
20034-0.85%$10,2088.64%$7,6552.96%$7,4708.25%$7,904-0.85%8.64%2.96%
2003510.62%$11,29210.11%$8,4284.92%$7,8375.26%$8,32010.62%10.11%4.92%
20036-1.28%$11,1471.36%$8,5430.95%$7,9121.26%$8,425-1.28%1.36%0.95%
20037-3.53%$10,753-6.69%$7,971-0.15%$7,9001.74%$8,572-3.53%-6.69%-0.15%
200386.38%$11,4391.99%$8,1301.69%$8,0341.93%$8,7376.38%1.99%1.69%
20039-2.07%$11,2034.97%$8,534-0.39%$8,002-1.07%$8,644-2.07%4.97%-0.39%
2003100.96%$11,3100.68%$8,5924.53%$8,3645.64%$9,1310.96%0.68%4.53%
2003110.78%$11,3990.23%$8,6121.18%$8,4630.86%$9,2100.78%0.23%1.18%
20031213.09%$12,8916.55%$9,1761.78%$8,6135.22%$9,69113.09%6.55%1.78%
200412.25%$13,1812.06%$9,3640.00%$8,6131.82%$9,8682.25%2.06%0.00%
200425.25%$13,8741.89%$9,5415.69%$9,1041.38%$10,0035.25%1.89%5.69%
20043-0.62%$13,7881.07%$9,644-0.25%$9,081-1.51%$9,852-0.62%1.07%-0.25%
200441.70%$14,023-4.28%$9,2311.31%$9,200-1.58%$9,6971.70%-4.28%1.31%
20045-0.30%$13,9811.20%$9,342-0.56%$9,1491.36%$9,828-0.30%1.20%-0.56%
200466.24%$14,8531.73%$9,5040.55%$9,1991.93%$10,0186.24%1.73%0.55%
200473.08%$15,3101.52%$9,648-4.94%$8,745-3.31%$9,6863.08%1.52%-4.94%
20048-1.54%$15,0754.06%$10,0401.78%$8,9000.38%$9,723-1.54%4.06%1.78%
200499.76%$16,5450.63%$10,103-2.64%$8,6661.07%$9,8279.76%0.63%-2.64%
2004100.60%$16,6454.87%$10,5950.65%$8,7221.51%$9,9760.60%4.87%0.65%
2004116.74%$17,7674.45%$11,0672.48%$8,9384.05%$10,3806.74%4.45%2.48%
200412-2.82%$17,2662.46%$11,3393.74%$9,2723.39%$10,732-2.82%2.46%3.74%
200513.39%$17,8512.12%$11,5791.17%$9,381-2.45%$10,4683.39%2.12%1.17%
2005216.78%$20,8462.14%$11,828-0.13%$9,3692.09%$10,68816.78%2.14%-0.13%
20053-1.91%$20,4471.11%$11,959-0.87%$9,287-1.76%$10,500-1.91%1.11%-0.87%
20054-5.41%$19,3403.09%$12,328-1.04%$9,190-1.91%$10,299-5.41%3.09%-1.04%
200552.79%$19,879-0.07%$12,3202.33%$9,4043.17%$10,6252.79%-0.07%2.33%
200566.97%$21,2665.94%$13,052-1.93%$9,2220.13%$10,6386.97%5.94%-1.93%
200577.09%$22,7732.25%$13,3453.21%$9,5183.71%$11,0337.09%2.25%3.21%
200586.39%$24,2270.65%$13,432-1.75%$9,351-0.91%$10,9326.39%0.65%-1.75%
200596.28%$25,7494.22%$13,9991.41%$9,4840.79%$11,0196.28%4.22%1.41%
200510-9.04%$23,423-6.40%$13,103-0.47%$9,439-1.68%$10,834-9.04%-6.40%-0.47%
2005111.50%$23,773-0.16%$13,0830.91%$9,5243.76%$11,2421.50%-0.16%0.91%
2005121.81%$24,2020.86%$13,1950.12%$9,5360.02%$11,2441.81%0.86%0.12%
2006114.61%$27,7382.42%$13,5150.17%$9,5522.65%$11,54214.61%2.42%0.17%
20062-9.23%$25,1791.31%$13,6910.86%$9,6340.26%$11,572-9.23%1.31%0.86%
200634.25%$26,248-4.63%$13,0570.82%$9,7131.23%$11,7144.25%-4.63%0.82%
200645.04%$27,5701.59%$13,2650.97%$9,8081.33%$11,8715.04%1.59%0.97%
20065-2.78%$26,8031.63%$13,4810.21%$9,828-2.90%$11,527-2.78%1.63%0.21%
200662.54%$27,4842.30%$13,7901.84%$10,0090.13%$11,5412.54%2.30%1.84%
200673.35%$28,4044.80%$14,4521.57%$10,1670.61%$11,6123.35%4.80%1.57%
20068-5.08%$26,9612.75%$14,8493.87%$10,5602.36%$11,886-5.08%2.75%3.87%
20069-3.66%$25,974-1.45%$14,633-0.05%$10,5542.56%$12,190-3.66%-1.45%-0.05%
2006104.27%$27,0825.30%$15,4081.77%$10,7413.25%$12,5874.27%5.30%1.77%
2006118.58%$29,4052.65%$15,817-0.85%$10,6501.89%$12,8258.58%2.65%-0.85%
200612-2.81%$28,5770.85%$15,9522.51%$10,9171.39%$13,003-2.81%0.85%2.51%
20071-0.92%$28,314-0.35%$15,8962.03%$11,1391.49%$13,197-0.92%-0.35%2.03%
20072-2.05%$27,7345.30%$16,739-1.54%$10,967-1.97%$12,937-2.05%5.30%-1.54%
200736.29%$29,4793.59%$17,3402.07%$11,1941.11%$13,0816.29%3.59%2.07%
200745.13%$30,9904.91%$18,1922.81%$11,5094.42%$13,6595.13%4.91%2.81%
200757.78%$33,4010.46%$18,2751.35%$11,6643.48%$14,1347.78%0.46%1.35%
200761.30%$33,835-4.76%$17,406-1.99%$11,432-1.68%$13,8971.30%-4.76%-1.99%
200770.01%$33,840-3.99%$16,711-2.85%$11,106-3.08%$13,4680.01%-3.99%-2.85%
200781.20%$34,2471.58%$16,9752.36%$11,3681.50%$13,6701.20%1.58%2.36%
200797.40%$36,7803.84%$17,6264.59%$11,8913.72%$14,1797.40%3.84%4.59%
2007102.54%$37,7146.66%$18,8001.54%$12,0731.58%$14,4032.54%6.66%1.54%
200711-4.21%$36,1260.66%$18,9242.75%$12,405-4.19%$13,800-4.21%0.66%2.75%
2007128.27%$39,115-0.18%$18,889-0.84%$12,300-0.70%$13,7038.27%-0.18%-0.84%
20081-12.29%$34,309-7.35%$17,501-5.56%$11,617-6.02%$12,879-12.29%-7.35%-5.56%
200829.27%$37,488-4.11%$16,783-0.26%$11,587-3.25%$12,4609.27%-4.11%-0.26%
20083-2.34%$36,6121.61%$17,0533.23%$11,962-0.44%$12,405-2.34%1.61%3.23%
2008410.38%$40,4145.11%$17,924-0.75%$11,8724.85%$13,00810.38%5.11%-0.75%
200855.20%$42,5153.59%$18,5673.04%$12,2321.29%$13,1765.20%3.59%3.04%
200863.16%$43,857-0.74%$18,430-5.69%$11,536-8.44%$12,0643.16%-0.74%-5.69%
20087-15.91%$36,878-6.44%$17,2442.43%$11,816-0.83%$11,964-15.91%-6.44%2.43%
200880.34%$37,002-1.10%$17,0542.70%$12,1351.45%$12,1370.34%-1.10%2.70%
20089-14.95%$31,471-11.01%$15,177-1.25%$11,984-8.91%$11,056-14.95%-11.01%-1.25%
200810-18.80%$25,554-13.00%$13,204-12.61%$10,473-16.79%$9,199-18.80%-13.00%-12.61%
200811-2.18%$24,9984.19%$13,756-0.21%$10,451-7.17%$8,539-2.18%4.19%-0.21%
200812-4.50%$23,873-2.41%$13,4250.02%$10,4531.07%$8,630-4.50%-2.41%0.02%
20091-1.78%$23,448-0.17%$13,402-7.21%$9,700-8.41%$7,904-1.78%-0.17%-7.21%
20092-12.34%$20,555-12.53%$11,723-8.08%$8,916-10.66%$7,062-12.34%-12.53%-8.08%
200933.79%$21,3331.91%$11,9474.25%$9,2958.76%$7,6813.79%1.91%4.25%
200947.82%$23,0011.17%$12,0874.27%$9,6929.56%$8,4157.82%1.17%4.27%
2009512.89%$25,9653.56%$12,5175.09%$10,1855.62%$8,88712.89%3.56%5.09%
20096-6.54%$24,2665.39%$13,1920.21%$10,2060.22%$8,907-6.54%5.39%0.21%
200975.35%$25,5643.76%$13,6886.66%$10,8867.58%$9,5825.35%3.76%6.66%
200981.09%$25,8421.00%$13,8251.22%$11,0193.60%$9,9271.09%1.00%1.22%
200995.84%$27,3521.37%$14,0153.30%$11,3833.72%$10,2965.84%1.37%3.30%
2009102.47%$28,027-3.20%$13,5661.45%$11,548-1.87%$10,1032.47%-3.20%1.45%
2009112.84%$28,8234.83%$14,2213.68%$11,9735.98%$10,7082.84%4.83%3.68%
2009120.88%$29,0765.46%$14,997-0.22%$11,9461.95%$10,9160.88%5.46%-0.22%
20101-4.40%$27,796-4.80%$14,277-1.02%$11,825-3.60%$10,523-4.40%-4.80%-1.02%
201023.01%$28,632-1.32%$14,0883.17%$12,1993.09%$10,8483.01%-1.32%3.17%
201032.82%$29,4402.69%$14,4683.77%$12,6596.01%$11,5002.82%2.69%3.77%
201044.16%$30,6632.63%$14,848-1.07%$12,5231.58%$11,6824.16%2.63%-1.07%
20105-11.45%$27,152-5.52%$14,029-4.63%$11,943-8.01%$10,747-11.45%-5.52%-4.63%
20106-5.93%$25,543-0.70%$13,930-2.53%$11,641-5.24%$10,184-5.93%-0.70%-2.53%
201078.37%$27,6817.47%$14,9705.80%$12,3167.00%$10,8968.37%7.47%5.80%
20108-4.90%$26,3241.45%$15,187-1.85%$12,088-4.53%$10,403-4.90%1.45%-1.85%
2010910.00%$28,9562.90%$15,6276.04%$12,8188.92%$11,33010.00%2.90%6.04%
2010105.67%$30,5991.08%$15,7963.19%$13,2283.79%$11,7605.67%1.08%3.19%
2010115.86%$32,391-3.03%$15,318-1.56%$13,0210.00%$11,7605.86%-3.03%-1.56%
2010129.32%$35,4093.10%$15,7934.40%$13,5936.67%$12,5449.32%3.10%4.40%
201117.18%$37,9511.21%$15,984-1.47%$13,3942.36%$12,8407.18%1.21%-1.47%
201127.37%$40,7481.23%$16,1812.91%$13,7833.42%$13,2787.37%1.23%2.91%
201131.88%$41,5150.23%$16,2181.24%$13,9550.03%$13,2821.88%0.23%1.24%
201140.92%$41,8954.05%$16,8745.35%$14,7012.95%$13,6730.92%4.05%5.35%
20115-4.19%$40,1412.14%$17,2352.51%$15,069-1.15%$13,517-4.19%2.14%2.51%
20116-1.92%$39,370-0.15%$17,209-2.67%$14,667-1.67%$13,291-1.92%-0.15%-2.67%
201171.46%$39,945-0.93%$17,050-1.28%$14,479-2.05%$13,0191.46%-0.93%-1.28%
20118-10.22%$35,8642.17%$17,4200.19%$14,507-5.45%$12,310-10.22%2.17%0.19%
20119-14.42%$30,6910.20%$17,456-3.30%$14,029-7.04%$11,443-14.42%0.20%-3.30%
20111019.14%$36,5663.66%$18,0944.65%$14,68110.91%$12,69219.14%3.66%4.65%
2011111.66%$37,1751.03%$18,2812.77%$15,088-0.23%$12,6621.66%1.03%2.77%
201112-2.05%$36,4143.33%$18,8912.77%$15,5061.02%$12,791-2.05%3.33%2.77%
201212.26%$37,236-3.61%$18,208-1.42%$15,2874.46%$13,3622.26%-3.61%-1.42%
201225.93%$39,4430.61%$18,3193.75%$15,8594.31%$13,9375.93%0.61%3.75%
20123-3.81%$37,9381.36%$18,5683.10%$16,3513.28%$14,395-3.81%1.36%3.10%
20124-0.71%$37,6681.77%$18,8960.29%$16,399-0.64%$14,303-0.71%1.77%0.29%
20125-10.68%$33,6450.56%$19,002-1.17%$16,207-6.02%$13,442-10.68%0.56%-1.17%
201264.80%$35,2604.11%$19,7823.64%$16,7974.11%$13,9944.80%4.11%3.64%
201274.94%$37,0022.51%$20,2802.47%$17,2121.37%$14,1864.94%2.51%2.47%
201282.70%$38,001-4.14%$19,440-0.48%$17,1302.24%$14,5042.70%-4.14%-0.48%
201293.12%$39,1851.17%$19,6671.76%$17,4322.58%$14,8773.12%1.17%1.76%
201210-2.03%$38,3901.40%$19,943-1.23%$17,218-1.86%$14,601-2.03%1.40%-1.23%
201211-1.22%$37,920-4.28%$19,0891.84%$17,5340.56%$14,682-1.22%-4.28%1.84%
2012121.02%$38,308-0.01%$19,087-2.07%$17,1710.90%$14,8151.02%-0.01%-2.07%
201318.30%$41,4894.75%$19,9945.64%$18,1415.18%$15,5828.30%4.75%5.64%
201320.44%$41,6722.32%$20,4593.31%$18,7411.34%$15,7900.44%2.32%3.31%
201332.54%$42,7315.36%$21,5564.93%$19,6653.74%$16,3812.54%5.36%4.93%
20134-1.31%$42,1715.96%$22,8402.94%$20,2431.91%$16,693-1.31%5.96%2.94%
201352.85%$43,372-9.05%$20,773-2.17%$19,8032.33%$17,0822.85%-9.05%-2.17%
20136-2.27%$42,3890.88%$20,956-0.31%$19,742-1.35%$16,851-2.27%0.88%-0.31%
201375.26%$44,6194.33%$21,8644.34%$20,5985.07%$17,7065.26%4.33%4.34%
20138-1.03%$44,159-4.99%$20,772-4.54%$19,662-2.91%$17,190-1.03%-4.99%-4.54%
201392.12%$45,0951.16%$21,0141.38%$19,9323.12%$17,7272.12%1.16%1.38%
2013104.20%$46,9873.77%$21,8066.41%$21,2094.59%$18,5404.20%3.77%6.41%
2013110.06%$47,015-1.93%$21,3851.56%$21,5403.03%$19,1010.06%-1.93%1.56%
2013122.87%$48,3640.90%$21,5770.69%$21,6882.51%$19,5822.87%0.90%0.69%
20141-5.80%$45,5612.98%$22,219-5.17%$20,568-3.47%$18,902-5.80%2.98%-5.17%
201425.12%$47,8943.45%$22,9873.90%$21,3704.56%$19,7645.12%3.45%3.90%
201432.11%$48,9033.34%$23,7552.19%$21,8390.82%$19,9272.11%3.34%2.19%
201445.25%$51,4734.22%$24,7582.74%$22,4370.72%$20,0715.25%4.22%2.74%
201451.67%$52,335-1.09%$24,4891.81%$22,8432.33%$20,5401.67%-1.09%1.81%
201465.51%$55,2184.45%$25,578-0.25%$22,7862.05%$20,9625.51%4.45%-0.25%
20147-3.47%$53,304-6.80%$23,838-3.32%$22,030-1.39%$20,671-3.47%-6.80%-3.32%
201482.18%$54,4684.92%$25,0124.61%$23,0463.98%$21,4942.18%4.92%4.61%
20149-7.75%$50,246-1.88%$24,5410.59%$23,181-1.41%$21,190-7.75%-1.88%0.59%
201410-3.53%$48,4728.03%$26,5123.55%$24,0032.42%$21,703-3.53%8.03%3.55%
201411-8.69%$44,2581.17%$26,8215.54%$25,3342.68%$22,286-8.69%1.17%5.54%
201412-0.23%$44,1563.57%$27,777-0.93%$25,098-0.26%$22,227-0.23%3.57%-0.93%
20151-4.56%$42,1432.33%$28,424-0.97%$24,854-3.02%$21,556-4.56%2.33%-0.97%
201524.59%$44,078-6.39%$26,6074.14%$25,8845.74%$22,7934.59%-6.39%4.14%
20153-1.16%$43,565-1.00%$26,340-1.95%$25,380-1.59%$22,430-1.16%-1.00%-1.95%
201546.57%$46,429-0.47%$26,216-0.76%$25,1870.95%$22,6436.57%-0.47%-0.76%
20155-5.19%$44,0200.63%$26,3820.87%$25,4061.27%$22,931-5.19%0.63%0.87%
20156-3.48%$42,489-5.98%$24,805-1.83%$24,940-1.93%$22,488-3.48%-5.98%-1.83%
20157-7.69%$39,2216.10%$26,3195.69%$26,3602.08%$22,956-7.69%6.10%5.69%
20158-4.25%$37,554-3.46%$25,409-5.96%$24,788-6.05%$21,568-4.25%-3.46%-5.96%
20159-7.18%$34,8592.90%$26,1460.40%$24,886-2.48%$21,032-7.18%2.90%0.40%
20151011.16%$38,7491.06%$26,4245.70%$26,3058.42%$22,80311.16%1.06%5.70%
201511-0.01%$38,744-2.13%$25,862-0.92%$26,0620.29%$22,868-0.01%-2.13%-0.92%
201512-10.50%$34,6752.13%$26,4132.93%$26,826-1.59%$22,504-10.50%2.13%2.93%
20161-3.50%$33,4624.94%$27,7190.53%$26,970-4.98%$21,384-3.50%4.94%0.53%
20162-2.80%$32,5251.94%$28,2570.32%$27,055-0.15%$21,353-2.80%1.94%0.32%
2016310.16%$35,8307.98%$30,5124.74%$28,3376.78%$22,80010.16%7.98%4.74%
201649.06%$39,078-2.42%$29,774-1.43%$27,9310.37%$22,8859.06%-2.42%-1.43%
20165-0.93%$38,7131.51%$30,2230.69%$28,1231.78%$23,293-0.93%1.51%0.69%
201662.71%$39,7647.62%$32,5275.36%$29,6310.25%$23,3512.71%7.62%5.36%
20167-1.26%$39,263-0.67%$32,310-0.82%$29,3893.68%$24,210-1.26%-0.67%-0.82%
201681.68%$39,921-5.54%$30,519-0.59%$29,2170.13%$24,2411.68%-5.54%-0.59%
201693.69%$41,3960.35%$30,626-1.54%$28,7660.01%$24,2433.69%0.35%-1.54%
201610-2.82%$40,2290.90%$30,902-0.77%$28,545-1.83%$23,799-2.82%0.90%-0.77%
2016118.47%$43,635-5.42%$29,226-4.20%$27,3443.70%$24,6798.47%-5.42%-4.20%
2016121.73%$44,3894.89%$30,6542.99%$28,1631.96%$25,1641.73%4.89%2.99%
20171-3.21%$42,9631.26%$31,0391.70%$28,6421.88%$25,637-3.21%1.26%1.70%
20172-2.09%$42,0675.27%$32,6744.77%$30,0093.96%$26,653-2.09%5.27%4.77%
20173-1.49%$41,442-0.14%$32,628-0.42%$29,8830.10%$26,680-1.49%-0.14%-0.42%
20174-2.95%$40,2210.76%$32,8761.10%$30,2111.02%$26,952-2.95%0.76%1.10%
20175-3.54%$38,7984.14%$34,2372.65%$31,0101.39%$27,327-3.54%4.14%2.65%
20176-0.12%$38,750-2.71%$33,308-2.25%$30,3140.61%$27,494-0.12%-2.71%-2.25%
201772.62%$39,7652.42%$34,1160.69%$30,5242.04%$28,0562.62%2.42%0.69%
20178-5.48%$37,5863.29%$35,238-1.10%$30,1870.29%$28,138-5.48%3.29%-1.10%
2017910.18%$41,412-2.76%$34,266-0.72%$29,9712.06%$28,71810.18%-2.76%-0.72%
201710-0.83%$41,0683.90%$35,603-1.65%$29,4772.32%$29,383-0.83%3.90%-1.65%
2017111.75%$41,7872.69%$36,5595.58%$31,1203.06%$30,2821.75%2.69%5.58%
2017125.27%$43,989-6.06%$34,3432.24%$31,8191.10%$30,6165.27%-6.06%2.24%
201813.58%$45,566-3.11%$33,2741.63%$32,3395.71%$32,3653.58%-3.11%1.63%
20182-10.84%$40,629-3.88%$31,983-7.63%$29,872-3.69%$31,169-10.84%-3.88%-7.63%
201831.72%$41,3273.79%$33,195-0.91%$29,601-2.56%$30,3731.72%3.79%-0.91%
201849.49%$45,2502.04%$33,872-4.14%$28,3750.37%$30,4869.49%2.04%-4.14%
201852.99%$46,605-1.11%$33,497-1.57%$27,9312.39%$31,2162.99%-1.11%-1.57%
201860.58%$46,8772.81%$34,4384.56%$29,2040.61%$31,4050.58%2.81%4.56%
201871.55%$47,6061.60%$34,9883.96%$30,3603.71%$32,5701.55%1.60%3.96%
20188-3.48%$45,9511.29%$35,4390.39%$30,4803.25%$33,627-3.48%1.29%0.39%
201892.44%$47,073-0.65%$35,2080.99%$30,7800.55%$33,8132.44%-0.65%0.99%
201810-11.33%$41,7411.98%$35,9032.00%$31,396-6.85%$31,498-11.33%1.98%2.00%
201811-1.56%$41,0883.54%$37,1742.27%$32,1102.03%$32,136-1.56%3.54%2.27%
201812-12.43%$35,980-3.99%$35,690-8.91%$29,250-9.04%$29,231-12.43%-3.99%-8.91%
2019111.21%$40,0143.48%$36,9315.14%$30,7548.00%$31,57011.21%3.48%5.14%
201922.30%$40,9374.11%$38,4481.78%$31,3013.20%$32,5802.30%4.11%1.78%
201932.13%$41,8082.79%$39,5213.82%$32,4961.94%$33,2112.13%2.79%3.82%
20194-0.02%$41,8020.93%$39,8872.85%$33,4234.04%$34,553-0.02%0.93%2.85%
20195-11.10%$37,161-0.78%$39,575-3.64%$32,207-6.36%$32,354-11.10%-0.78%-3.64%
201969.39%$40,6493.18%$40,8355.22%$33,8897.03%$34,6309.39%3.18%5.22%
20197-1.59%$40,005-0.13%$40,7802.34%$34,6821.43%$35,123-1.59%-0.13%2.34%
20198-8.33%$36,6745.09%$42,8552.17%$35,435-1.59%$34,565-8.33%5.09%2.17%
201993.93%$38,1174.25%$44,6751.75%$36,0571.86%$35,2073.93%4.25%1.75%
201910-2.09%$37,318-0.76%$44,337-0.42%$35,9042.15%$35,966-2.09%-0.76%-0.42%
2019111.60%$37,917-1.87%$43,5091.37%$36,3973.62%$37,2681.60%-1.87%1.37%
2019126.03%$40,2023.29%$44,9392.41%$37,2733.01%$38,3886.03%3.29%2.41%
20201-10.99%$35,7836.75%$47,9710.32%$37,391-0.05%$38,369-10.99%6.75%0.32%
20202-15.29%$30,312-9.86%$43,242-8.21%$34,320-8.24%$35,207-15.29%-9.86%-8.21%
20203-34.27%$19,926-9.95%$38,940-5.52%$32,427-12.37%$30,851-34.27%-9.95%-5.52%
2020430.76%$26,0553.34%$40,2406.96%$34,68312.81%$34,80430.76%3.34%6.96%
202052.00%$26,5774.24%$41,9481.66%$35,2604.76%$36,4592.00%4.24%1.66%
20206-1.10%$26,284-4.68%$39,985-0.22%$35,1821.98%$37,180-1.10%-4.68%-0.22%
20207-4.81%$25,0207.80%$43,1036.92%$37,6185.63%$39,272-4.81%7.80%6.92%
20208-1.05%$24,756-2.60%$41,9834.59%$39,3467.18%$42,091-1.05%-2.60%4.59%
20209-14.56%$21,1521.09%$42,439-1.67%$38,689-3.81%$40,487-14.56%1.09%-1.67%
202010-4.11%$20,2835.05%$44,583-2.87%$37,578-2.67%$39,405-4.11%5.05%-2.87%
20201127.99%$25,9610.74%$44,9127.47%$40,38510.94%$43,71527.99%0.74%7.47%
2020124.51%$27,1310.63%$45,1961.66%$41,0553.84%$45,3934.51%0.63%1.66%
202113.75%$28,148-0.88%$44,799-4.98%$39,010-1.02%$44,9293.75%-0.88%-4.98%
2021222.46%$34,469-6.10%$42,067-1.23%$38,5292.76%$46,16822.46%-6.10%-1.23%
202132.98%$35,49710.55%$46,5078.49%$41,8014.37%$48,1842.98%10.55%8.49%
202140.67%$35,7364.18%$48,4531.86%$42,5785.32%$50,7490.67%4.18%1.86%
202155.71%$37,776-2.34%$47,3201.77%$43,3310.69%$51,0995.71%-2.34%1.77%
202164.19%$39,359-2.22%$46,270-0.55%$43,0922.31%$52,2774.19%-2.22%-0.55%
20217-8.32%$36,0864.33%$48,2762.20%$44,0402.38%$53,519-8.32%4.33%2.20%
20218-2.00%$35,3623.90%$50,1561.05%$44,5023.03%$55,141-2.00%3.90%1.05%
202198.97%$38,535-6.09%$47,101-4.13%$42,663-4.66%$52,5698.97%-6.09%-4.13%
20211010.33%$42,5164.74%$49,3353.50%$44,1566.99%$56,24610.33%4.74%3.50%
202111-5.01%$40,385-1.70%$48,494-1.35%$43,561-0.71%$55,849-5.01%-1.70%-1.35%
2021123.00%$41,5969.69%$53,19310.45%$48,1164.47%$58,3453.00%9.69%10.45%
2022118.77%$49,406-3.26%$51,461-1.48%$47,404-5.19%$55,31918.77%-3.26%-1.48%
202227.07%$52,899-1.91%$50,480-1.41%$46,737-3.00%$53,6607.07%-1.91%-1.41%
202239.30%$57,81710.34%$55,7001.78%$47,5693.69%$55,6419.30%10.34%1.78%
20224-1.69%$56,842-4.30%$53,3062.31%$48,666-8.73%$50,784-1.69%-4.30%2.31%
2022516.03%$65,9564.31%$55,603-4.08%$46,6790.17%$50,87016.03%4.31%-4.08%
20226-17.12%$54,665-4.91%$52,873-2.37%$45,574-8.27%$46,666-17.12%-4.91%-2.37%
202279.66%$59,9475.45%$55,7533.20%$47,0339.21%$50,9639.66%5.45%3.20%
202282.65%$61,5380.53%$56,047-1.85%$46,161-4.09%$48,8792.65%0.53%-1.85%
20229-9.56%$55,655-11.29%$49,720-8.14%$42,405-9.22%$44,372-9.56%-11.29%-8.14%
20221024.97%$69,5491.94%$50,6849.01%$46,2258.08%$47,95824.97%1.94%9.01%
2022111.28%$70,4386.96%$54,2136.12%$49,0525.58%$50,6321.28%6.96%6.12%
202212-3.05%$68,291-0.49%$53,947-2.73%$47,715-5.77%$47,709-3.05%-0.49%-2.73%

Holdings Based Style Analysis for S&P 500 ENERGY SECTOR

TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
XLEEnergy Select Sector SPDR ETFEquity Energy100.00%3.54%3.90%0.10%0.10%7.65$58,291100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors

Holdings Based Style Analysis for S&P 500 UTILITIES SECTOR

TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
XLUUtilities Select Sector SPDR ETFUtilities100.00%3.00%3.01%0.10%0.10%23.00$43,947100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors

Holdings Based Style Analysis for S&P 500 CONSUMER STAPLES SECTOR

TickerNameCategoryWeightYieldExpense RatioP/EContribution
SECTTMNetGrossReturnRisk
XLPConsumer Staples Select Sector SPDR ETFConsumer Defensive100.00%2.36%2.39%0.10%0.10%26.62$37,715100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors

Fund fundamentals data as of 05/31/2023. (c) 2023 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Risk and Return Metrics

MetricS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTORVanguard 500 Index Investor
Arithmetic Mean (monthly)0.94%0.68%0.61%0.64%
Arithmetic Mean (annualized)11.94%8.53%7.57%8.00%
Geometric Mean (monthly)0.67%0.59%0.54%0.54%
Geometric Mean (annualized)8.33%7.28%6.73%6.73%
Standard Deviation (monthly)7.42%4.39%3.61%4.44%
Standard Deviation (annualized)25.69%15.20%12.50%15.40%
Downside Deviation (monthly)4.72%3.02%2.43%3.04%
Maximum Drawdown-63.91%-43.51%-32.61%-50.97%
Stock Market Correlation0.630.430.600.99
Beta(*)1.040.460.521.00
Alpha (annualized)3.28%4.64%3.29%0.00%
R239.04%21.96%41.28%100.00%
Sharpe Ratio0.380.430.450.39
Sortino Ratio0.580.610.650.56
Treynor Ratio (%)9.2714.1410.836.06
Calmar Ratio0.380.330.650.31
Active Return1.61%0.55%0.00%N/A
Tracking Error20.07%15.77%12.08%N/A
Information Ratio0.080.030.00N/A
Skewness0.06-0.59-0.57-0.49
Excess Kurtosis3.001.011.040.77
Historical Value-at-Risk (5%)11.06%6.42%5.87%7.96%
Analytical Value-at-Risk (5%)11.25%6.54%5.33%6.67%
Conditional Value-at-Risk (5%)15.34%9.98%8.42%9.68%
Upside Capture Ratio (%)106.2153.0956.70100.00
Downside Capture Ratio (%)100.3638.4346.64100.00
Safe Withdrawal Rate8.15%5.64%4.87%4.90%
Perpetual Withdrawal Rate5.38%4.45%3.96%3.96%
Positive Periods161 out of 288 (55.90%)180 out of 288 (62.50%)170 out of 288 (59.03%)183 out of 288 (63.54%)
Gain/Loss Ratio1.120.891.070.82
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTORVanguard 500 Index Investor
Dotcom CrashMar 2000Oct 2002-35.68%-42.47%-28.94%-44.82%
Subprime CrisisNov 2007Mar 2009-53.13%-38.05%-28.12%-50.97%
COVID-19 StartJan 2020Mar 2020-50.44%-18.82%-13.28%-19.63%

Drawdowns for S&P 500 ENERGY SECTOR

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 2014Mar 20205 years 9 monthsMar 20222 years7 years 9 months-63.91%
2Jul 2008Feb 20098 monthsJul 20134 years 5 months5 years 1 month-53.13%
3May 2001Sep 20021 year 5 monthsJul 20041 year 10 months3 years 3 months-35.68%
4Jun 2022Jun 20221 monthOct 20224 months5 months-17.12%
5Jan 2008Jan 20081 monthApr 20083 months4 months-12.29%
6Feb 2006Feb 20061 monthJul 20065 months6 months-9.23%
7Jun 2000Jul 20002 monthsAug 20001 month3 months-9.11%
8Oct 2005Oct 20051 monthJan 20063 months4 months-9.04%
9Sep 1999Feb 20006 monthsMar 20001 month7 months-8.79%
10Aug 2006Sep 20062 monthsNov 20062 months4 months-8.56%
Worst 10 drawdowns included above

Drawdowns for S&P 500 UTILITIES SECTOR

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2000Feb 20032 years 4 monthsMar 20052 years 1 month4 years 5 months-43.51%
2Dec 2007Feb 20091 year 3 monthsMay 20123 years 3 months4 years 6 months-38.05%
3Aug 1999Feb 20007 monthsSep 20007 months1 year 2 months-19.90%
4Feb 2020Mar 20202 monthsApr 20211 year 1 month1 year 3 months-18.82%
5Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-12.73%
6Dec 2017Feb 20183 monthsNov 20189 months1 year-12.52%
7Sep 2022Sep 20221 month-11.29%
8Jan 1999Mar 19993 monthsJun 19993 months6 months-11.14%
9Jul 2016Nov 20165 monthsFeb 20173 months8 months-10.15%
10May 2013Aug 20134 monthsFeb 20146 months10 months-9.05%
Worst 10 drawdowns included above

Drawdowns for S&P 500 CONSUMER STAPLES SECTOR

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2001Feb 20032 years 2 monthsDec 20063 years 10 months6 years-32.61%
2Dec 2007Feb 20091 year 3 monthsMar 20101 year 1 month2 years 4 months-28.12%
3Jan 1999Feb 20001 year 2 monthsOct 20008 months1 year 10 months-23.62%
4Feb 2018May 20184 monthsMar 201910 months1 year 2 months-13.63%
5Feb 2020Mar 20202 monthsJul 20204 months6 months-13.28%
6May 2022Sep 20225 monthsNov 20222 months7 months-12.86%
7Apr 2010Jun 20103 monthsSep 20103 months6 months-8.04%
8Jul 2016Nov 20165 monthsFeb 20173 months8 months-7.72%
9Jun 2011Sep 20114 monthsNov 20112 months6 months-6.91%
10Jan 2021Feb 20212 monthsMar 20211 month3 months-6.15%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2022Sep 20229 months-23.95%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Portfolio Assets

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
XLEEnergy Select Sector SPDR ETF8.33%25.69%64.17%-38.97%-63.91%0.380.580.63
XLUUtilities Select Sector SPDR ETF7.28%15.20%28.73%-28.93%-43.51%0.430.610.43
XLPConsumer Staples Select Sector SPDR ETF6.73%12.50%27.43%-20.10%-32.61%0.450.650.60

Portfolio Asset Performance

NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Energy Select Sector SPDR ETF22.70%64.17%64.17%19.32%9.19%5.95%0.10%0.10%
Utilities Select Sector SPDR ETF8.50%1.42%1.42%6.28%9.45%10.95%0.10%0.10%
Consumer Staples Select Sector SPDR ETF12.52%-0.83%-0.83%8.58%8.44%10.76%0.10%0.10%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

TickerNameXLEXLUXLPS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTORVanguard 500 Index Investor
XLEEnergy Select Sector SPDR ETF1.000.340.381.000.340.380.62
XLUUtilities Select Sector SPDR ETF0.341.000.560.341.000.560.47
XLPConsumer Staples Select Sector SPDR ETF0.380.561.000.380.561.000.64

Portfolio Return Decomposition

TickerNameS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTOR
XLEEnergy Select Sector SPDR ETF$58,291
XLUUtilities Select Sector SPDR ETF$43,947
XLPConsumer Staples Select Sector SPDR ETF$37,715
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

TickerNameS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTOR
XLEEnergy Select Sector SPDR ETF100.00%
XLUUtilities Select Sector SPDR ETF100.00%
XLPConsumer Staples Select Sector SPDR ETF100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Roll PeriodS&P 500 ENERGY SECTORS&P 500 UTILITIES SECTORS&P 500 CONSUMER STAPLES SECTORVanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year11.06%109.61%-52.34%8.81%42.26%-33.74%7.86%36.82%-27.40%8.37%56.19%-43.32%
3 years6.29%40.56%-21.66%7.94%26.85%-12.24%7.60%21.16%-7.16%7.60%25.91%-16.14%
5 years6.88%31.68%-14.48%8.48%22.44%-1.71%7.96%19.10%-2.94%7.97%22.85%-6.73%
7 years6.81%18.31%-11.31%8.56%14.33%2.11%8.38%17.26%-1.39%7.89%17.12%-3.94%
10 years6.48%15.31%-4.03%8.17%12.88%2.14%8.72%13.38%-0.90%7.78%16.52%-3.51%
15 years6.47%11.57%-1.30%8.24%11.63%5.26%8.58%10.40%5.02%7.66%10.77%3.64%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years