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 %
ACI Albertsons Companies Inc Cl A Consumer Prdts - Misc Staple 80,390.90 M 958.60 M 10,743,445.00 -7.81% 2.97% 9.75 1.6347235
ADP Automatic Data Processing Internet - Software 20,560.90 M 4,079.70 M 122,237,928.00 +14.60% 1.99% 27.66 2.5923404
AME Ametek Inc Electronic Test Equipment 6,941.18 M 1,376.12 M 41,885,816.00 +12.25% 0.65% 25.87 2.1047639
AVB Avalonbay Communities REIT - Equity Trust Resident 2,913.76 M 1,081.99 M 27,135,352.00 -12.53% 3.62% 16.61 1.7333389
AVT Avnet Inc Electronics - Parts Distrib 22,200.75 M 240.22 M 4,483,834.00 -1.40% 2.47% 11.38 1.5433555
BAC Bank of America Corp Finance - Investment Brokers 192,434.00 M 27,132.00 M 347,682,080.00 +21.81% 2.22% 12.97 1.7325521
BG Bunge Ltd Agriculture Products 53,108.00 M 1,137.00 M 16,361,070.00 -16.52% 3.35% 10.59 1.4892295
CAG Conagra Brands Inc Food - Misc & Diversified 11,612.80 M 1,152.40 M 9,176,564.00 -37.61% 7.30% 11.18 1.4842775
CBSH Commerce Bancshares Banks - Midwest 2,092.93 M 526.33 M 8,165,132.00 +4.41% 1.78% 14.43 1.6535088
CHD Church & Dwight Company Consumer Prdts - Misc Staple 6,107.10 M 585.30 M 22,528,960.00 -7.21% 1.57% 26.67 2.2797513
CMCSA Comcast Corp A Cable TV 123,731.00 M 16,192.00 M 123,504,328.00 -15.62% 3.83% 7.67 1.4476591
CME CME Group Inc Securities Exchanges 6,130.10 M 3,525.80 M 98,715,296.00 +30.08% 3.87% 24.65 2.4942469
CNM Core & Main Inc Cl A Machinery - Tools & Related 7,441.00 M 411.00 M 12,639,782.00 +27.04% 0.00% 26.28 0.8574749
CPRT Copart Inc Auction Valuation Services 4,236.82 M 1,363.02 M 45,523,344.00 -7.70% 0.00% 27.14 1.5282334
DCI Donaldson Company Pollution Controls 3,586.30 M 414.00 M 8,550,236.00 +2.00% 1.55% 19.03 1.9140254
DDOG Datadog Inc Cl A Internet - Software 2,684.28 M 183.75 M 44,377,800.00 +12.25% 0.00% 499.41 1.0464126
ECL Ecolab Inc Chemical - Specialty 15,741.40 M 2,112.40 M 79,650,408.00 +16.38% 0.90% 37.21 2.2775044
EHC Encompass Health Corp Medical - Outpatient & Hm Care 5,373.20 M 455.70 M 12,125,154.00 +35.66% 0.56% 22.69 1.7977623
EQIX Equinix Inc REIT - Equity Trust Retail 8,748.00 M 815.00 M 76,462,112.00 -7.12% 2.29% 23.10 1.4235929
ETN Eaton Corp Machinery - Electrical 24,878.00 M 3,794.00 M 136,655,968.00 +19.15% 1.16% 29.45 1.2449279
EVRG Evergy Inc Utility - Electric Power 5,847.30 M 873.50 M 16,559,650.00 +21.56% 3.68% 18.23 3.3317064
FWONA Liberty Media Formula One Sr A Media Conglomerates 12,164.00 M 1,815.00 M 22,135,482.00 +28.44% 0.00% 36.23 1.5531232
GILD Gilead Sciences Inc Medical - Biomedical 28,754.00 M 480.00 M 146,874,336.00 +59.92% 2.64% 14.67 1.3600227
GLPI Gaming & Leisure REIT - Equity Trust Other 1,531.55 M 784.62 M 13,074,970.00 -5.27% 6.62% 12.18 3.0379470
GNTX Gentex Corp Auto - Truck Original Parts 2,313.31 M 404.49 M 5,998,634.00 -8.30% 1.76% 15.64 1.2114235
HPQ HP Inc Computer - Micro 53,559.00 M 2,775.00 M 25,116,160.00 -25.29% 4.28% 8.72 1.1322464
IEX Idex Corp Machinery - General Industrial 3,268.80 M 505.00 M 12,405,040.00 -16.69% 1.70% 21.16 1.3069135
K Kellanova Consumer Prdts - Misc Discr 12,749.00 M 1,343.00 M 27,879,578.00 -0.34% 2.89% 21.82 11.2861668
KEX Kirby Corp Transportation - Ship 3,265.88 M 286.71 M 5,384,700.00 -19.23% 0.00% 15.27 1.0936039
LEA Lear Corp Auto - Truck Original Parts 23,306.00 M 506.60 M 5,449,359.00 -9.07% 3.01% 8.54 1.1970780
LIN Linde Plc Chemical - Specialty 33,005.00 M 6,565.00 M 225,114,304.00 +4.75% 1.20% 29.05 2.1743128
LOW Lowe’s Companies Retail - Home Furniture 83,674.00 M 6,957.00 M 141,264,000.00 +4.04% 1.84% 20.60 2.0172576
MSCI MSCI Inc Finance - Investment Mgmt 2,856.13 M 1,109.13 M 43,093,848.00 -1.07% 1.54% 33.14 1.8026455
MSFT Microsoft Corp Computer - Software 281,724.00 M 101,832.00 M 3,866,510,400.00 +23.57% 0.62% 34.10 2.6474830
NFG National Fuel Gas Company Oil - US Integrated 1,944.81 M 77.51 M 7,893,295.00 +44.66% 2.38% 12.79 2.5267937
NVR NVR Inc Building - Residential & Comm 10,524.48 M 1,681.93 M 23,632,802.00 -5.97% 0.00% 20.17 1.4932511
OHI Omega Healthcare Investors REIT - Equity Trust Other 1,051.39 M 406.33 M 12,097,950.00 +8.90% 6.53% 14.05 2.5096660
PCAR Paccar Inc Auto - Domestic 33,663.80 M 4,162.00 M 51,575,620.00 +3.37% 4.67% 18.93 1.5112944
PEG Public Service Enterprise Group Inc Utility - Electric Power 10,290.00 M 1,772.00 M 42,581,504.00 +4.37% 2.88% 21.60 1.9907397
QGEN Qiagen N.V. Medical - Biomedical 1,978.21 M 83.59 M 10,970,060.00 +1.33% 0.51% 20.97 1.7096005
QSR Restaurant Brands International Retail - Restaurants 8,406.00 M 1,021.00 M 21,402,192.00 -7.02% 3.68% 17.84 1.7935762
ROP Roper Industries IT Services 7,039.20 M 1,549.30 M 56,996,676.00 -2.96% 0.61% 25.88 2.2294411
RPRX Royalty Pharma Plc Cl A Medical - Biomedical 2,263.58 M 858.98 M 20,437,422.00 +32.20% 2.97% 8.00 1.4792293
TTWO Take-Two Interactive Gaming 5,633.60 M -4,478.90 M 42,830,244.00 +55.10% 0.00% 200.48 1.5191101
USFD US Foods Holding Food - Misc & Diversified 37,877.00 M 494.00 M 17,191,882.00 +33.37% 0.00% 21.45 1.7702502
VNT Vontier Corp Technology Services 2,979.00 M 422.20 M 6,177,537.00 +24.27% 0.24% 13.67 1.3736569
VRSN Verisign Inc Internet Software Services 1,557.40 M 785.70 M 25,210,152.00 +48.81% 0.29% N/A 1.9445732
WEC Wisconsin Energy Corp Utility - Electric Power 8,599.90 M 1,528.40 M 34,555,532.00 +18.83% 3.27% 20.66 2.6177724
WTW Willis Towers Watson Public Ltd Insurance - Brokers 9,930.00 M -98.00 M 32,239,610.00 +17.53% 1.09% 19.68 1.8237371
XOM Exxon Mobil Corp Oil - International Integrated 349,585.00 M 33,680.00 M 453,993,152.00 -9.69% 4.61% 16.29 2.2756972

 

» 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 11.5% 11.9% 0.63 6.9% 0.58 -10.2% 1.13 0.86 0.54 74% 1.9% 0.22 55.2% 53.3% 0.1% 6.3% 0.01
BENCHMARK 17.6% 19.0% – 13.0% 0.69 -18.7% 0.94 – – – – – – – – – –
ACI -5.2% 26.3% 1.39 -9.8% -0.37 -15.6% 0.33 0.08 0.11 1% -3.7% -0.49 12.7% 17.6% -28.3% 35.8% -0.79
ADP 17.6% 18.9% 1 13.0% 0.69 -12.2% 1.44 0.62 0.62 38% 7.2% 0.29 61.3% 53.0% -1.4% 16.5% -0.08
AME 13.0% 22.8% 1.2 8.4% 0.37 -23.0% 0.56 0.67 0.81 45% 0.2% 0.16 72.1% 70.0% -8.2% 18.4% -0.44
AVB -9.7% 22.3% 1.18 -14.3% -0.64 -21.3% 0.45 0.55 0.65 30% -17.7% -0.15 47.8% 67.1% -26.8% 21.2% -1.26
AVT 1.2% 31.2% 1.64 -3.4% -0.11 -27.1% 0.04 0.68 1.11 46% -13.2% 0.01 90.8% 103.1% -23.5% 25.1% -0.94
BAC 24.8% 28.1% 1.48 20.2% 0.72 -27.5% 0.9 0.7 1.04 49% 7.8% 0.24 100.0% 90.4% -2.9% 21.7% -0.13
BG -13.7% 28.7% 1.51 -18.3% -0.64 -31.4% 0.44 0.3 0.45 9% -17.2% -0.31 2.9% 16.2% -35.4% 34.1% -1.04
CAG -33.9% 24.6% 1.3 -38.5% -1.56 -41.0% 0.83 0.07 0.09 0% -33.1% -3.7 -23.4% 17.1% -49.0% 33.6% -1.46
CBSH 6.2% 25.3% 1.34 1.6% 0.06 -21.1% 0.29 0.66 0.88 43% -6.5% 0.07 90.3% 98.8% -15.7% 21.0% -0.75
CHD -6.4% 20.6% 1.09 -11.0% -0.53 -19.4% 0.33 0.06 0.06 0% -5.6% -1 2.1% 7.9% -24.5% 28.3% -0.87
CMCSA -12.7% 28.0% 1.48 -17.3% -0.62 -28.5% 0.45 0.46 0.68 21% -19.8% -0.19 48.3% 70.0% -33.4% 29.2% -1.14
CME 35.9% 18.1% 0.95 31.3% 1.73 -8.0% 4.47 -0.06 -0.06 0% 40.0% -6.48 13.0% -22.7% 12.4% 26.3% 0.47
CNM 27.0% 39.2% 2.07 22.4% 0.57 -29.2% 0.92 0.51 1.06 26% 13.5% 0.26 133.3% 124.4% -12.3% 38.8% -0.32
CPRT -7.7% 26.4% 1.39 -12.3% -0.47 -29.0% 0.27 0.49 0.69 24% -15.7% -0.11 75.1% 96.6% -28.2% 26.6% -1.06
DCI 3.7% 22.7% 1.2 -1.0% -0.04 -23.8% 0.15 0.74 0.88 55% -9.4% 0.04 78.8% 88.4% -15.4% 16.3% -0.94
DDOG 12.3% 42.6% 2.25 7.6% 0.18 -48.4% 0.25 0.59 1.33 35% -3.5% 0.09 139.3% 144.8% -24.0% 38.5% -0.62
ECL 17.5% 19.0% 1 12.9% 0.68 -16.2% 1.09 0.59 0.6 35% 7.5% 0.3 79.4% 75.0% -1.6% 17.2% -0.09
EHC 36.6% 26.5% 1.4 32.0% 1.21 -12.5% 2.92 0.39 0.55 15% 28.3% 0.67 77.3% 52.7% 5.4% 29.2% 0.18
EQIX -5.2% 26.8% 1.41 -9.8% -0.37 -24.5% 0.21 0.53 0.74 28% -14.1% -0.07 60.3% 75.3% -26.4% 26.1% -1.01
ETN 20.7% 36.3% 1.92 16.1% 0.44 -34.5% 0.6 0.75 1.44 56% -0.4% 0.15 153.9% 156.5% -11.7% 25.7% -0.45
EVRG 26.7% 16.4% 0.87 22.1% 1.35 -8.0% 3.34 0.24 0.2 6% 24.1% 1.33 30.9% 7.8% 7.7% 20.3% 0.38
FWONA 28.4% 27.6% 1.45 23.8% 0.86 -25.7% 1.11 0.53 0.77 28% 16.2% 0.37 103.0% 90.8% -1.0% 26.7% -0.04
GILD 65.1% 27.3% 1.44 60.5% 2.21 -16.9% 3.86 0.29 0.41 8% 59.6% 1.59 72.5% 24.0% 25.3% 32.7% 0.77
GLPI 0.8% 17.6% 0.93 -3.9% -0.22 -10.4% 0.07 0.4 0.37 16% -4.3% 0.02 33.3% 37.6% -15.1% 19.4% -0.78
GNTX -6.5% 30.9% 1.63 -11.1% -0.36 -33.2% 0.2 0.39 0.64 15% -12.8% -0.1 72.5% 90.5% -31.0% 34.0% -0.91
HPQ -22.4% 36.6% 1.93 -27.0% -0.74 -43.3% 0.52 0.62 1.2 39% -33.3% -0.19 105.5% 150.1% -44.3% 31.8% -1.39
IEX -15.5% 29.5% 1.55 -20.1% -0.68 -32.5% 0.48 0.59 0.92 35% -25.4% -0.17 78.3% 109.9% -35.7% 26.5% -1.34
K 2.5% 4.5% 0.24 -2.1% -0.47 -5.4% 0.46 0.2 0.05 4% 1.8% 0.55 6.7% 5.1% -1.8% 5.7% -0.32
KEX -19.2% 36.8% 1.94 -23.8% -0.65 -33.1% 0.58 0.59 1.15 35% -29.7% -0.17 97.3% 135.1% -42.4% 33.3% -1.27
LEA -6.2% 34.9% 1.84 -10.8% -0.31 -34.4% 0.18 0.51 0.94 26% -16.0% -0.07 86.0% 104.8% -32.6% 34.5% -0.95
LIN 6.1% 18.4% 0.97 1.5% 0.08 -14.9% 0.41 0.67 0.65 45% -4.1% 0.09 60.1% 63.9% -10.5% 15.0% -0.7
LOW 6.1% 23.9% 1.26 1.4% 0.06 -24.8% 0.24 0.52 0.66 27% -3.1% 0.09 89.6% 98.5% -15.4% 23.4% -0.66
MSCI -0.2% 25.4% 1.34 -4.8% -0.19 -20.1% 0.01 0.62 0.83 38% -11.2% 0 71.5% 83.2% -21.0% 22.2% -0.95
MSFT 24.3% 24.8% 1.31 19.7% 0.79 -21.8% 1.11 0.74 0.97 55% 7.7% 0.25 98.5% 90.2% -0.4% 17.9% -0.02
NFG 49.0% 21.1% 1.11 44.4% 2.11 -8.7% 5.63 0.32 0.36 10% 43.4% 1.39 44.4% 3.9% 21.0% 24.6% 0.85
NVR -6.0% 27.1% 1.43 -10.6% -0.39 -32.5% 0.18 0.35 0.5 12% -11.0% -0.12 70.9% 89.1% -28.1% 30.9% -0.91
OHI 16.7% 20.5% 1.08 12.1% 0.59 -13.5% 1.23 0.17 0.19 3% 15.4% 0.9 19.3% 2.5% -5.3% 26.4% -0.2
PCAR 7.3% 28.6% 1.51 2.7% 0.09 -24.7% 0.3 0.59 0.89 35% -4.9% 0.08 91.7% 98.1% -17.6% 25.8% -0.68
PEG 7.6% 22.7% 1.19 3.0% 0.13 -17.2% 0.44 0.45 0.54 20% 0.2% 0.14 52.5% 52.0% -13.5% 23.8% -0.57
QGEN 1.9% 25.8% 1.36 -2.8% -0.11 -22.6% 0.08 0.44 0.59 19% -5.5% 0.03 51.3% 56.2% -20.6% 27.4% -0.75
QSR -3.6% 22.8% 1.2 -8.2% -0.36 -17.0% 0.21 0.37 0.44 13% -8.7% -0.08 46.3% 57.5% -23.0% 25.6% -0.9
ROP -2.4% 19.7% 1.04 -7.0% -0.35 -12.6% 0.19 0.66 0.69 44% -12.2% -0.03 63.4% 77.6% -18.6% 16.2% -1.15
RPRX 35.1% 23.7% 1.25 30.5% 1.28 -16.4% 2.14 0.22 0.27 5% 32.6% 1.31 49.8% 21.5% 6.1% 29.7% 0.21
TTWO 55.1% 30.1% 1.59 50.5% 1.67 -10.7% 5.14 0.41 0.66 17% 44.5% 0.85 80.0% 39.6% 15.5% 32.7% 0.48
USFD 33.4% 23.4% 1.23 28.8% 1.23 -16.4% 2.03 0.68 0.83 46% 18.1% 0.4 106.0% 91.3% 7.8% 18.8% 0.42
VNT 24.6% 31.0% 1.63 20.0% 0.65 -30.6% 0.81 0.72 1.18 52% 5.8% 0.21 117.6% 111.0% -5.2% 23.2% -0.22
VRSN 49.2% 24.8% 1.31 44.6% 1.8 -14.0% 3.51 0.35 0.46 12% 42.1% 1.09 70.5% 34.4% 16.8% 28.3% 0.6
WEC 21.9% 16.8% 0.89 17.3% 1.03 -9.5% 2.3 0.14 0.12 2% 21.1% 1.79 20.7% -0.1% 2.9% 22.1% 0.13
WTW 18.9% 20.6% 1.09 14.3% 0.69 -12.9% 1.46 0.34 0.38 12% 13.6% 0.51 35.0% 19.4% -2.9% 23.6% -0.12
XOM -7.3% 24.1% 1.27 -11.9% -0.49 -18.9% 0.39 0.42 0.54 18% -13.5% -0.14 29.6% 41.5% -26.6% 25.8% -1.03
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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