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 %
ADBE Adobe Systems Inc Computer - Software 21,505.00 M 5,560.00 M 130,770,640.00 -35.73% 0.00% 18.70 1.5333401
ADSK Autodesk Inc Internet - Software 6,131.00 M 1,112.00 M 61,119,284.00 -7.80% 0.00% 42.23 1.7634132
ALLY Ally Financial Finance - Consumer Loans 16,389.00 M 668.00 M 11,573,551.00 +3.47% 3.19% 10.25 1.4240199
AMCR Amcor Plc Containers - Paper Products 15,009.00 M 511.00 M 19,272,810.00 -18.82% 6.10% 10.47 2.1156753
AN Autonation Inc Retail - Wsale Auto & Trucks 26,765.40 M 692.20 M 7,231,304.00 +21.71% 0.00% 9.95 2.0930401
BAC Bank of America Corp Finance - Investment Brokers 192,434.00 M 27,132.00 M 372,427,328.00 +10.98% 2.08% 13.71 2.1496934
BG Bunge Ltd Agriculture Products 53,108.00 M 1,137.00 M 17,943,902.00 +7.03% 3.00% 12.44 1.3218360
BURL Burlington Stores Inc Retail - Discount 10,634.82 M 503.64 M 17,799,188.00 +8.67% 0.00% 29.67 1.2820234
CHDN Churchill Downs IN Gaming 2,734.30 M 426.80 M 7,278,661.00 -25.42% 0.39% 18.05 1.3636529
CME CME Group Inc Securities Exchanges 6,130.10 M 3,525.80 M 99,242,528.00 +20.54% 3.89% 24.50 2.7478237
COR Cencora Inc Medical Services 321,332.81 M 1,554.17 M 70,197,408.00 +48.84% 0.62% 20.38 2.7704381
DCI Donaldson Company Pollution Controls 3,690.90 M 367.00 M 9,842,161.00 +15.35% 1.34% 21.22 1.9301352
DOX Amdocs Ltd Ord IT Services 4,532.91 M 564.70 M 8,464,567.00 -10.60% 2.75% 11.30 2.0992307
DT Dynatrace Inc IT Services 1,698.68 M 483.68 M 13,096,639.00 -16.96% 0.00% 51.02 1.8419283
ECL Ecolab Inc Chemical - Specialty 15,741.40 M 2,112.40 M 74,134,184.00 +9.72% 0.99% 34.79 2.2574652
EXE Expand Energy Corporation Other Alt Energy 4,235.00 M -714.00 M 27,270,462.00 +13.89% 2.79% 21.09 1.3696650
FWONA Liberty Media Formula One Sr A Media Conglomerates 12,164.00 M 1,815.00 M 21,427,068.00 +9.00% 0.00% 39.39 1.9152510
GGG Graco Inc Machinery - General Industrial 2,113.32 M 486.08 M 13,210,466.00 -8.17% 1.38% 26.63 2.6560864
GME Gamestop Corp Gaming 3,823.00 M 131.30 M 8,931,306.00 -27.61% 0.00% N/A 0.6758258
HHH Howard Hughes Holdings Inc Real Estate Developers 1,750.69 M 200.55 M 4,914,011.00 +2.95% 0.00% 35.05 1.5046565
IDA Idacorp Inc Utility - Electric Power 1,826.63 M 289.17 M 6,851,283.00 +7.69% 2.73% 21.61 3.6464232
INGR Ingredion Inc Food - Misc & Diversified 7,430.00 M 647.00 M 6,784,368.00 -25.45% 3.02% 9.56 2.1705253
ITW Illinois Tool Works Inc Machinery - General Industrial 15,898.00 M 3,488.00 M 69,943,112.00 -8.18% 2.53% 23.08 2.2778809
KEX Kirby Corp Transportation - Ship 3,265.88 M 286.71 M 5,736,528.00 -16.42% 0.00% 17.23 1.2014288
KEY Keycorp Banks - Major Regional 9,236.00 M -161.00 M 18,885,658.00 -7.28% 4.75% 11.79 1.9496876
KR Kroger Company Retail - Supermarket 147,123.00 M 2,665.00 M 43,670,480.00 +12.77% 2.03% 14.09 2.1762903
L Loews Corp Insurance - Multi Line 17,510.00 M 1,414.00 M 21,686,902.00 +24.93% 0.24% N/A 2.9308804
LMT Lockheed Martin Corp Aerospace - Defense 71,043.00 M 5,336.00 M 108,354,432.00 -14.99% 2.82% 16.78 1.7768039
LNT Alliant Energy Corp Utility - Electric Power 3,981.00 M 690.00 M 17,343,432.00 +8.02% 3.01% 20.91 3.1906174
MCD McDonald’s Corp Retail - Restaurants 25,920.00 M 8,224.00 M 216,608,768.00 +7.24% 2.33% 24.96 3.0357379
MSFT Microsoft Corp Computer - Software 281,724.00 M 101,832.00 M 3,555,872,640.00 +14.35% 0.88% 30.73 2.6180207
MSI Motorola Solutions Wireless Equipment 10,817.00 M 1,577.00 M 61,132,344.00 -25.43% 1.19% 26.94 2.0746370
NLY Annaly Capital Management Inc REIT - Mortgage Trusts 5,790.62 M 1,001.91 M 14,767,131.00 +11.17% 12.72% 7.44 2.4394227
NOC Northrop Grumman Corp Aerospace - Defense 41,033.00 M 4,174.00 M 80,972,192.00 +14.16% 1.54% 20.61 2.0930978
NTAP Netapp Inc Computer - Storage Devices 6,572.00 M 1,186.00 M 20,608,562.00 -15.30% 2.01% 16.97 1.3590122
OHI Omega Healthcare Investors REIT - Equity Trust Other 1,051.39 M 406.33 M 13,177,638.00 +12.21% 6.01% 15.21 2.0859818
OXY Occidental Petroleum Corp Oil - US Integrated 26,725.00 M 3,056.00 M 40,600,504.00 -19.60% 2.28% 18.92 1.1721381
PEG Public Service Enterprise Group Inc Utility - Electric Power 10,290.00 M 1,772.00 M 40,311,676.00 -12.00% 3.08% 20.11 3.0817543
RGEN Repligen Corp Medical - Biomedical 634.44 M -25.51 M 8,689,079.00 +14.64% 0.00% 93.07 0.9655716
RPRX Royalty Pharma Plc Cl A Medical - Biomedical 2,263.58 M 858.98 M 22,160,164.00 +47.42% 2.29% 8.37 2.3572828
SEIC Sei Investments Company Finance - Investment Mgmt 2,125.15 M 581.19 M 9,649,418.00 -0.15% 1.24% 14.48 1.8955784
SHW Sherwin-Williams Company Chemical - Specialty 23,098.50 M 2,681.40 M 81,311,712.00 -12.07% 0.96% 29.06 1.7845142
STE Steris Corp Medical Instruments 5,459.52 M 614.64 M 25,221,818.00 +22.02% 0.93% 24.89 1.8874899
TRMB Trimble Navigation Machinery - General Industrial 3,683.30 M 1,504.40 M 17,801,250.00 +7.84% 0.00% 29.59 1.5759947
TT Trane Technologies Plc Technology Services 19,838.20 M 2,567.90 M 88,708,896.00 -1.27% 0.91% 31.24 1.7757468
UPS United Parcel Service Transportation - Air Freight 91,070.00 M 5,782.00 M 77,092,832.00 -27.94% 7.22% 13.41 1.3034277
V Visa Inc Financial Transaction Services 40,000.00 M 20,058.00 M 589,825,728.00 +5.83% 0.75% 25.31 2.0428009
VICI Vici Properties Inc REIT - Equity Trust Other 3,849.21 M 2,678.81 M 30,781,758.00 -10.97% 6.07% 12.31 2.4827454
VVV Valvoline Inc Oil - Refining and Marketing 1,619.00 M 211.50 M 3,837,602.00 -19.06% 0.00% 18.57 1.5911626
VZ Verizon Communications Inc Wireless National 134,788.00 M 17,506.00 M 171,861,456.00 -2.99% 6.68% 8.77 2.2421444

 

» 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 7.1% 13.6% 0.72 2.7% 0.2 -12.6% 0.56 0.85 0.61 72% -0.8% 0.12 57.3% 57.6% -2.6% 7.5% -0.34
BENCHMARK 13.1% 18.9% – 8.7% 0.46 -18.7% 0.7 – – – – – – – – – –
ADBE -35.1% 33.4% 1.77 -39.5% -1.18 -43.5% 0.81 0.53 0.93 28% -39.8% -0.38 82.0% 139.0% -49.2% 32.4% -1.52
ADSK -5.5% 29.1% 1.54 -9.9% -0.34 -25.7% 0.22 0.61 0.95 38% -13.8% -0.06 90.2% 106.6% -23.2% 25.6% -0.91
ALLY 11.9% 34.0% 1.8 7.5% 0.22 -24.4% 0.49 0.71 1.29 51% -1.0% 0.09 128.1% 129.2% -11.0% 25.8% -0.43
AMCR -13.2% 24.8% 1.32 -17.6% -0.71 -23.4% 0.57 0.41 0.54 17% -17.0% -0.25 43.5% 63.5% -28.3% 27.1% -1.05
AN 25.6% 29.7% 1.57 21.2% 0.71 -20.2% 1.26 0.61 0.96 37% 14.7% 0.27 103.1% 88.4% 1.6% 26.2% 0.06
BAC 14.6% 26.9% 1.42 10.2% 0.38 -27.5% 0.53 0.71 1.01 50% 3.2% 0.15 90.4% 85.0% -4.7% 20.6% -0.23
BG 11.1% 32.3% 1.71 6.7% 0.21 -23.0% 0.48 0.25 0.44 6% 10.1% 0.26 17.1% 1.7% -14.8% 39.4% -0.37
BURL 10.2% 40.1% 2.12 5.8% 0.15 -27.0% 0.38 0.56 1.19 31% 1.0% 0.09 141.3% 143.8% -17.4% 37.6% -0.46
CHDN -23.9% 31.7% 1.68 -28.3% -0.89 -39.1% 0.61 0.39 0.65 15% -27.0% -0.37 44.0% 76.9% -40.7% 35.1% -1.16
CME 25.1% 18.6% 0.99 20.7% 1.11 -10.1% 2.48 -0.09 -0.09 1% 29.0% -2.97 -0.3% -28.4% 6.7% 27.5% 0.24
COR 51.5% 21.3% 1.13 47.1% 2.21 -10.7% 4.82 -0.03 -0.03 0% 56.0% -15.45 26.7% -19.9% 26.3% 30.5% 0.86
DCI 18.5% 24.2% 1.28 14.1% 0.58 -23.8% 0.78 0.69 0.88 47% 7.8% 0.21 88.5% 79.7% 0.1% 19.1% 0
DOX -6.8% 21.8% 1.15 -11.2% -0.52 -19.3% 0.35 0.52 0.6 27% -12.3% -0.12 38.4% 50.1% -20.7% 21.4% -0.97
DT -14.7% 33.6% 1.78 -19.1% -0.57 -34.0% 0.43 0.6 1.07 36% -22.4% -0.14 94.7% 122.1% -32.8% 30.0% -1.1
ECL 11.6% 20.5% 1.09 7.2% 0.35 -16.2% 0.72 0.53 0.58 29% 5.1% 0.2 78.9% 76.6% -4.1% 19.8% -0.21
EXE 20.7% 30.0% 1.59 16.3% 0.54 -22.9% 0.9 0.36 0.58 13% 16.6% 0.36 51.3% 32.6% -4.6% 33.9% -0.14
FWONA 10.6% 27.0% 1.43 6.2% 0.23 -25.7% 0.41 0.5 0.71 25% 3.8% 0.15 77.4% 74.1% -9.6% 27.1% -0.35
GGG -5.8% 21.3% 1.13 -10.2% -0.48 -19.5% 0.3 0.7 0.79 49% -13.8% -0.07 70.4% 86.2% -18.9% 16.6% -1.14
GME -29.2% 58.5% 3.1 -33.6% -0.57 -43.0% 0.68 0.26 0.82 7% -24.6% -0.36 74.8% 106.4% -57.6% 71.0% -0.81
HHH 6.1% 31.9% 1.69 1.7% 0.05 -27.0% 0.22 0.52 0.89 27% -1.5% 0.07 85.0% 86.2% -16.2% 31.2% -0.52
IDA 11.6% 17.3% 0.91 7.2% 0.42 -11.2% 1.03 0.28 0.25 8% 9.4% 0.46 27.3% 17.3% -2.5% 20.8% -0.12
INGR -22.5% 19.4% 1.03 -26.9% -1.39 -27.0% 0.83 0.32 0.32 10% -24.6% -0.7 14.3% 44.1% -33.4% 22.7% -1.47
ITW -4.7% 22.1% 1.17 -9.1% -0.41 -20.6% 0.23 0.67 0.78 45% -12.6% -0.06 67.6% 81.4% -18.5% 18.1% -1.03
KEX -16.7% 38.7% 2.05 -21.1% -0.55 -38.7% 0.43 0.53 1.09 28% -22.9% -0.15 89.1% 116.0% -37.3% 37.4% -1
KEY -1.8% 31.0% 1.64 -6.2% -0.2 -31.7% 0.06 0.75 1.23 56% -13.4% -0.01 109.1% 123.4% -20.1% 21.9% -0.92
KR 17.0% 25.7% 1.36 12.6% 0.49 -14.6% 1.16 -0.15 -0.2 2% 24.4% -0.85 -24.8% -50.9% -7.4% 38.9% -0.19
L 26.3% 19.3% 1.02 21.9% 1.14 -12.2% 2.16 0.55 0.57 31% 18.9% 0.47 49.5% 28.2% 9.7% 18.2% 0.53
LMT -11.4% 26.1% 1.38 -15.8% -0.61 -22.7% 0.5 0.14 0.2 2% -10.8% -0.58 -3.6% 5.9% -28.8% 34.2% -0.84
LNT 13.3% 17.7% 0.94 8.9% 0.5 -11.0% 1.21 0.28 0.26 8% 11.0% 0.51 26.9% 14.9% -1.4% 21.3% -0.06
MCD 8.8% 18.1% 0.96 4.4% 0.25 -10.6% 0.83 0.2 0.2 4% 7.6% 0.45 22.5% 14.5% -5.8% 22.8% -0.25
MSFT 14.7% 24.3% 1.29 10.3% 0.42 -21.8% 0.67 0.73 0.93 53% 3.6% 0.16 95.5% 91.8% -3.0% 18.0% -0.17
MSI -24.4% 23.1% 1.22 -28.7% -1.25 -26.0% 0.94 0.45 0.55 20% -28.1% -0.45 26.8% 60.5% -36.5% 24.2% -1.5
NLY 30.0% 21.7% 1.15 25.6% 1.18 -18.5% 1.62 0.62 0.72 39% 20.4% 0.42 86.2% 67.0% 11.3% 18.8% 0.6
NOC 17.2% 26.9% 1.42 12.8% 0.48 -15.6% 1.11 0.04 0.06 0% 20.7% 3.08 7.6% -13.9% -7.2% 37.3% -0.19
NTAP -11.3% 37.2% 1.97 -15.7% -0.42 -41.3% 0.27 0.66 1.29 43% -20.7% -0.09 128.8% 155.6% -31.4% 30.9% -1.02
OHI 21.0% 21.0% 1.11 16.6% 0.79 -11.3% 1.86 0.17 0.19 3% 20.5% 1.11 17.3% -4.7% 2.0% 27.1% 0.07
OXY -16.5% 36.3% 1.92 -20.9% -0.57 -31.1% 0.53 0.5 0.97 25% -22.1% -0.17 45.5% 66.1% -36.2% 36.2% -1
PEG -7.4% 21.6% 1.14 -11.8% -0.55 -17.2% 0.43 0.48 0.54 23% -12.2% -0.14 42.5% 55.7% -21.2% 22.1% -0.96
RGEN 17.0% 51.0% 2.7 12.6% 0.25 -37.5% 0.45 0.55 1.48 30% 8.2% 0.12 150.0% 141.2% -19.0% 48.5% -0.39
RPRX 52.2% 25.9% 1.37 47.8% 1.84 -8.9% 5.84 0.21 0.28 4% 51.4% 1.86 52.5% 8.4% 23.1% 32.7% 0.71
SEIC 1.3% 24.5% 1.3 -3.1% -0.13 -23.3% 0.06 0.8 1.04 65% -9.9% 0.01 91.2% 101.1% -14.0% 15.3% -0.91
SHW -8.5% 24.8% 1.31 -12.9% -0.52 -21.4% 0.4 0.56 0.74 31% -15.0% -0.12 80.5% 100.5% -23.6% 23.3% -1.02
STE 25.3% 23.3% 1.23 20.9% 0.9 -12.2% 2.07 0.41 0.51 17% 19.9% 0.5 45.0% 23.0% 4.9% 25.3% 0.19
TRMB 9.3% 30.2% 1.6 4.9% 0.16 -28.9% 0.32 0.84 1.34 70% -5.2% 0.07 139.5% 146.6% -10.0% 17.2% -0.58
TT 0.7% 28.2% 1.5 -3.7% -0.13 -24.4% 0.03 0.65 0.98 43% -8.7% 0.01 113.2% 126.3% -17.4% 23.5% -0.74
UPS -23.4% 32.7% 1.73 -27.8% -0.85 -36.9% 0.63 0.45 0.79 21% -27.7% -0.3 56.6% 90.5% -40.3% 34.2% -1.18
V 7.5% 21.9% 1.16 3.1% 0.14 -15.0% 0.5 0.67 0.78 45% -1.4% 0.1 76.6% 78.0% -7.9% 17.7% -0.45
VICI -5.2% 18.9% 1 -9.6% -0.51 -13.9% 0.37 0.4 0.4 16% -8.8% -0.13 25.1% 33.4% -18.0% 20.8% -0.86
VVV -18.9% 30.3% 1.6 -23.3% -0.77 -25.8% 0.73 0.41 0.66 17% -22.8% -0.29 40.7% 66.5% -35.8% 32.8% -1.09
VZ 4.4% 21.1% 1.12 -0.0% 0 -13.3% 0.33 0.11 0.12 1% 4.9% 0.35 8.2% 2.0% -12.3% 28.1% -0.44
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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