XLI — XLI | S&P 500 Industrials Sector ETF 13F holdings and portfolio analysis
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Baseline
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Directly following the baseline mainly exposes an investor to concentrated industrial sector risk with benchmark-like market sensitivity. The baseline keeps the disclosed holdings with no active reweighting, and the top holdings are led by GE at 6.82%, Caterpillar at 5.62%, RTX at 5.16%, GE Vernova at 3.72%, and Boeing at 3.57%. Concentration is moderate at the stock level with top 5 at 24.89% and top 10 at 38.98%, but the sector exposure is effectively all Industrials in the strategy artifact, with sectorWeights at 100.06% Industrials. In backtest terms, that produced 12.17% annualized return and 211.75% total return, but alpha stayed negative at -0.46 and max drawdown reached -42.06%.
The recent baseline periods show a portfolio that can beat SPY in rebounds but also suffers in turnover-heavy weak stretches. The strongest recent month was 2025-11-30, when optimizedReturn was 3.55% versus benchmarkReturn 0.99% for +2.56% excess with turnover 1.04. Another strong rebound was 2025-04-30 at 8.65% versus 6.28%, a +2.36% excess month. But the trade-off shows up in weaker momentum-sensitive periods: 2025-07-31 returned -0.15% versus SPY’s 2.05% for -2.20% excess, 2025-09-30 returned 0.06% versus 2.05% for -1.99% excess, and 2025-10-31 returned -1.00% versus 0.20% for -1.19% excess. Those mixed period outcomes help explain why absolute return is solid but alpha remains negative.
Before accepting the baseline, a user should inspect three things: concentration, downside profile, and implementation stability. Concentration is manageable by stock but still material for a sector ETF, with top 10 at 38.98% and top 20 at 57.55%. Downside profile is the bigger issue: max drawdown was -42.06%, downsideDeviation 15.665, and recoveryDays 162. Implementation stability also matters because the baseline risk notes show one period reached 97.98% turnover, and the baseline artifact reports 8,615 trades despite modest estimated total cost of 0.7276. In short, the next step is not more return analysis—it is checking whether the investor can tolerate industrial-sector drawdowns and the path dependence created by turnover and reporting lag.