This is a quantitative allocation of 50 US-listed stocks, chosen from the largest 1,000 market capitalizations, with a simple goal: to offer optimal diversifiction across the risk spectrum.

Note that this is not stock picking, where each position is chosen in isolation: our work is about selecting a balanced portfolio of risk exposures (we never think about single positions).

Symbol Name Industry Revenue Net Income Mkt Cap 1Yr Return Div Yield Forward PE Target Allocation %
ABNB Airbnb Inc Cl A Leisure & Recreation Services 11,102.00 M 2,648.00 M 74,709,032.00 -7.32% 0.00% 28.79 0.9708003
ADP Automatic Data Processing Internet - Software 20,560.90 M 4,079.70 M 118,006,768.00 +1.89% 2.11% 26.55 2.2678052
AME Ametek Inc Electronic Test Equipment 6,941.18 M 1,376.12 M 42,437,796.00 +7.57% 0.66% 25.99 1.7477215
APH Amphenol Corp Electronics - Connectors 15,222.70 M 2,424.00 M 149,220,976.00 +97.76% 0.54% 40.78 1.2381214
AVB Avalonbay Communities REIT - Equity Trust Resident 2,913.76 M 1,081.99 M 27,151,016.00 -15.13% 3.64% 16.69 1.5411346
AWI Armstrong World Industries Inc Building & Construction - Misc 1,445.70 M 264.90 M 8,511,875.00 +48.37% 0.63% 27.00 1.5463275
BIRK Birkenstock Holding Plc Shoes and Related Apparel 1,957.73 M 207.85 M 8,642,012.00 -6.84% 0.00% 19.95 0.9354655
BRK.B Berkshire Hathaway Cl B Insurance - Proprty & Casualty 371,433.00 M 88,995.00 M 1,075,970,816.00 +8.24% 0.00% 24.42 1.7304582
BSY Bentley Systems Inc Cl B Internet - Software 1,353.10 M 234.70 M 16,062,194.00 +16.18% 0.49% 54.45 2.1228240
BYD Boyd Gaming Corp Gaming 3,930.19 M 577.95 M 6,934,312.00 +31.93% 0.82% 12.59 1.5604522
CAG Conagra Brands Inc Food - Misc & Diversified 11,612.80 M 1,152.40 M 9,141,307.00 -36.56% 7.33% 11.04 2.0498749
CBOE CBOE Global Markets Inc Securities Exchanges 4,094.50 M 761.00 M 25,053,484.00 +12.56% 1.09% 25.07 1.7607117
CBSH Commerce Bancshares Banks - Midwest 2,092.93 M 526.33 M 7,895,585.00 +6.69% 1.85% 13.71 1.5890863
CNP Centerpoint Energy Inc Utility - Electric Power 8,643.00 M 1,019.00 M 25,370,336.00 +29.29% 2.24% 21.81 1.9828237
CTRA Coterra Energy Inc Oil - US Exploration & Product 5,458.00 M 1,121.00 M 17,781,162.00 -4.14% 3.73% 9.82 1.4353583
DOX Amdocs Ltd Ord IT Services 5,004.99 M 493.20 M 9,293,186.00 -6.53% 2.50% 12.10 2.2113931
ECL Ecolab Inc Chemical - Specialty 15,741.40 M 2,112.40 M 78,447,840.00 +11.44% 0.94% 36.40 2.4301632
EME Emcor Group Building - Heavy Construction 14,566.12 M 1,007.15 M 29,294,000.00 +54.02% 0.15% 26.29 1.1951100
EVRG Evergy Inc Utility - Electric Power 5,847.30 M 873.50 M 17,634,476.00 +28.43% 3.48% 19.05 2.7840271
EW Edwards Lifesciences Corp Medical Instruments 5,439.50 M 4,174.60 M 45,247,796.00 +16.90% 0.00% 30.62 1.5023177
FLO Flowers Foods Food - Misc & Diversified 5,103.49 M 248.12 M 2,779,103.00 -42.90% 7.41% 12.36 1.4961969
FYBR Frontier Communications Parent Inc Communication Network Software 5,937.00 M -322.00 M 9,366,749.00 +5.63% 0.00% N/A 12.6767597
GGG Graco Inc Machinery - General Industrial 2,113.32 M 486.08 M 14,044,224.00 -1.21% 1.27% 28.67 2.1403960
GLPI Gaming & Leisure REIT - Equity Trust Other 1,531.55 M 784.62 M 13,264,585.00 -9.41% 6.57% 12.35 2.2344268
GOOGL Alphabet Cl A Internet - Services 350,018.00 M 100,118.00 M 2,967,263,040.00 +49.90% 0.33% 24.68 1.2270383
HD Home Depot Retail - Home Furniture 159,514.00 M 14,806.00 M 393,237,600.00 -4.66% 2.32% 26.29 2.2158018
INGR Ingredion Inc Food - Misc & Diversified 7,430.00 M 647.00 M 7,757,557.00 -11.01% 2.66% 10.44 1.3585739
JHG Janus Henderson Group Plc Finance - Investment Mgmt 2,473.20 M 408.90 M 7,117,322.00 +17.18% 3.46% 12.36 1.0465849
K Kellanova Consumer Prdts - Misc Discr 12,749.00 M 1,343.00 M 28,762,658.00 +2.54% 2.80% 22.62 6.9524464
KBR KBR Inc Engineering & R&D Services 7,742.00 M 375.00 M 6,109,687.00 -30.48% 1.36% 12.50 1.1507321
KR Kroger Company Retail - Supermarket 147,123.00 M 2,665.00 M 43,935,552.00 +15.94% 1.98% 13.86 1.3358005
LEA Lear Corp Auto - Truck Original Parts 23,306.00 M 506.60 M 5,532,892.00 -4.74% 2.96% 8.42 1.1727358
LSTR Landstar System Transportation - Truck 4,834.06 M 195.95 M 4,249,619.00 -30.08% 2.87% 25.84 1.2217866
MCD McDonald’s Corp Retail - Restaurants 25,920.00 M 8,224.00 M 214,780,544.00 -2.54% 2.35% 24.27 1.8725525
MKTX Marketaxess Holdings Finance - Investment Brokers 817.10 M 274.18 M 6,370,561.00 -38.65% 1.77% 22.77 1.5113111
MSI Motorola Solutions Wireless Equipment 10,817.00 M 1,577.00 M 75,454,952.00 +1.52% 0.96% 32.72 1.6996220
NWS News Corp Cl B Movie & TV Production & Dist 8,452.00 M 1,180.00 M 18,129,952.00 +15.63% 0.62% 40.86 1.7562392
PG Procter & Gamble Company Consumer Prdts - Misc Staple 84,284.00 M 15,974.00 M 356,385,664.00 -10.94% 2.71% 21.76 1.8930306
PNC PNC Bank Finance - Investment Brokers 34,440.00 M 5,889.00 M 78,154,944.00 +7.33% 3.28% 12.71 1.7493442
RPRX Royalty Pharma Plc Cl A Medical - Biomedical 2,263.58 M 858.98 M 21,035,088.00 +30.20% 2.41% 8.00 2.0002540
TDY Teledyne Technologies Inc Aerospace - Defense Equipment 5,670.00 M 819.20 M 27,552,908.00 +34.70% 0.00% 27.16 1.6782208
TJX TJX Companies Retail - Discount 56,360.00 M 4,864.00 M 157,291,664.00 +24.78% 1.13% 31.14 2.2212593
VICI Vici Properties Inc REIT - Equity Trust Other 3,849.21 M 2,678.81 M 34,795,656.00 -0.56% 5.36% 13.85 2.0702751
VLO Valero Energy Corp Oil - Refining and Marketing 129,881.00 M 2,770.00 M 49,828,580.00 +14.75% 2.78% 20.20 1.0714949
VRSN Verisign Inc Internet Software Services 1,557.40 M 785.70 M 25,498,788.00 +44.88% 0.56% N/A 1.6377223
WDAY Workday Inc Internet - Software 8,446.00 M 526.00 M 63,140,160.00 -1.65% 0.00% 61.51 1.1879916
WPC W.P. Carey & Company Llc REIT - Equity Trust Other 1,583.02 M 460.84 M 15,154,176.00 +13.15% 5.17% 14.55 1.7836460
WTM White Mountains Insurance Group Insurance - Proprty & Casualty 2,239.80 M 230.40 M 4,741,819.00 +4.97% 0.05% N/A 1.2715780
WWD Woodward Inc Aerospace - Defense Equipment 3,324.25 M 372.97 M 15,454,435.00 +54.12% 0.42% 33.77 1.6924631
XOM Exxon Mobil Corp Oil - International Integrated 349,585.00 M 33,680.00 M 482,855,360.00 -8.52% 3.50% 16.59 2.0717390

 

» Recent performance of our allocation versus its benchmark:

 

 

       Note: The benchmark (S&P 500 Total Return Index) has been scaled to achieve equal volatility over the period, in order to get a pound for pound visual comparison of compounded returns.

 

» Key performance metrics over the last 12 months:

 

Total Return Realized Volatility Relative Volatility / Benchmark Excess Return1 Sharpe Ratio1 Maximum Drawdown2 Calmar Ratio Correlation Beta R-squared3 Annualized Alpha4 Treynor Ratio Up Capture Down Capture Active Return5 Tracking Error5 Information Ratio5
ALLOCATION 9.8% 10.8% 0.58 5.3% 0.49 -8.7% 1.13 0.85 0.5 73% 0.6% 0.2 48.2% 47.1% -1.2% 5.9% -0.21
BENCHMARK 18.7% 18.6% – 14.3% 0.77 -18.7% 1 – – – – – – – – – –
ABNB -7.3% 39.0% 2.09 -11.8% -0.3 -34.5% 0.21 0.64 1.33 40% -22.5% -0.06 119.4% 147.4% -36.3% 33.3% -1.09
ADP 4.6% 19.1% 1.02 0.1% 0.01 -12.2% 0.37 0.63 0.64 39% -5.7% 0.07 55.0% 60.2% -13.4% 16.5% -0.81
AME 8.3% 22.9% 1.23 3.8% 0.17 -23.0% 0.36 0.66 0.82 44% -4.8% 0.1 71.8% 75.5% -13.4% 18.8% -0.71
APH 99.3% 34.6% 1.86 94.9% 2.74 -24.6% 4.04 0.72 1.33 51% 65.3% 0.75 178.0% 126.7% 44.1% 26.1% 1.69
AVB -12.2% 22.7% 1.22 -16.7% -0.73 -21.3% 0.58 0.55 0.67 30% -20.7% -0.18 45.0% 68.4% -30.2% 21.7% -1.39
AWI 49.5% 25.3% 1.36 45.1% 1.78 -22.0% 2.25 0.69 0.94 48% 29.6% 0.53 116.9% 90.5% 17.1% 19.9% 0.86
BIRK -6.8% 35.7% 1.91 -11.3% -0.32 -32.4% 0.21 0.59 1.13 35% -20.1% -0.06 106.6% 132.6% -34.4% 32.2% -1.07
BRK.B 8.2% 19.2% 1.03 3.8% 0.2 -14.9% 0.55 0.56 0.58 31% -1.2% 0.14 46.5% 45.3% -10.7% 17.9% -0.59
BSY 16.8% 26.7% 1.43 12.4% 0.46 -24.2% 0.7 0.55 0.78 30% 4.5% 0.22 80.3% 75.5% -10.6% 25.4% -0.42
BYD 33.2% 28.1% 1.51 28.7% 1.02 -23.3% 1.42 0.68 1.02 46% 14.3% 0.33 104.3% 88.5% 1.6% 22.5% 0.07
CAG -32.8% 24.4% 1.31 -37.2% -1.53 -36.9% 0.89 0.09 0.12 1% -32.5% -2.71 -18.3% 22.8% -48.8% 32.8% -1.49
CBOE 13.9% 22.1% 1.19 9.4% 0.43 -12.1% 1.14 -0.14 -0.16 2% 20.5% -0.86 -9.6% -30.9% -11.9% 33.4% -0.36
CBSH 8.5% 24.7% 1.33 4.1% 0.17 -21.1% 0.4 0.65 0.86 42% -5.0% 0.1 83.0% 88.5% -14.8% 20.7% -0.71
CNP 32.6% 18.0% 0.96 28.1% 1.56 -8.4% 3.88 0.19 0.19 4% 30.3% 1.75 35.9% 7.5% 9.4% 22.8% 0.41
CTRA -0.8% 30.2% 1.62 -5.2% -0.17 -23.6% 0.03 0.45 0.73 20% -9.5% -0.01 48.1% 54.6% -27.4% 31.8% -0.86
DOX -4.3% 20.7% 1.11 -8.7% -0.42 -13.2% 0.32 0.56 0.62 31% -13.1% -0.07 46.0% 59.5% -22.2% 19.5% -1.14
ECL 12.6% 19.4% 1.04 8.1% 0.42 -16.2% 0.78 0.57 0.59 32% 2.6% 0.21 76.6% 77.5% -7.3% 18.0% -0.4
EME 54.4% 40.1% 2.15 49.9% 1.25 -36.2% 1.5 0.61 1.31 37% 31.2% 0.42 166.1% 141.0% 4.7% 35.5% 0.13
EVRG 33.7% 16.5% 0.88 29.2% 1.78 -8.0% 4.2 0.24 0.21 6% 30.4% 1.59 36.4% 7.2% 12.3% 20.3% 0.61
EW 16.9% 24.6% 1.32 12.5% 0.51 -12.0% 1.41 0.41 0.54 17% 8.8% 0.32 60.1% 51.2% -9.5% 26.8% -0.35
FLO -39.6% 23.9% 1.29 -44.1% -1.84 -42.5% 0.93 0.24 0.31 6% -41.7% -1.29 5.6% 65.7% -53.4% 29.5% -1.81
FYBR 5.6% 5.6% 0.3 1.2% 0.21 -5.5% 1.02 0.24 0.07 6% 4.4% 0.8 9.4% 4.6% -0.3% 6.9% -0.04
GGG 0.1% 21.4% 1.15 -4.4% -0.2 -19.5% 0 0.69 0.8 48% -12.0% 0 67.5% 80.3% -18.8% 16.8% -1.12
GLPI -3.5% 18.0% 0.96 -7.9% -0.44 -10.4% 0.34 0.38 0.36 14% -8.5% -0.1 25.5% 33.9% -19.9% 20.1% -0.99
GOOGL 50.6% 32.1% 1.72 46.1% 1.44 -29.8% 1.7 0.61 1.05 37% 30.2% 0.48 125.2% 97.5% 10.0% 28.3% 0.35
HD -2.4% 22.4% 1.2 -6.8% -0.31 -21.8% 0.11 0.54 0.65 29% -11.5% -0.04 72.7% 89.6% -22.1% 21.5% -1.03
INGR -9.4% 24.8% 1.33 -13.9% -0.56 -21.4% 0.44 0.27 0.36 7% -13.0% -0.26 26.3% 40.9% -30.6% 30.0% -1.02
JHG 21.7% 33.1% 1.78 17.3% 0.52 -35.3% 0.61 0.83 1.47 69% -2.7% 0.15 135.9% 136.6% -9.8% 19.4% -0.51
K 5.5% 7.2% 0.39 1.0% 0.14 -5.8% 0.94 0.13 0.05 2% 4.8% 1.1 10.5% 6.0% -2.2% 9.6% -0.23
KBR -29.6% 32.5% 1.75 -34.1% -1.05 -36.2% 0.82 0.49 0.86 24% -37.1% -0.35 57.4% 107.6% -49.5% 32.8% -1.51
KR 18.3% 25.2% 1.35 13.9% 0.55 -12.8% 1.43 -0.12 -0.16 1% 26.1% -1.15 -18.2% -47.1% -11.9% 37.7% -0.32
LEA -1.7% 34.5% 1.85 -6.1% -0.18 -29.9% 0.06 0.51 0.94 26% -12.8% -0.02 83.8% 98.2% -30.7% 34.2% -0.9
LSTR -28.5% 28.8% 1.54 -33.0% -1.15 -36.0% 0.79 0.53 0.81 28% -36.4% -0.35 68.9% 121.5% -46.5% 28.0% -1.66
MCD -0.3% 18.7% 1 -4.7% -0.25 -11.1% 0.02 0.23 0.23 5% -2.8% -0.01 26.6% 30.9% -18.3% 23.2% -0.79
MKTX -37.8% 26.3% 1.41 -42.2% -1.6 -42.0% 0.9 -0.15 -0.21 2% -33.2% 1.84 -47.2% -4.0% -54.5% 39.9% -1.37
MSI 2.5% 22.8% 1.22 -1.9% -0.08 -21.4% 0.12 0.47 0.58 22% -5.7% 0.04 52.9% 58.9% -18.7% 23.3% -0.8
NWS 16.4% 23.6% 1.27 11.9% 0.51 -21.4% 0.76 0.63 0.8 40% 2.9% 0.21 69.5% 63.6% -7.7% 20.3% -0.38
PG -8.7% 18.4% 0.99 -13.1% -0.72 -14.7% 0.59 0.19 0.19 4% -10.5% -0.46 8.2% 19.3% -25.0% 23.3% -1.07
PNC 11.2% 25.8% 1.38 6.8% 0.26 -29.8% 0.38 0.72 1 53% -4.9% 0.11 90.1% 93.9% -13.1% 19.1% -0.68
RPRX 33.8% 24.3% 1.31 29.4% 1.21 -13.2% 2.55 0.22 0.28 5% 30.9% 1.21 49.4% 21.3% 2.9% 30.4% 0.1
TDY 34.7% 23.1% 1.24 30.3% 1.31 -16.1% 2.16 0.65 0.81 42% 18.9% 0.43 81.3% 60.2% 7.4% 19.3% 0.38
TJX 26.4% 17.8% 0.96 21.9% 1.23 -11.0% 2.39 0.53 0.5 28% 16.9% 0.53 66.0% 50.5% 5.6% 17.3% 0.32
VICI 5.1% 18.8% 1.01 0.6% 0.03 -13.8% 0.37 0.38 0.38 14% -0.5% 0.13 27.9% 26.1% -13.6% 21.0% -0.65
VLO 19.5% 36.8% 1.98 15.1% 0.41 -26.8% 0.73 0.5 0.99 25% 6.2% 0.2 55.3% 37.7% -17.7% 36.8% -0.48
VRSN 45.7% 24.6% 1.32 41.3% 1.68 -14.0% 3.25 0.33 0.44 11% 38.6% 1.05 62.7% 27.0% 12.4% 28.4% 0.44
WDAY -1.6% 35.3% 1.9 -6.1% -0.17 -24.8% 0.07 0.54 1.02 29% -13.7% -0.02 101.0% 118.9% -31.0% 34.0% -0.91
WPC 20.0% 19.8% 1.06 15.5% 0.78 -12.5% 1.6 0.3 0.32 9% 15.2% 0.62 32.1% 14.6% -2.6% 23.3% -0.11
WTM 5.0% 25.1% 1.35 0.6% 0.02 -18.0% 0.28 0.33 0.44 11% -0.4% 0.11 56.4% 59.6% -19.4% 29.0% -0.67
WWD 55.0% 30.1% 1.61 50.5% 1.68 -19.3% 2.85 0.7 1.13 49% 31.2% 0.49 113.4% 80.1% 16.3% 23.3% 0.7
XOM -5.2% 23.4% 1.25 -9.6% -0.41 -18.9% 0.28 0.42 0.53 18% -11.9% -0.1 22.2% 30.6% -25.5% 25.2% -1.01
Notes:
1 For the estimation of the Sharpe ratio, we calculated excess return and excess volatility against the daily returns of the Nasdaq US T-Bill V2 Index (“NQCASH2”).
2 Drawdowns are calculated on daily closing prices (i.e. not intraday highs and lows).
3 The R-squared indicates how much the variance of a security can be explained by the variance of the benchmark: if a security has a low R-squared value, the CAPM single-factor linear relationship doesn’t explain much of the variance of the security, and the CAPM metrics (beta, alpha, Treynor ratio) are not useful for this particular security.
4 The annualized alpha is a compounded calculation from CAPM estimations on daily returns.
5 The active performance metrics are calculated relative to the volatilty-adjusted benchmark (i.e. the benchmark multiplied by the relative volatility of the allocation to the benchmark).

 

» Charting each security in the allocation over the last 12 months:

 





































































































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