Consolidated Returns as of 31 March 2023
In the last 20 Years, the Financial Select Sector SPDR (XLF) ETF obtained a 5.44% compound annual return, with a 21.72% standard deviation.
In 2022, the ETF granted a 1.80% dividend yield. If you are interested in getting periodic income, please refer to the Financial Select Sector SPDR (XLF) ETF: Dividend Yield page.
The ETF is related to the following investment themes:
- Asset Class: Equity
- Size: Large Cap
- Style: Blend
- Region: North America
- Country: U.S.
- Sector: Financials
- Industry: Broad Financials
Historical Returns as of Mar 31, 2023
Historical returns and Metrics of Financial Select Sector SPDR (XLF) ETF.
- No fees or capital gain taxes
- the reinvestment of dividends
Metrics as of Mar 31, 2023 | |||||||||
---|---|---|---|---|---|---|---|---|---|
1M | 3M | 6M | 1Y | 3Y | 5Y | 10Y | 20Y |
MAX
(~24Y) |
|
Portfolio Return (%) |
-9.55 | -5.53 | 7.08 | -14.27 | 17.94 | 5.31 | 10.17 | 5.44 | 4.23 |
US Inflation (%) | 0.00 | 1.36 | 1.36 | 4.64 | 5.24 | 3.81 | 2.60 | 2.48 | 2.54 |
Infl. Adjusted Return (%) |
-9.55 | -6.80 | 5.65 | -18.07 | 12.07 | 1.44 | 7.38 | 2.88 | 1.65 |
Waiting for updates, inflation of Mar 2023 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized. | |||||||||
RISK INDICATORS | |||||||||
Standard Deviation (%) | 26.23 | 21.99 | 22.95 | 18.98 | 21.72 | 21.60 | |||
Sharpe Ratio | -0.64 | 0.78 | 0.18 | 0.50 | 0.20 | 0.01 | |||
Sortino Ratio | -0.94 | 1.11 | 0.24 | 0.67 | 0.26 | 0.01 | |||
MAXIMUM DRAWDOWN | |||||||||
Drawdown Depth (%) | -19.94 | -23.13 | -31.75 | -31.75 | -78.68 | -78.68 | |||
Start (yyyy mm) | 2022 04 | 2021 11 | 2020 01 | 2020 01 | 2007 06 | 2007 06 | |||
Bottom (yyyy mm) | 2022 09 | 2022 09 | 2020 03 | 2020 03 | 2009 02 | 2009 02 | |||
Start to Bottom (# months) | 6 | 11 | 3 | 3 | 21 | 21 | |||
Start to Recovery (# months) in progress |
> 12
|
> 17
|
14
|
14
|
122
|
122
|
|||
ROLLING PERIOD RETURNS - Annualized | |||||||||
Best Return (%) | 97.52 | 27.40 | 25.42 | 17.72 | 5.92 | ||||
Worst Return (%) | -69.38 | -36.60 | -21.87 | -9.00 | 2.17 | ||||
% Positive Periods | 62% | 78% | 74% | 50% | 100% | ||||
MONTHS | |||||||||
Positive | 0 | 1 | 3 | 5 | 19 | 31 | 69 | 141 | 162 |
Negative | 1 | 2 | 3 | 7 | 17 | 29 | 51 | 99 | 129 |
% Positive | 0% | 33% | 50% | 42% | 53% | 52% | 58% | 59% | 56% |
WITHDRAWAL RATES (WR) | |||||||||
Safe WR (%) | 52.59 | 22.12 | 17.22 | 5.79 | 4.21 | ||||
Perpetual WR (%) | 10.77 | 1.42 | 6.88 | 2.80 | 1.62 |
- Annualized Portfolio Return: it's the annualized geometric mean return of the ETF
- Standard Deviation: it's a measure of the dispersion of returns around the mean
- Sharpe Ratio: it's a measure of risk-adjusted performance of the ETF. It's calculated by dividing the excess return of the ETF over the risk-free rate by the ETF standard deviation. The risk-free rate here considered is the 1-3 Mth T-Bill return.
- Sortino Ratio: another measure of risk-adjusted performance of the ETF. It's a modification of the Sharpe Ratio (same formula but the denominator is the ETF downside standard deviation).
- Maximum Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. A maximum drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained.
- Rolling Returns: returns over a time frame (best, worst, % of positive returns).
- Pos./Neg. Months: number of months with positive/negative return.
- Safe Withdrawal Rate (SWR): it's the percentage of the original portfolio balance that can be withdrawn at the end of each year with inflation adjustment, without the portfolio running out of money (dollar amount withdrawal).
- Perpetual Withdrawal Rate (PWR): it's the percentage of portfolio balance that can be withdrawn at the end of each year, while retaining the inflation adjusted portfolio balance (percentage withdrawal).
Correlations as of Mar 31, 2023
Monthly correlations of Financial Select Sector SPDR (XLF) ETF vs the main Asset Classes, over different timeframes.
Correlation measures to what degree the returns of the two assets move in relation to each other.
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.
Columns are sortable (click on table header to sort).
Correlation vs XLF | |||||
---|---|---|---|---|---|
|
|||||
Asset Class | 1 Year | 5 Years | 10 Years | Since Jan 1999 |
|
US Total Stock Market VTI |
0.85
|
0.87
|
0.86
|
0.81
|
|
US Large Cap SPY |
0.83
|
0.86
|
0.84
|
0.82
|
|
US Small Cap IJR |
0.95
|
0.91
|
0.88
|
0.71
|
|
US REITs VNQ |
0.77
|
0.75
|
0.56
|
0.66
|
|
US Technology QQQ |
0.66
|
0.68
|
0.66
|
0.53
|
|
Preferred Stocks PFF |
0.72
|
0.71
|
0.58
|
0.52
|
|
EAFE Stocks EFA |
0.79
|
0.84
|
0.75
|
0.73
|
|
World All Countries VT |
0.83
|
0.88
|
0.83
|
0.79
|
|
Emerging Markets EEM |
0.54
|
0.68
|
0.57
|
0.60
|
|
Europe VGK |
0.81
|
0.85
|
0.75
|
0.73
|
|
Pacific VPL |
0.73
|
0.78
|
0.67
|
0.63
|
|
Latin America FLLA |
0.80
|
0.67
|
0.54
|
0.54
|
|
US Total Bond Market BND |
0.52
|
0.21
|
0.07
|
0.02
|
|
Long Term Treasuries TLT |
0.37
|
-0.17
|
-0.26
|
-0.25
|
|
US Cash BIL |
-0.04
|
-0.25
|
-0.20
|
-0.07
|
|
TIPS TIP |
0.59
|
0.34
|
0.15
|
0.07
|
|
Invest. Grade Bonds LQD |
0.60
|
0.43
|
0.30
|
0.23
|
|
High Yield Bonds HYG |
0.79
|
0.75
|
0.65
|
0.60
|
|
International Bonds BNDX |
0.58
|
0.27
|
0.14
|
0.10
|
|
Emerg. Market Bonds EMB |
0.70
|
0.61
|
0.46
|
0.44
|
|
Gold GLD |
0.09
|
0.04
|
-0.13
|
-0.07
|
|
Commodities DBC |
0.45
|
0.61
|
0.46
|
0.29
|
Capital Growth as of Mar 31, 2023
Capital growth, returns, stats are calculated assuming a reinvestment of dividends.
If you are interested in getting periodic income, please refer to the Financial Select Sector SPDR (XLF) ETF: Dividend Yield page.
The Inflation Adjusted Capital now would be 1766.05$, with a net total return of 76.60% (2.88% annualized).
The Inflation Adjusted Capital now would be 1486.40$, with a net total return of 48.64% (1.65% annualized).
Drawdowns
Worst drawdowns since April 2003.
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-78.68% | Jun 2007 | Feb 2009 | 21 | Jul 2017 | 101 | 122 |
-31.75% | Jan 2020 | Mar 2020 | 3 | Feb 2021 | 11 | 14 |
-23.13% | Nov 2021 | Sep 2022 | 11 | in progress | 6 | 17 |
-18.39% | Feb 2018 | Dec 2018 | 11 | Nov 2019 | 11 | 22 |
-6.51% | Jan 2005 | Mar 2005 | 3 | Oct 2005 | 7 | 10 |
-5.48% | Mar 2004 | Jul 2004 | 5 | Nov 2004 | 4 | 9 |
-4.21% | May 2006 | Jun 2006 | 2 | Sep 2006 | 3 | 5 |
-3.50% | Feb 2007 | Mar 2007 | 2 | Apr 2007 | 1 | 3 |
-3.50% | Jun 2021 | Jul 2021 | 2 | Aug 2021 | 1 | 3 |
-1.83% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
-1.55% | Aug 2017 | Aug 2017 | 1 | Sep 2017 | 1 | 2 |
-1.17% | Aug 2003 | Aug 2003 | 1 | Oct 2003 | 2 | 3 |
-0.37% | Nov 2003 | Nov 2003 | 1 | Dec 2003 | 1 | 2 |
Worst drawdowns since January 1999.
Drawdown period |
Recovery period |
Total |
||||
---|---|---|---|---|---|---|
Drawdown | Start | Bottom | #Months | End | #Months | #Months |
-78.68% | Jun 2007 | Feb 2009 | 21 | Jul 2017 | 101 | 122 |
-31.75% | Jan 2020 | Mar 2020 | 3 | Feb 2021 | 11 | 14 |
-27.87% | Jan 2001 | Sep 2002 | 21 | Dec 2003 | 15 | 36 |
-23.13% | Nov 2021 | Sep 2022 | 11 | in progress | 6 | 17 |
-22.08% | May 1999 | Feb 2000 | 10 | Aug 2000 | 6 | 16 |
-18.39% | Feb 2018 | Dec 2018 | 11 | Nov 2019 | 11 | 22 |
-6.51% | Jan 2005 | Mar 2005 | 3 | Oct 2005 | 7 | 10 |
-5.93% | Oct 2000 | Nov 2000 | 2 | Dec 2000 | 1 | 3 |
-5.48% | Mar 2004 | Jul 2004 | 5 | Nov 2004 | 4 | 9 |
-4.21% | May 2006 | Jun 2006 | 2 | Sep 2006 | 3 | 5 |
-3.50% | Feb 2007 | Mar 2007 | 2 | Apr 2007 | 1 | 3 |
-3.50% | Jun 2021 | Jul 2021 | 2 | Aug 2021 | 1 | 3 |
-1.83% | Sep 2021 | Sep 2021 | 1 | Oct 2021 | 1 | 2 |
-1.55% | Aug 2017 | Aug 2017 | 1 | Sep 2017 | 1 | 2 |
Rolling Returns ( more details)
Financial Select Sector SPDR (XLF) ETF: annualized rolling and average returns
Rolling Period |
Return (*) | Negative Periods |
||
---|---|---|---|---|
Average (%) | Best (%) | Worst (%) | ||
1 Year |
7.33 |
97.52 Mar 2009 - Feb 2010 |
-69.38 Mar 2008 - Feb 2009 |
37.86% |
2 Years |
6.13 |
51.34 Mar 2009 - Feb 2011 |
-52.49 Mar 2007 - Feb 2009 |
24.63% |
3 Years |
5.05 |
27.40 Oct 2011 - Sep 2014 |
-36.60 Mar 2006 - Feb 2009 |
22.27% |
5 Years |
4.71 |
25.42 Mar 2009 - Feb 2014 |
-21.87 Mar 2004 - Feb 2009 |
25.86% |
7 Years |
4.05 |
18.37 Oct 2011 - Sep 2018 |
-13.79 Mar 2002 - Feb 2009 |
38.46% |
10 Years |
3.08 |
17.72 Mar 2009 - Feb 2019 |
-9.00 Mar 1999 - Feb 2009 |
50.00% |
15 Years |
2.89 |
5.72 Mar 2003 - Feb 2018 |
0.04 Feb 2001 - Jan 2016 |
0.00% |
20 Years |
4.17 |
5.92 Mar 2003 - Feb 2023 |
2.17 Nov 2000 - Oct 2020 |
0.00% |
If you need a deeper detail about rolling returns, please refer to the Financial Select Sector SPDR (XLF) ETF: Rolling Returns page.
Seasonality
Financial Select Sector SPDR (XLF) ETF: in which months is it better to invest?
For further information about the seasonality, check the Asset Class Seasonality page.
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
2.27
60% |
-0.22
40% |
-5.48
20% |
2.91
60% |
0.42
60% |
-1.91
20% |
3.61
80% |
0.83
60% |
-2.11
20% |
3.22
60% |
5.13
80% |
-0.81
60% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
102.27
|
102.05
|
96.46
|
99.27
|
99.69
|
97.79
|
101.32
|
102.16
|
100.00
|
103.22
|
108.52
|
107.64
|
Best |
8.9 2019 |
11.6 2021 |
5.9 2021 |
9.5 2020 |
4.8 2021 |
6.7 2019 |
7.2 2022 |
5.1 2021 |
4.5 2019 |
11.9 2022 |
16.8 2020 |
6.3 2020 |
Worst |
-2.7 2020 |
-11.2 2020 |
-21.0 2020 |
-9.9 2022 |
-7.2 2019 |
-10.9 2022 |
-0.5 2021 |
-4.7 2019 |
-7.7 2022 |
-4.7 2018 |
-5.7 2021 |
-11.1 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
-0.13
50% |
0.72
50% |
-2.46
30% |
1.84
60% |
1.24
70% |
-0.59
30% |
3.05
80% |
-0.15
50% |
-0.86
30% |
3.37
80% |
5.19
90% |
0.34
70% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
99.87
|
100.59
|
98.12
|
99.92
|
101.16
|
100.56
|
103.63
|
103.47
|
102.58
|
106.04
|
111.55
|
111.92
|
Best |
8.9 2019 |
11.6 2021 |
7.2 2016 |
9.5 2020 |
6.1 2013 |
6.7 2019 |
7.2 2022 |
5.1 2021 |
5.1 2017 |
11.9 2022 |
16.8 2020 |
6.3 2020 |
Worst |
-8.9 2016 |
-11.2 2020 |
-21.0 2020 |
-9.9 2022 |
-7.2 2019 |
-10.9 2022 |
-1.5 2014 |
-7.1 2015 |
-7.7 2022 |
-4.7 2018 |
-5.7 2021 |
-11.1 2018 |
Monthly Average Return (%) and Gain Frequency | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return (%) | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Average Gain Frequency |
-0.49
52% |
-1.15
48% |
1.05
44% |
2.99
67% |
0.27
58% |
-1.52
33% |
1.65
67% |
0.07
50% |
-1.17
46% |
2.38
71% |
1.33
63% |
1.21
71% |
Capital Growth on monthly avg returns | ||||||||||||
100
|
99.51
|
98.36
|
99.40
|
102.37
|
102.64
|
101.08
|
102.75
|
102.83
|
101.63
|
104.05
|
105.43
|
106.71
|
Best |
8.9 2019 |
11.6 2021 |
18.3 2000 |
21.8 2009 |
14.0 2009 |
6.7 2019 |
8.9 2009 |
13.0 2009 |
6.1 2010 |
15.5 1999 |
16.8 2020 |
10.7 2010 |
Worst |
-26.2 2009 |
-17.7 2009 |
-21.0 2020 |
-9.9 2022 |
-9.2 2012 |
-17.4 2008 |
-9.1 2007 |
-9.6 2011 |
-11.5 2002 |
-21.9 2008 |
-18.5 2008 |
-11.1 2018 |
Monthly/Yearly Returns
Financial Select Sector SPDR (XLF) ETF data source starts from January 1999: let's focus on monthly and yearly returns.
- Histogram: it shows the distribution of the returns recorded so far
- Plain Table: it shows the detailed monthly and yearly returns
Yearly Return(%) |
Monthly Return(%) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year | Total | Infl.Adj | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
2023 |
-5.53 | -6.80 | 6.9 | -2.3 | -9.6 | |||||||||
2022 |
-10.60 | -16.02 | 0.0 | -1.4 | -0.1 | -9.9 | 2.8 | -10.9 | 7.2 | -2.0 | -7.7 | 11.9 | 6.9 | -5.2 |
2021 |
+34.82 | +25.96 | -1.8 | 11.6 | 5.9 | 6.5 | 4.8 | -3.0 | -0.5 | 5.1 | -1.8 | 7.3 | -5.7 | 3.4 |
2020 |
-1.68 | -3.00 | -2.7 | -11.2 | -21.0 | 9.5 | 2.7 | -0.5 | 3.8 | 4.3 | -3.4 | -0.9 | 16.8 | 6.3 |
2019 |
+31.87 | +28.93 | 8.9 | 2.2 | -2.6 | 9.0 | -7.2 | 6.7 | 2.4 | -4.7 | 4.5 | 2.5 | 5.1 | 2.6 |
2018 |
-13.04 | -14.67 | 6.6 | -2.9 | -4.2 | -0.4 | -1.0 | -1.7 | 5.1 | 1.4 | -2.2 | -4.7 | 2.6 | -11.1 |
2017 |
+22.00 | +19.48 | 0.3 | 5.3 | -3.0 | -0.8 | -1.2 | 6.5 | 1.7 | -1.6 | 5.1 | 2.9 | 3.5 | 1.9 |
2016 |
+22.42 | +19.93 | -8.9 | -2.9 | 7.2 | 3.6 | 1.9 | -3.2 | 3.5 | 3.8 | -2.8 | 2.3 | 14.0 | 3.8 |
2015 |
-1.74 | -2.45 | -7.0 | 5.8 | -0.6 | 0.1 | 1.9 | -0.5 | 3.4 | -7.1 | -2.8 | 6.3 | 2.0 | -2.3 |
2014 |
+15.05 | +14.19 | -3.7 | 3.0 | 3.3 | -1.7 | 1.5 | 2.4 | -1.5 | 4.2 | -0.4 | 2.9 | 2.3 | 1.9 |
2013 |
+35.52 | +33.52 | 6.0 | 1.2 | 3.9 | 2.7 | 6.1 | -1.6 | 5.3 | -5.1 | 2.8 | 3.3 | 4.4 | 2.2 |
2012 |
+28.42 | +26.22 | 8.2 | 5.0 | 7.4 | -2.3 | -9.2 | 5.0 | 0.1 | 3.4 | 3.3 | 2.0 | -0.9 | 4.7 |
2011 |
-17.15 | -19.54 | 2.8 | 2.7 | -2.5 | -0.1 | -3.3 | -2.7 | -3.6 | -9.6 | -11.4 | 14.3 | -5.1 | 2.1 |
2010 |
+11.90 | +10.25 | -1.5 | 3.5 | 8.9 | 1.3 | -9.2 | -5.7 | 6.5 | -7.8 | 6.1 | 1.5 | -0.7 | 10.7 |
2009 |
+17.61 | +14.50 | -26.2 | -17.7 | 17.1 | 21.8 | 14.0 | -1.8 | 8.9 | 13.0 | 1.9 | -6.0 | 4.3 | -1.4 |
2008 |
-54.97 | -55.01 | 0.7 | -11.4 | -3.0 | 7.0 | -7.0 | -17.4 | 6.8 | -1.0 | -6.4 | -21.9 | -18.5 | 0.4 |
2007 |
-19.19 | -22.36 | 0.9 | -3.0 | -0.5 | 3.9 | 2.4 | -4.0 | -9.1 | 2.6 | 2.4 | -1.7 | -8.1 | -5.8 |
2006 |
+18.89 | +15.94 | 0.9 | 2.1 | 0.3 | 4.3 | -3.8 | -0.5 | 2.3 | 1.2 | 4.0 | 2.3 | 0.7 | 3.8 |
2005 |
+6.19 | +2.69 | -2.2 | -0.7 | -3.8 | 0.2 | 3.0 | 1.2 | 1.6 | -1.6 | 0.8 | 3.0 | 4.8 | 0.0 |
2004 |
+10.87 | +7.37 | 3.3 | 2.9 | -1.2 | -4.4 | 1.7 | 0.4 | -2.1 | 3.3 | -0.9 | 0.5 | 3.1 | 4.1 |
2003 |
+30.47 | +28.07 | -1.3 | -3.1 | -0.9 | 12.6 | 5.1 | 0.4 | 4.4 | -1.2 | 0.9 | 6.9 | -0.4 | 4.5 |
2002 |
-14.75 | -16.73 | -1.1 | -1.7 | 6.6 | -2.5 | -0.3 | -4.3 | -8.3 | 1.9 | -11.5 | 9.1 | 3.7 | -5.4 |
2001 |
-9.42 | -10.80 | -0.2 | -6.7 | -3.0 | 3.6 | 4.4 | -0.7 | -1.0 | -6.6 | -5.6 | -1.4 | 6.5 | 2.0 |
2000 |
+25.89 | +21.76 | -3.0 | -10.7 | 18.3 | 1.0 | 2.2 | -4.8 | 8.8 | 10.2 | 2.2 | -0.9 | -5.1 | 8.5 |
1999 |
+2.66 | -0.02 | 1.7 | 1.6 | 3.2 | 7.0 | -6.0 | 4.3 | -6.1 | -4.4 | -5.2 | 15.5 | -4.4 | -2.4 |