XLP — XLP | S&P 500 Consumer Staples Sector ETF 13F holdings and portfolio analysis

Directly following the baseline means accepting a concentrated consumer staples portfolio with muted market beta but limited benchmark upside. The baseline holds 40.5% in the top 5, 62.2% in the top 10, and 85.13% in the top 20, with Walmart, Costco, Procter & Gamble, Coca-Cola, and Philip Morris accounting for the top 5. Sector exposure in the baseline strategy view is 100.04% Consumer Staples. That structure delivered beta of 0.56 and low estimated cost of 0.9751, but also only 4.4% annualized return, 53.18% total return, and -2.6 alpha versus SPY.

The recent baseline periods show the trade-off clearly: the strategy protected better in some weak tape but struggled badly in rebound phases. In 2025-01-31, the baseline returned 3.68% versus SPY at -2.79%, an excess return of +6.46 with just 0.92 turnover. It also beat SPY in 2025-02-28 by +3.57 excess and in 2025-10-31 by +3.64 excess. But the downside of the defensive tilt showed up in 2025-04-30 with -5.27 excess, 2025-05-31 with -6.13 excess, 2025-08-31 with -6.35 excess, and 2025-09-30 with -4.62 excess. Those periods explain why lower beta did not translate into positive alpha over the full backtest.

A user should inspect three things next: concentration, period-level underperformance, and implementation realism. Concentration matters because the baseline top 5 is already 40.5% and top 10 is 62.2%. Period results matter because the backtest spans 120 periods, yet the baseline risk notes say even the best periods still trailed SPY in reported summaries, while recent period data shows large negative excess months like 2025-05-31 (-6.13) and 2025-08-31 (-6.35). Implementation also matters because the baseline logged 4,171 trades, an initial 100% turnover period, and total estimated cost of 0.9751, which may still understate real-world friction despite being labeled low cost.