Financial Select Sector SPDR (XLF): Historical Returns

Data Source: from January 1999 to January 2024 (~25 years)
Consolidated Returns as of 31 January 2024
Live Update: Feb 27 2024, 01:59PM Eastern Time
Category: Stocks
Financial Select Sector SPDR (XLF) ETF
ETF • LIVE PERFORMANCE (USD currency)
0.12%
1 Day
Feb 27 2024, 01:59PM Eastern Time
3.33%
Current Month
February 2024

In the last 20 Years, the Financial Select Sector SPDR (XLF) ETF obtained a 4.65% compound annual return, with a 21.73% standard deviation.

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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

Investment Returns as of Jan 31, 2024

The Financial Select Sector SPDR (XLF) ETF guaranteed the following returns.

Returns are calculated in USD, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Consolidated returns as of 31 January 2024
Live Update: Feb 27 2024, 01:59PM Eastern Time
Swipe left to see all data
  Chg (%) Return (%) Return (%) as of Jan 31, 2024
  1 Day Time ET(*) Feb 2024 1M 6M 1Y 5Y 10Y 20Y MAX
(~25Y)
Financial Select Sector SPDR (XLF) ETF -0.12 3.33 3.09 10.74 8.03 10.63 10.65 4.65 4.92
US Inflation Adjusted return 2.77 8.93 4.77 6.21 7.65 2.02 2.30
Returns over 1 year are annualized | Available data source: since Jan 1999
(*) Eastern Time (ET - America/New York)
US Inflation is updated to Jan 2024. Current inflation (annualized) is 1Y: 3.11% , 5Y: 4.16% , 10Y: 2.79% , 20Y: 2.57%

In 2023, the Financial Select Sector SPDR (XLF) ETF granted a 1.89% dividend yield. If you are interested in getting periodic income, please refer to the Financial Select Sector SPDR (XLF) ETF: Dividend Yield page.

Capital Growth as of Jan 31, 2024

An investment of 1$, since February 2004, now would be worth 2.48$, with a total return of 148.02% (4.65% annualized).

The Inflation Adjusted Capital now would be 1.49$, with a net total return of 49.20% (2.02% annualized).
An investment of 1$, since January 1999, now would be worth 3.34$, with a total return of 233.52% (4.92% annualized).

The Inflation Adjusted Capital now would be 1.77$, with a net total return of 77.05% (2.30% annualized).

Investment Metrics as of Jan 31, 2024

Metrics of Financial Select Sector SPDR (XLF) ETF, updated as of 31 January 2024.

Metrics are calculated based on monthly returns, assuming:
  • no fees or capital gain taxes.
  • the reinvestment of dividends.
  • the actual US Inflation rates.
FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Advanced Metrics
Data Source: 1 January 1999 - 31 January 2024 (~25 years)
Swipe left to see all data
Metrics as of Jan 31, 2024
1M 3M 6M 1Y 3Y 5Y 10Y 20Y MAX
(~25Y)
Investment Return (%) 3.09 20.37 10.74 8.03 12.33 10.63 10.65 4.65 4.92
Infl. Adjusted Return (%) details 2.77 19.53 8.93 4.77 6.31 6.21 7.65 2.02 2.30
US Inflation (%) 0.31 0.70 1.66 3.11 5.66 4.16 2.79 2.57 2.56
Returns / Inflation rates over 1 year are annualized.
DRAWDOWN
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y MAX
Deepest Drawdown Depth (%) -12.70 -23.13 -31.75 -31.75 -78.68 -78.68
Start to Recovery (# months) details 11 27 14 14 122 122
Start (yyyy mm) 2023 02 2021 11 2020 01 2020 01 2007 06 2007 06
Start to Bottom (# months) 4 11 3 3 21 21
Bottom (yyyy mm) 2023 05 2022 09 2020 03 2020 03 2009 02 2009 02
Bottom to End (# months) 7 16 11 11 101 101
End (yyyy mm) 2023 12 2024 01 2021 02 2021 02 2017 07 2017 07
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-23.13 -23.13
same as
deepest

same as
deepest
Start to Recovery (# months) details 27 27
Start (yyyy mm) 2023 02 2021 11 2021 11 2021 11 2007 06 2007 06
Start to Bottom (# months) 4 11 11 11 21 21
Bottom (yyyy mm) 2023 05 2022 09 2022 09 2022 09 2009 02 2009 02
Bottom to End (# months) 7 16 16 16 101 101
End (yyyy mm) 2023 12 2024 01 2024 01 2024 01 2017 07 2017 07
Longest negative period (# months) details 10 31 31 40 162 185
Period Start (yyyy mm) 2023 02 2021 04 2021 04 2016 12 2006 10 2000 10
Period End (yyyy mm) 2023 11 2023 10 2023 10 2020 03 2020 03 2016 02
Annualized Return (%) -0.52 -0.13 -0.13 -0.28 -0.18 -0.03
Deepest Drawdown Depth (%) -13.57 -28.29 -31.62 -31.62 -79.27 -79.27
Start to Recovery (# months) details 11 27* 14 14 150 150
Start (yyyy mm) 2023 02 2021 11 2020 01 2020 01 2007 06 2007 06
Start to Bottom (# months) 4 11 3 3 21 21
Bottom (yyyy mm) 2023 05 2022 09 2020 03 2020 03 2009 02 2009 02
Bottom to End (# months) 7 16 11 11 129 129
End (yyyy mm) 2023 12 - 2021 02 2021 02 2019 11 2019 11
Longest Drawdown Depth (%)
same as
deepest

same as
deepest
-28.29 -28.29
same as
deepest

same as
deepest
Start to Recovery (# months) details 27* 27*
Start (yyyy mm) 2023 02 2021 11 2021 11 2021 11 2007 06 2007 06
Start to Bottom (# months) 4 11 11 11 21 21
Bottom (yyyy mm) 2023 05 2022 09 2022 09 2022 09 2009 02 2009 02
Bottom to End (# months) 7 16 16 16 129 129
End (yyyy mm) 2023 12 - - - 2019 11 2019 11
Longest negative period (# months) details 10 33 47 69 201 252
Period Start (yyyy mm) 2023 02 2021 04 2019 12 2018 02 2007 02 1999 04
Period End (yyyy mm) 2023 11 2023 12 2023 10 2023 10 2023 10 2020 03
Annualized Return (%) -3.49 -0.05 -0.56 -0.17 -0.02 -0.02
Drawdowns / Negative periods marked with * are in progress
RISK INDICATORS
1Y 3Y 5Y 10Y 20Y MAX
Standard Deviation (%) 19.07 20.80 22.79 19.26 21.73 21.48
Sharpe Ratio 0.15 0.49 0.39 0.49 0.15 0.04
Sortino Ratio 0.22 0.67 0.52 0.67 0.20 0.06
Ulcer Index 6.96 10.72 12.09 9.61 32.10 29.19
Ratio: Return / Standard Deviation 0.42 0.59 0.47 0.55 0.21 0.23
Ratio: Return / Deepest Drawdown 0.63 0.53 0.33 0.34 0.06 0.06
% Positive Months details 50% 52% 55% 56% 57% 55%
Positive Months 6 19 33 68 139 168
Negative Months 6 17 27 52 101 133
LONG TERM RETURNS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y MAX
Best 10 Years Return (%) - Annualized 10.65 17.72 17.72
Worst 10 Years Return (%) - Annualized -2.24 -9.00
Best 10 Years Return (%) - Annualized 7.65 15.68 15.68
Worst 10 Years Return (%) - Annualized -3.93 -11.29
ROLLING PERIODS
Inflation Adjusted:
Inflation Adjusted:
1Y 3Y 5Y 10Y 20Y MAX
Over the latest 20Y
Best Rolling Return (%) - Annualized 97.52 27.40 25.42 17.72 4.65
Worst Rolling Return (%) - Annualized -69.38 -36.60 -21.87 -2.24
% Positive Periods 64% 76% 70% 76% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 54.76 15.13 8.55 4.92 4.06
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.34
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 93.36 25.42 22.89 15.68 2.02
Worst Rolling Return (%) - Annualized -69.39 -37.95 -23.88 -3.93
% Positive Periods 60% 73% 69% 62% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 54.76 15.13 8.55 4.92 4.06
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 1.34
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Over all the available data source (Jan 1999 - Jan 2024)
Best Rolling Return (%) - Annualized 97.52 27.40 25.42 17.72 5.92
Worst Rolling Return (%) - Annualized -69.38 -36.60 -21.87 -9.00 2.17
% Positive Periods 62% 78% 75% 52% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 54.76 15.13 8.55 4.92 3.77
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 0.10
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Best Rolling Return (%) - Annualized 93.36 25.42 22.89 15.68 3.46
Worst Rolling Return (%) - Annualized -69.39 -37.95 -23.88 -11.29 0.13
% Positive Periods 58% 71% 73% 41% 100%
SWR - Safe Withdrawal Rate (%) - 100% Success - Annualized 54.76 15.13 8.55 4.92 3.77
PWR - Perpetual Withdrawal Rate (%) - 100% Success - Annualized - - - - 0.10
WR calculated based on initial capital | Monthly withdrawals adjusted for inflation | Credits: BestRetirementPortfolio.com
Terms and Definitions
  • Annualized Portfolio Return: it's the annualized geometric mean return of the portfolio.
  • Deepest/Longest Drawdown: a drawdown refers to the decline in value from a relative peak value to a relative trough. The deepest (or maximum) drawdown is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. The longest drawdown is the period observed from a peak to the subsequent peak with the greatest duration.
  • Longest negative period: it's the maximum period for which an overall negative return has been observed.
  • 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 portfolio. It's calculated by dividing the excess return of the portfolio over the risk-free rate by the portfolio 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 portfolio. It's a modification of the Sharpe Ratio (same formula but the denominator is the portfolio downside standard deviation).
  • Ulcer Index: it's a measure of downside risk that quantifies the depth and duration of drawdowns in an investment portfolio.
  • Best/Worst 10Y returns: the best and the worst 10-year return over a time frame.
  • Rolling Returns: N-year returns over a time frame, calculated over all the available data source (best, worst, % of positive returns). Each rolling period, longer than the longest negative period, yielded a non-negative minimum return.
  • Safe Withdrawal Rate (SWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, without the portfolio running out of money in any case (money amount withdrawal).
    For instance: Your initial invested capital is 100.000$; withdrawal rate (annualized) is 4%. This means that, in the first month, you will withdraw 100.000 * 4% * 1/12 = 333.33$. The second month, you’ll withdraw 333.33$ plus the inflation monthly rate. You’ll continue adjusting your withdraw monthly for inflation.
  • Perpetual Withdrawal Rate (PWR): it's the percentage of the initial portfolio balance that can be withdrawn at the beginning of each month with inflation adjustment, preserving the original invested capital, adjusted for inflation too.

Correlations as of Jan 31, 2024

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.

Monthly correlations of Financial Select Sector SPDR (XLF) ETF vs the main Asset Classes, over different timeframes. Columns are sortable (click on table header to sort).

FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Monthly correlations as of 31 January 2024
Swipe left to see all data
Correlation vs XLF
Asset Class 1 Year 5 Years 10 Years Since
Jan 1999
VTI
US Total Stock Market
0.71
0.87
0.86
0.81
SPY
US Large Cap
0.66
0.86
0.85
0.83
IJR
US Small Cap
0.77
0.90
0.87
0.71
VNQ
US REITs
0.78
0.75
0.61
0.66
QQQ
US Technology
0.27
0.66
0.65
0.53
PFF
Preferred Stocks
0.91
0.74
0.63
0.53
EFA
EAFE Stocks
0.69
0.86
0.78
0.73
VT
World All Countries
0.71
0.88
0.84
0.80
EEM
Emerging Markets
0.56
0.69
0.59
0.60
VGK
Europe
0.72
0.87
0.77
0.74
VPL
Pacific
0.61
0.79
0.72
0.63
FLLA
Latin America
0.72
0.73
0.57
0.55
BND
US Total Bond Market
0.44
0.32
0.15
0.05
TLT
Long Term Treasuries
0.47
-0.02
-0.15
-0.21
BIL
US Cash
0.33
-0.09
-0.08
-0.05
TIP
TIPS
0.32
0.38
0.22
0.09
LQD
Invest. Grade Bonds
0.50
0.49
0.37
0.25
HYG
High Yield Bonds
0.61
0.75
0.68
0.60
CWB
US Convertible Bonds
0.66
0.75
0.72
0.67
BNDX
International Bonds
0.30
0.34
0.20
0.12
EMB
Emerg. Market Bonds
0.66
0.66
0.51
0.45
GLD
Gold
-0.13
0.07
-0.10
-0.06
DBC
Commodities
0.25
0.60
0.47
0.29

If you want to learn more about historical correlations, you can find out here how the main asset class are correlated to each other.

Drawdowns

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.

FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Drawdown periods
Drawdown periods - Inflation Adjusted
Data Source: 1 February 2004 - 31 January 2024 (20 Years)
Data Source: 1 January 1999 - 31 January 2024 (~25 years)
Inflation Adjusted:
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-78.68% Jun 2007 Feb 2009 21 Jul 2017 101 122 43.96
-31.75% Jan 2020 Mar 2020 3 Feb 2021 11 14 17.48
-23.13% Nov 2021 Sep 2022 11 Jan 2024 16 27 12.29
-18.39% Feb 2018 Dec 2018 11 Nov 2019 11 22 7.84
-6.51% Jan 2005 Mar 2005 3 Oct 2005 7 10 3.35
-5.48% Mar 2004 Jul 2004 5 Nov 2004 4 9 3.35
-4.21% May 2006 Jun 2006 2 Sep 2006 3 5 2.48
-3.50% Feb 2007 Mar 2007 2 Apr 2007 1 3 2.32
-3.50% Jun 2021 Jul 2021 2 Aug 2021 1 3 2.32
-1.83% Sep 2021 Sep 2021 1 Oct 2021 1 2 1.06
-1.55% Aug 2017 Aug 2017 1 Sep 2017 1 2 0.90
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 33 7.3 Months 13.69%
 
DD = 0% 13.69%
 
0% < DD <= -5% 41 5.9 Months 17.01%
 
DD <= -5% 30.71%
 
-5% < DD <= -10% 27 8.9 Months 11.20%
 
DD <= -10% 41.91%
 
-10% < DD <= -15% 15 16.1 Months 6.22%
 
DD <= -15% 48.13%
 
-15% < DD <= -20% 9 26.8 Months 3.73%
 
DD <= -20% 51.87%
 
-20% < DD <= -25% 25 9.6 Months 10.37%
 
DD <= -25% 62.24%
 
-25% < DD <= -30% 11 21.9 Months 4.56%
 
DD <= -30% 66.80%
 
-30% < DD <= -35% 14 17.2 Months 5.81%
 
DD <= -35% 72.61%
 
-35% < DD <= -40% 4 60.3 Months 1.66%
 
DD <= -40% 74.27%
 
-40% < DD <= -45% 7 34.4 Months 2.90%
 
DD <= -45% 77.18%
 
-45% < DD <= -50% 4 60.3 Months 1.66%
 
DD <= -50% 78.84%
 
-50% < DD <= -55% 15 16.1 Months 6.22%
 
DD <= -55% 85.06%
 
-55% < DD <= -60% 20 12.1 Months 8.30%
 
DD <= -60% 93.36%
 
-60% < DD <= -65% 8 30.1 Months 3.32%
 
DD <= -65% 96.68%
 
-65% < DD <= -70% 5 48.2 Months 2.07%
 
DD <= -70% 98.76%
 
-70% < DD <= -100% 3 80.3 Months 1.24%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-79.27% Jun 2007 Feb 2009 21 Nov 2019 129 150 43.78
-31.62% Jan 2020 Mar 2020 3 Feb 2021 11 14 17.43
-28.29% Nov 2021 Sep 2022 11 in progress 16 27 18.13
-7.31% Jan 2005 Apr 2005 4 Nov 2005 7 11 4.21
-6.68% Mar 2004 Jul 2004 5 Dec 2004 5 10 4.15
-4.75% Jun 2021 Jul 2021 2 Oct 2021 3 5 2.68
-4.73% May 2006 Jun 2006 2 Sep 2006 3 5 3.00
-4.37% Feb 2007 Mar 2007 2 May 2007 2 4 2.52
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 22 11.0 Months 9.13%
 
DD = 0% 9.13%
 
0% < DD <= -5% 34 7.1 Months 14.11%
 
DD <= -5% 23.24%
 
-5% < DD <= -10% 24 10.0 Months 9.96%
 
DD <= -10% 33.20%
 
-10% < DD <= -15% 16 15.1 Months 6.64%
 
DD <= -15% 39.83%
 
-15% < DD <= -20% 14 17.2 Months 5.81%
 
DD <= -20% 45.64%
 
-20% < DD <= -25% 22 11.0 Months 9.13%
 
DD <= -25% 54.77%
 
-25% < DD <= -30% 3 80.3 Months 1.24%
 
DD <= -30% 56.02%
 
-30% < DD <= -35% 20 12.1 Months 8.30%
 
DD <= -35% 64.32%
 
-35% < DD <= -40% 11 21.9 Months 4.56%
 
DD <= -40% 68.88%
 
-40% < DD <= -45% 13 18.5 Months 5.39%
 
DD <= -45% 74.27%
 
-45% < DD <= -50% 8 30.1 Months 3.32%
 
DD <= -50% 77.59%
 
-50% < DD <= -55% 4 60.3 Months 1.66%
 
DD <= -55% 79.25%
 
-55% < DD <= -60% 21 11.5 Months 8.71%
 
DD <= -60% 87.97%
 
-60% < DD <= -65% 18 13.4 Months 7.47%
 
DD <= -65% 95.44%
 
-65% < DD <= -70% 7 34.4 Months 2.90%
 
DD <= -70% 98.34%
 
-70% < DD <= -100% 4 60.3 Months 1.66%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-78.68% Jun 2007 Feb 2009 21 Jul 2017 101 122 43.96
-31.75% Jan 2020 Mar 2020 3 Feb 2021 11 14 17.48
-27.87% Jan 2001 Sep 2002 21 Dec 2003 15 36 14.15
-23.13% Nov 2021 Sep 2022 11 Jan 2024 16 27 12.29
-22.08% May 1999 Feb 2000 10 Aug 2000 6 16 9.63
-18.39% Feb 2018 Dec 2018 11 Nov 2019 11 22 7.84
-6.51% Jan 2005 Mar 2005 3 Oct 2005 7 10 3.35
-5.93% Oct 2000 Nov 2000 2 Dec 2000 1 3 2.99
-5.48% Mar 2004 Jul 2004 5 Nov 2004 4 9 3.35
-4.21% May 2006 Jun 2006 2 Sep 2006 3 5 2.48
-3.50% Feb 2007 Mar 2007 2 Apr 2007 1 3 2.32
-3.50% Jun 2021 Jul 2021 2 Aug 2021 1 3 2.32
-1.83% Sep 2021 Sep 2021 1 Oct 2021 1 2 1.06
-1.55% Aug 2017 Aug 2017 1 Sep 2017 1 2 0.90
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 42 7.2 Months 13.91%
 
DD = 0% 13.91%
 
0% < DD <= -5% 52 5.8 Months 17.22%
 
DD <= -5% 31.13%
 
-5% < DD <= -10% 43 7.0 Months 14.24%
 
DD <= -10% 45.36%
 
-10% < DD <= -15% 26 11.6 Months 8.61%
 
DD <= -15% 53.97%
 
-15% < DD <= -20% 16 18.9 Months 5.30%
 
DD <= -20% 59.27%
 
-20% < DD <= -25% 29 10.4 Months 9.60%
 
DD <= -25% 68.87%
 
-25% < DD <= -30% 14 21.6 Months 4.64%
 
DD <= -30% 73.51%
 
-30% < DD <= -35% 14 21.6 Months 4.64%
 
DD <= -35% 78.15%
 
-35% < DD <= -40% 4 75.5 Months 1.32%
 
DD <= -40% 79.47%
 
-40% < DD <= -45% 7 43.1 Months 2.32%
 
DD <= -45% 81.79%
 
-45% < DD <= -50% 4 75.5 Months 1.32%
 
DD <= -50% 83.11%
 
-50% < DD <= -55% 15 20.1 Months 4.97%
 
DD <= -55% 88.08%
 
-55% < DD <= -60% 20 15.1 Months 6.62%
 
DD <= -60% 94.70%
 
-60% < DD <= -65% 8 37.8 Months 2.65%
 
DD <= -65% 97.35%
 
-65% < DD <= -70% 5 60.4 Months 1.66%
 
DD <= -70% 99.01%
 
-70% < DD <= -100% 3 100.7 Months 0.99%
 
DD <= -100% 100.00%
 
Swipe left to see all data
Drawdown period
Recovery period
Total
Drawdown Start Bottom #Months End #Months #Months Ulcer Index
-79.27% Jun 2007 Feb 2009 21 Nov 2019 129 150 43.78
-31.62% Jan 2020 Mar 2020 3 Feb 2021 11 14 17.43
-30.51% Jan 2001 Mar 2003 27 Feb 2004 11 38 16.18
-28.29% Nov 2021 Sep 2022 11 in progress 16 27 18.13
-23.96% May 1999 Feb 2000 10 Aug 2000 6 16 11.03
-7.31% Jan 2005 Apr 2005 4 Nov 2005 7 11 4.21
-6.68% Mar 2004 Jul 2004 5 Dec 2004 5 10 4.15
-6.25% Oct 2000 Nov 2000 2 Dec 2000 1 3 3.17
-4.75% Jun 2021 Jul 2021 2 Oct 2021 3 5 2.68
-4.73% May 2006 Jun 2006 2 Sep 2006 3 5 3.00
-4.37% Feb 2007 Mar 2007 2 May 2007 2 4 2.52
Swipe left to see all data
Drawdown (DD)
Occurrencies (EOM)
Drawdown (DD)
Range #Num Every (Avg) Frequency Cumulative Frequency
All Time High (DD=0%) 29 10.4 Months 9.60%
 
DD = 0% 9.60%
 
0% < DD <= -5% 41 7.4 Months 13.58%
 
DD <= -5% 23.18%
 
-5% < DD <= -10% 38 7.9 Months 12.58%
 
DD <= -10% 35.76%
 
-10% < DD <= -15% 31 9.7 Months 10.26%
 
DD <= -15% 46.03%
 
-15% < DD <= -20% 21 14.4 Months 6.95%
 
DD <= -20% 52.98%
 
-20% < DD <= -25% 28 10.8 Months 9.27%
 
DD <= -25% 62.25%
 
-25% < DD <= -30% 6 50.3 Months 1.99%
 
DD <= -30% 64.24%
 
-30% < DD <= -35% 22 13.7 Months 7.28%
 
DD <= -35% 71.52%
 
-35% < DD <= -40% 11 27.5 Months 3.64%
 
DD <= -40% 75.17%
 
-40% < DD <= -45% 13 23.2 Months 4.30%
 
DD <= -45% 79.47%
 
-45% < DD <= -50% 8 37.8 Months 2.65%
 
DD <= -50% 82.12%
 
-50% < DD <= -55% 4 75.5 Months 1.32%
 
DD <= -55% 83.44%
 
-55% < DD <= -60% 21 14.4 Months 6.95%
 
DD <= -60% 90.40%
 
-60% < DD <= -65% 18 16.8 Months 5.96%
 
DD <= -65% 96.36%
 
-65% < DD <= -70% 7 43.1 Months 2.32%
 
DD <= -70% 98.68%
 
-70% < DD <= -100% 4 75.5 Months 1.32%
 
DD <= -100% 100.00%
 

Rolling Returns

( more details)

A rolling return is a measure of investment performance that calculates the return of an investment over a set period of time, with the starting date rolling forward. This approach can provide a more accurate representation of the investment's historical performance and helps investors to evaluate the investment's consistency over time.

FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Annualized Rolling Returns
Annualized Rolling Returns - Inflation Adjusted
Data Source: 1 February 2004 - 31 January 2024 (20 Years)
Data Source: 1 January 1999 - 31 January 2024 (~25 years)
Inflation Adjusted:
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -69.38 03/2008
02/2009
0.30$ -12.74 0.87$ 8.48 1.08$ 26.56 1.26$ 97.52 03/2009
02/2010
1.97$ 8.03 35.81%
2Y -52.49 03/2007
02/2009
0.22$ -9.12 0.82$ 8.13 1.16$ 21.54 1.47$ 51.34 03/2009
02/2011
2.29$ 1.59 27.19%
3Y -36.60 03/2006
02/2009
0.25$ -12.73 0.66$ 10.53 1.35$ 16.00 1.56$ 27.40 10/2011
09/2014
2.06$ 12.33 23.41%
5Y -21.87 03/2004
02/2009
0.29$ -11.74 0.53$ 9.20 1.55$ 15.55 2.06$ 25.42 03/2009
02/2014
3.10$ 10.63 29.28%
7Y -9.74 10/2004
09/2011
0.48$ -5.89 0.65$ 9.93 1.94$ 13.87 2.48$ 18.37 10/2011
09/2018
3.25$ 9.68 31.21%
10Y -2.24 03/2006
02/2016
0.79$ -0.51 0.95$ 8.92 2.35$ 12.90 3.36$ 17.72 03/2009
02/2019
5.11$ 10.65 23.14%
15Y 1.40 04/2005
03/2020
1.23$ 2.50 1.44$ 3.57 1.69$ 5.20 2.13$ 13.65 02/2009
01/2024
6.81$ 13.65 0.00%
20Y 4.65 02/2004
01/2024
2.48$ 4.65 2.48$ 4.65 2.48$ 4.65 2.48$ 4.65 02/2004
01/2024
2.48$ 4.65 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
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Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -69.39 03/2008
02/2009
0.30$ -15.40 0.84$ 5.40 1.05$ 23.97 1.23$ 93.36 03/2009
02/2010
1.93$ 4.77 39.74%
2Y -53.44 03/2007
02/2009
0.21$ -12.31 0.76$ 5.64 1.11$ 18.47 1.40$ 48.17 03/2009
02/2011
2.19$ -2.99 30.88%
3Y -37.95 03/2006
02/2009
0.23$ -13.70 0.64$ 7.21 1.23$ 13.45 1.46$ 25.42 10/2011
09/2014
1.97$ 6.31 26.83%
5Y -23.88 03/2004
02/2009
0.25$ -13.78 0.47$ 7.05 1.40$ 13.57 1.88$ 22.89 03/2009
02/2014
2.80$ 6.21 30.94%
7Y -11.99 10/2004
09/2011
0.40$ -8.02 0.55$ 7.03 1.60$ 12.06 2.21$ 16.58 10/2011
09/2018
2.92$ 5.99 32.48%
10Y -3.93 03/2006
02/2016
0.66$ -2.40 0.78$ 6.21 1.82$ 10.27 2.65$ 15.68 03/2009
02/2019
4.29$ 7.65 37.19%
15Y -0.54 04/2005
03/2020
0.92$ 0.31 1.04$ 1.51 1.25$ 2.80 1.51$ 10.81 02/2009
01/2024
4.66$ 10.81 3.28%
20Y 2.02 02/2004
01/2024
1.49$ 2.02 1.49$ 2.02 1.49$ 2.02 1.49$ 2.02 02/2004
01/2024
1.49$ 2.02 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -69.38 03/2008
02/2009
0.30$ -12.69 0.87$ 7.53 1.07$ 25.90 1.25$ 97.52 03/2009
02/2010
1.97$ 8.03 37.59%
2Y -52.49 03/2007
02/2009
0.22$ -7.79 0.85$ 7.78 1.16$ 20.27 1.44$ 51.34 03/2009
02/2011
2.29$ 1.59 26.26%
3Y -36.60 03/2006
02/2009
0.25$ -6.93 0.80$ 8.66 1.28$ 15.63 1.54$ 27.40 10/2011
09/2014
2.06$ 12.33 21.43%
5Y -21.87 03/2004
02/2009
0.29$ -10.97 0.55$ 7.23 1.41$ 14.40 1.95$ 25.42 03/2009
02/2014
3.10$ 10.63 24.79%
7Y -13.79 03/2002
02/2009
0.35$ -5.90 0.65$ 7.01 1.60$ 13.25 2.38$ 18.37 10/2011
09/2018
3.25$ 9.68 36.70%
10Y -9.00 03/1999
02/2009
0.38$ -3.20 0.72$ 0.09 1.00$ 12.07 3.12$ 17.72 03/2009
02/2019
5.11$ 10.65 47.25%
15Y 0.04 02/2001
01/2016
1.00$ 1.35 1.22$ 3.02 1.56$ 4.66 1.98$ 13.65 02/2009
01/2024
6.81$ 13.65 0.00%
20Y 2.17 11/2000
10/2020
1.53$ 3.05 1.82$ 4.47 2.40$ 5.27 2.79$ 5.92 03/2003
02/2023
3.15$ 4.65 0.00%
Annualized rolling and percentiles/median returns over full calendar month periods
Swipe left to see all data
Rolling
Period
Worst Period
15th Percentile
50th Percentile
85th Percentile
Best Period
Latest Negative
Periods
Ann.
Return
From
To
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
Growth
of 1$
Ann.
Return
From
To
Growth
of 1$
1Y -69.39 03/2008
02/2009
0.30$ -14.75 0.85$ 4.77 1.04$ 23.82 1.23$ 93.36 03/2009
02/2010
1.93$ 4.77 41.38%
2Y -53.44 03/2007
02/2009
0.21$ -11.65 0.78$ 5.20 1.10$ 17.12 1.37$ 48.17 03/2009
02/2011
2.19$ -2.99 29.86%
3Y -37.95 03/2006
02/2009
0.23$ -7.96 0.77$ 5.75 1.18$ 12.41 1.42$ 25.42 10/2011
09/2014
1.97$ 6.31 28.95%
5Y -23.88 03/2004
02/2009
0.25$ -12.92 0.50$ 4.29 1.23$ 12.08 1.76$ 22.89 03/2009
02/2014
2.80$ 6.21 26.86%
7Y -15.95 03/2002
02/2009
0.29$ -8.15 0.55$ 4.24 1.33$ 11.24 2.10$ 16.58 10/2011
09/2018
2.92$ 5.99 40.37%
10Y -11.29 03/1999
02/2009
0.30$ -5.55 0.56$ -1.93 0.82$ 9.72 2.52$ 15.68 03/2009
02/2019
4.29$ 7.65 58.24%
15Y -1.96 02/2001
01/2016
0.74$ -0.94 0.86$ 0.97 1.15$ 2.54 1.45$ 10.81 02/2009
01/2024
4.66$ 10.81 26.23%
20Y 0.13 10/2000
09/2020
1.02$ 0.94 1.20$ 2.07 1.50$ 2.85 1.75$ 3.46 11/2001
10/2021
1.97$ 2.02 0.00%
Annualized rolling and percentiles/median 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

In which months is it better to invest in Financial Select Sector SPDR (XLF) ETF?

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.
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
1.11
60%
-0.22
40%
-5.48
20%
3.63
80%
-0.23
60%
-0.23
40%
3.55
80%
0.02
40%
-2.29
20%
3.68
60%
6.80
80%
2.46
80%
Best 6.9
2023
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
-2.4
2023
-5.7
2021
-5.2
2022
Monthly Seasonality over the period Feb 1999 - Jan 2024
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Monthly Average Return (%) and Gain Frequency
Return (%) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Average
Gain Frequency
0.55
60%
0.72
50%
-2.46
30%
1.89
60%
0.20
60%
0.23
40%
3.00
80%
0.09
50%
-1.45
20%
2.80
70%
5.84
90%
0.64
70%
Best 8.9
2019
11.6
2021
7.2
2016
9.5
2020
4.8
2021
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 Feb 1999 - Jan 2024
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
-0.35
54%
-1.15
48%
1.05
44%
3.00
68%
0.09
56%
-1.19
36%
1.78
68%
-0.04
48%
-1.24
44%
2.19
68%
1.72
64%
1.37
72%
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 Feb 1999 - Jan 2024

Monthly Returns

This section provides a visual/tabular representation of the performance variability in the Financial Select Sector SPDR (XLF) ETF over time. It illustrates the distribution of monthly returns, showcasing the range and frequency of positive and negative returns.

FINANCIAL SELECT SECTOR SPDR (XLF) ETF
Monthly Returns Distribution
Data Source: 1 February 2004 - 31 January 2024 (20 Years)
Data Source: 1 January 1999 - 31 January 2024 (~25 years)
139 Positive Months (58%) - 101 Negative Months (42%)
168 Positive Months (56%) - 133 Negative Months (44%)
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(Scroll down to see all data)
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