Data Source: from January 1999 to November 2022 (~24 years)
Consolidated Returns as of 30 November 2022
Live Update: Dec 07 2022, 09:59AM Eastern Time
Category: Stocks
ETF: Financial Select Sector SPDR (XLF)
ETF • LIVE PERFORMANCE (USD currency)
0.16%
1 Day
Dec 07 2022, 09:59AM Eastern Time
4.50%
Current Month
December 2022

In the last 20 Years, the Financial Select Sector SPDR (XLF) ETF obtained a 5.44% compound annual return, with a 21.57% standard deviation.

In 2021, the ETF granted a 2.17% 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 Nov 30, 2022

Historical returns and Metrics of Financial Select Sector SPDR (XLF) ETF.

Returns and metrics are calculated based on monthly returns, assuming:
  • No fees or capital gain taxes
  • the reinvestment of dividends
FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Portfolio Metrics
Data Source: 1 January 1999 - 30 November 2022 (~24 years)
Swipe left to see all data
Metrics as of Nov 30, 2022
1M 3M 6M 1Y 3Y 5Y 10Y 20Y MAX
(~24Y)
Portfolio
Return (%)
6.86 10.44 3.44 -2.49 8.66 7.88 13.13 5.44 4.77
US Inflation (%) 0.00 0.62 1.96 7.22 5.03 3.85 2.61 2.52 2.53
Infl. Adjusted
Return (%)
6.86 9.75 1.45 -9.06 3.46 3.87 10.25 2.86 2.18
Waiting for updates, inflation of Nov 2022 is temporarily set to 0%. Returns / Inflation rates over 1 year are annualized.
RISK INDICATORS
Standard Deviation (%) 23.27 25.28 22.44 18.57 21.57 21.58
Sharpe Ratio -0.15 0.32 0.30 0.68 0.20 0.04
Sortino Ratio -0.21 0.43 0.41 0.90 0.27 0.05
MAXIMUM DRAWDOWN
Drawdown Depth (%) -21.15 -31.75 -31.75 -31.75 -78.68 -78.68
Start (yyyy mm) 2022 02 2020 01 2020 01 2020 01 2007 06 2007 06
Bottom (yyyy mm) 2022 09 2020 03 2020 03 2020 03 2009 02 2009 02
Start to Bottom (# months) 8 3 3 3 21 21
Start to Recovery (# months) in progress
> 10
14
14
14
122
122
ROLLING PERIOD RETURNS - Annualized
Best Return (%) 97.52 27.40 25.42 17.72 5.78
Worst Return (%) -69.38 -36.60 -21.87 -9.00 2.17
% Positive Periods 63% 77% 74% 49% 100%
MONTHS
Positive 1 2 3 6 19 32 72 140 161
Negative 0 1 3 6 17 28 48 100 126
% Positive 100% 67% 50% 50% 53% 53% 60% 58% 56%
WITHDRAWAL RATES (WR)
Safe WR (%) 36.01 21.40 17.82 4.98 4.32
Perpetual WR (%) 3.34 3.73 9.30 2.78 2.14
Terms and Definitions
  • 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 Nov 30, 2022

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.

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.

Columns are sortable (click on table header to sort).

FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Monthly correlations as of 30 November 2022
Swipe left to see all data
Correlation vs XLF
 
Asset Class 1 Year 5 Years 10 Years Since
Jan 1999
US Total Stock Market
VTI
0.92
0.89
0.87
0.82
US Large Cap
SPY
0.92
0.89
0.86
0.83
US Small Cap
IJR
0.91
0.90
0.88
0.71
US REITs
VNQ
0.69
0.71
0.55
0.66
US Technology
QQQ
0.83
0.74
0.69
0.53
Preferred Stocks
PFF
0.67
0.68
0.57
0.52
EAFE Stocks
EFA
0.88
0.88
0.77
0.73
World All Countries
VT
0.93
0.91
0.85
0.80
Emerging Markets
EEM
0.61
0.71
0.58
0.60
Europe
VGK
0.89
0.88
0.76
0.74
Pacific
VPL
0.82
0.82
0.69
0.63
Latin America
FLLA
0.76
0.68
0.54
0.54
US Total Bond Market
BND
0.68
0.22
0.05
0.01
Long Term Treasuries
TLT
0.47
-0.22
-0.30
-0.26
US Cash
BIL
0.21
-0.19
-0.15
-0.06
TIPS
TIP
0.76
0.35
0.15
0.07
Invest. Grade Bonds
LQD
0.76
0.45
0.30
0.23
High Yield Bonds
HYG
0.90
0.77
0.67
0.60
International Bonds
BNDX
0.75
0.26
0.13
0.10
Emerg. Market Bonds
EMB
0.78
0.62
0.45
0.44
Gold
GLD
0.26
0.08
-0.12
-0.06
Commodities
DBC
0.37
0.61
0.46
0.29

Capital Growth as of Nov 30, 2022

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.

An investment of 1000$, since December 2002, now would be worth 2887.35$, with a total return of 188.74% (5.44% annualized).

The Inflation Adjusted Capital now would be 1756.56$, with a net total return of 75.66% (2.86% annualized).
An investment of 1000$, since January 1999, now would be worth 3047.11$, with a total return of 204.71% (4.77% annualized).

The Inflation Adjusted Capital now would be 1675.84$, with a net total return of 67.58% (2.18% annualized).

Drawdowns

Worst drawdowns since December 2002.

Swipe left to see all data
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 2 13
-18.39% Feb 2018 Dec 2018 11 Nov 2019 11 22
-10.37% Dec 2002 Mar 2003 4 Apr 2003 1 5
-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.

Swipe left to see all data
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 2 13
-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

Swipe left to see all data
Rolling
Period
Return (*) Negative
Periods
Average (%) Best (%) Worst (%)
1 Year
7.57 97.52
Mar 2009 - Feb 2010
-69.38
Mar 2008 - Feb 2009
36.96%
2 Years
6.11 51.34
Mar 2009 - Feb 2011
-52.49
Mar 2007 - Feb 2009
24.62%
3 Years
4.95 27.40
Oct 2011 - Sep 2014
-36.60
Mar 2006 - Feb 2009
22.62%
5 Years
4.68 25.42
Mar 2009 - Feb 2014
-21.87
Mar 2004 - Feb 2009
26.32%
7 Years
3.90 18.37
Oct 2011 - Sep 2018
-13.79
Mar 2002 - Feb 2009
39.22%
10 Years
2.88 17.72
Mar 2009 - Feb 2019
-9.00
Mar 1999 - Feb 2009
51.19%
15 Years
2.80 5.72
Mar 2003 - Feb 2018
0.04
Feb 2001 - Jan 2016
0.00%
20 Years
4.04 5.78
Nov 2001 - Oct 2021
2.17
Nov 2000 - Oct 2020
0.00%
(*) Annualized rolling and average returns over full calendar month periods

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?

Both the Average Return and the Gain Frequency (Win %) are useful to get an idea of what happened in the past.

For further information about the seasonality, check the Asset Class Seasonality page.
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
2.20
60%
-0.34
40%
-4.40
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%
0.61
80%
 Capital Growth on monthly avg returns
100
102.20
101.85
97.38
100.21
100.63
98.72
102.28
103.12
100.94
104.20
109.54
110.21
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 Seasonality over the period Dec 2017 - Nov 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
-0.22
50%
1.07
60%
-1.12
40%
1.84
60%
1.24
70%
-0.59
30%
3.05
80%
-0.15
50%
-0.86
30%
3.37
80%
5.19
90%
1.32
80%
 Capital Growth on monthly avg returns
100
99.78
100.86
99.73
101.56
102.82
102.21
105.33
105.17
104.26
107.78
113.38
114.88
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 Seasonality over the period Dec 2012 - Nov 2022
Swipe left to see all data
Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
-0.80
50%
-1.11
50%
1.49
46%
2.99
67%
0.27
58%
-1.52
33%
1.65
67%
0.07
50%
-1.17
46%
2.38
71%
1.33
63%
1.49
74%
 Capital Growth on monthly avg returns
100
99.20
98.11
99.57
102.55
102.82
101.26
102.93
103.01
101.81
104.23
105.62
107.19
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 Seasonality over the period Jan 1999 - Nov 2022

Monthly/Yearly Returns

Financial Select Sector SPDR (XLF) ETF data source starts from January 1999: let's focus on monthly and yearly returns.

We are providing two different views:
  • Histogram: it shows the distribution of the returns recorded so far
  • Plain Table: it shows the detailed monthly and yearly returns
MONTHLY RETURNS HISTOGRAM
Jan 1999 - Nov 2022
161 Positive Months (56%) - 126 Negative Months (44%)
MONTHLY RETURNS TABLE
Jan 1999 - Nov 2022
(Scroll down to see all data)
Swipe left to see all data
Yearly Return(%)
Monthly Return(%)
Year Total Infl.Adj Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2022
-5.68 -11.76 0.0 -1.4 -0.1 -9.9 2.8 -10.9 7.2 -2.0 -7.7 11.9 6.9
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
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