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BMO

Last updated Jan 9, 2025

Asset Allocation

AAPL 7.5%MSFT 6.5%AMZN 4%NVDA 3.5%ORCL 3.5%GOOGL 3%BRK-B 3%T 2.5%COST 2.5%LLY 2.5%UNH 2.5%DIS 2%NFLX 2%MAR 2%TJX 2%BAC 2%ABT 2%LMT 2%AMD 2%QCOM 2%SHOP 2%HD 1.5%LULU 1.5%CVX 1.5%XOM 1.5%BX 1.5%C 1.5%GS 1.5%V 1.5%GILD 1.5%JNJ 1.5%TMO 1.5%DAL 1.5%PH 1.5%UBER 1.5%CRM 1.5%PANW 1.5%FCX 1.5%PLD 1.5%NEE 1.5%NI 1.5%STZ 1%WMT 1%BLK 1%MS 1%RF 1%REGN 1%UNP 1%WM 1%SPG 1%EquityEquity
PositionCategory/SectorTarget Weight
AAPL
Apple Inc		Technology
7.50%
ABT
Abbott Laboratories		Healthcare
2%
AMD
Advanced Micro Devices, Inc.		Technology
2%
AMZN
Amazon.com, Inc.		Consumer Cyclical
4%
BAC
Bank of America Corporation		Financial Services
2%
BLK
BlackRock, Inc.		Financial Services
1%
BRK-B
Berkshire Hathaway Inc.		Financial Services
3%
BX
The Blackstone Group Inc.		Financial Services
1.50%
C
Citigroup Inc.		Financial Services
1.50%
COST
Costco Wholesale Corporation		Consumer Defensive
2.50%
CRM
salesforce.com, inc.		Technology
1.50%
CVX
Chevron Corporation		Energy
1.50%
DAL
Delta Air Lines, Inc.		Industrials
1.50%
DIS
The Walt Disney Company		Communication Services
2%
FCX
Freeport-McMoRan Inc.		Basic Materials
1.50%
GILD
Gilead Sciences, Inc.		Healthcare
1.50%
GOOGL
Alphabet Inc.		Communication Services
3%
GS
The Goldman Sachs Group, Inc.		Financial Services
1.50%
HD
The Home Depot, Inc.		Consumer Cyclical
1.50%
JNJ
Johnson & Johnson		Healthcare
1.50%
LLY
2.50%
LMT
2%
LULU
1.50%
MAR
2%
MS
1%
MSFT
6.50%
NEE
1.50%
NFLX
2%
NI
1.50%
NVDA
3.50%
ORCL
3.50%
PANW
1.50%
PH
1.50%
PLD
1.50%
QCOM
2%
REGN
1%
RF
1%
SHOP
2%
SPG
1%
STZ
1%
T
2.50%
TJX
2%
TMO
1.50%
UBER
1.50%
UNH
2.50%
UNP
1%
V
1.50%
WM
1%
WMT
1%
XOM
1.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in BMO, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced every 3 months.

-15.00%-10.00%-5.00%0.00%5.00%10.00%AugustSeptemberOctoberNovemberDecember2025
3.52%
5.04%
BMO
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 22, 2007, corresponding to the inception date of BX

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
N/AN/AN/AN/AN/AN/A
BMO1.37%-2.64%3.52%46.10%26.56%N/A
Portfolio components:
GOOGL
Alphabet Inc.		2.46%10.59%1.70%38.10%22.27%22.81%
DIS
The Walt Disney Company		-1.43%-3.81%13.69%23.51%-5.15%2.38%
NFLX
-1.83%-4.23%29.12%81.50%21.68%N/A
T
-2.59%-5.09%19.87%36.72%0.85%N/A
AMZN
Amazon.com, Inc.		1.25%-1.75%11.18%46.75%18.79%31.14%
HD
The Home Depot, Inc.		-0.46%-9.78%13.78%14.59%14.31%16.68%
LULU
2.75%-2.93%36.39%-19.10%10.88%N/A
MAR
-1.94%-4.68%13.36%21.98%14.22%N/A
TJX
0.70%-3.38%8.39%32.50%15.87%N/A
COST
Costco Wholesale Corporation		1.21%-6.12%5.16%39.81%27.79%23.14%
STZ
-0.78%-10.25%-12.62%-12.12%4.64%N/A
WMT
1.60%-1.95%31.04%74.94%20.67%N/A
CVX
Chevron Corporation		3.77%-4.32%-1.03%7.60%10.06%7.86%
XOM
-0.59%-5.29%-2.90%10.94%14.59%N/A
BAC
Bank of America Corporation		5.14%0.65%12.05%40.90%8.57%12.89%
BLK
BlackRock, Inc.		-3.81%-5.76%22.76%27.08%16.94%13.82%
BRK-B
Berkshire Hathaway Inc.		-0.32%-2.59%9.20%23.15%14.85%11.72%
BX
The Blackstone Group Inc.		0.90%-6.14%41.54%47.46%29.25%24.11%
C
Citigroup Inc.		4.08%1.95%11.41%42.09%2.28%6.56%
GS
The Goldman Sachs Group, Inc.		1.29%-2.37%22.44%54.81%22.12%14.23%
MS
1.70%-0.56%25.68%43.95%23.63%N/A
RF
1.28%-7.42%20.38%30.40%12.35%N/A
V
-1.09%1.39%19.33%19.62%10.85%N/A
ABT
Abbott Laboratories		1.01%-0.57%11.99%3.38%7.90%11.85%
GILD
Gilead Sciences, Inc.		-3.50%-0.77%31.97%7.81%10.99%2.02%
JNJ
Johnson & Johnson		-1.62%-4.90%-3.30%-9.19%2.42%5.99%
LLY
1.97%-2.04%-15.98%26.68%43.67%N/A
REGN
2.98%-6.90%-31.51%-18.73%14.02%N/A
TMO
4.75%1.51%1.64%0.84%10.94%N/A
UNH
3.69%-6.44%5.48%-1.05%13.90%N/A
DAL
Delta Air Lines, Inc.		1.52%-1.35%31.92%46.69%1.18%3.99%
LMT
-3.52%-8.07%2.91%5.44%5.33%N/A
PH
0.86%-6.49%23.25%41.78%27.59%N/A
UBER
7.61%-1.26%-6.29%7.65%13.85%N/A
UNP
1.66%-0.74%4.45%-0.19%7.79%N/A
WM
2.37%-5.01%-1.49%17.57%14.12%N/A
AAPL
Apple Inc		-3.08%-1.64%4.41%31.73%26.50%25.60%
AMD
Advanced Micro Devices, Inc.		0.87%-6.90%-33.77%-18.37%20.47%46.86%
CRM
salesforce.com, inc.		-2.22%-6.91%29.77%25.78%12.82%18.95%
MSFT
0.73%-4.81%-8.59%13.82%22.51%N/A
NVDA
4.33%0.94%3.87%163.72%87.65%N/A
ORCL
-2.10%-14.34%15.41%59.35%26.46%N/A
PANW
-5.02%-11.13%2.55%15.06%34.37%N/A
QCOM
3.55%-1.03%-23.02%15.96%14.56%N/A
SHOP
1.23%-6.64%64.06%34.37%20.26%N/A
FCX
Freeport-McMoRan Inc.		4.36%-9.12%-22.51%-3.50%26.71%6.62%
PLD
-0.19%-7.80%-8.00%-18.14%6.12%N/A
SPG
1.44%-4.07%20.55%29.19%9.96%N/A
NEE
-1.44%-5.41%-1.79%17.27%5.49%N/A
NI
-0.84%-0.44%26.80%39.18%9.47%N/A
*Annualized

Monthly Returns

The table below presents the monthly returns of BMO, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.81%8.65%4.42%-4.10%10.19%6.86%-1.82%3.59%2.18%1.07%5.79%-3.21%45.78%
20239.75%-0.89%7.16%1.55%6.53%7.34%3.92%0.02%-6.18%-2.12%11.98%4.93%51.81%
2022-8.24%-2.09%3.94%-12.51%-0.49%-9.47%11.49%-5.11%-10.03%9.75%6.92%-8.06%-24.42%
2021-0.13%2.14%1.07%6.62%1.03%5.51%3.47%4.63%-5.25%10.34%4.77%0.82%40.10%
20201.99%-6.75%-9.42%14.59%6.21%4.83%7.24%10.34%-4.53%-3.86%12.01%4.18%39.30%
2019-5.74%8.66%1.77%-1.48%0.69%4.02%5.02%4.31%17.82%

Expense Ratio

BMO has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 75, BMO is among the top 25% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of BMO is 7575
Overall Rank
The Sharpe Ratio Rank of BMO is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of BMO is 7878
Sortino Ratio Rank
The Omega Ratio Rank of BMO is 7676
Omega Ratio Rank
The Calmar Ratio Rank of BMO is 7272
Calmar Ratio Rank
The Martin Ratio Rank of BMO is 7171
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Sharpe ratio
The chart of Sharpe ratio for BMO, currently valued at 2.25, compared to the broader market-1.000.001.002.003.004.002.25
The chart of Sortino ratio for BMO, currently valued at 2.96, compared to the broader market0.002.004.002.96
The chart of Omega ratio for BMO, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.39
The chart of Calmar ratio for BMO, currently valued at 3.22, compared to the broader market0.002.004.006.008.0010.003.22
The chart of Martin ratio for BMO, currently valued at 12.50, compared to the broader market0.0010.0020.0030.0012.50
BMO
^GSPC
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GOOGL
Alphabet Inc.		1.431.991.271.824.40
DIS
The Walt Disney Company		0.811.331.190.371.28
NFLX
2.733.661.482.6119.13
T
1.792.581.321.2910.31
AMZN
Amazon.com, Inc.		1.752.371.312.518.15
HD
The Home Depot, Inc.		0.691.071.130.791.65
LULU
-0.51-0.510.93-0.37-0.61
MAR
0.991.441.191.173.16
TJX
1.952.811.363.8110.20
COST
Costco Wholesale Corporation		2.192.761.393.999.75
STZ
-0.56-0.660.92-0.58-1.28
WMT
4.316.301.8113.0841.82
CVX
Chevron Corporation		0.250.471.060.230.75
XOM
0.500.831.100.511.73
BAC
Bank of America Corporation		1.712.571.311.206.86
BLK
BlackRock, Inc.		1.482.071.251.506.22
BRK-B
Berkshire Hathaway Inc.		1.582.271.293.006.80
BX
The Blackstone Group Inc.		1.612.211.273.038.14
C
Citigroup Inc.		1.552.221.281.397.40
GS
The Goldman Sachs Group, Inc.		2.053.011.405.3718.28
MS
1.592.301.322.378.99
RF
1.061.681.211.174.62
V
1.191.641.231.604.06
ABT
Abbott Laboratories		0.210.431.050.140.45
GILD
Gilead Sciences, Inc.		0.420.761.100.390.72
JNJ
Johnson & Johnson		-0.60-0.780.91-0.51-1.38
LLY
0.881.421.181.102.91
REGN
-0.86-1.060.86-0.45-1.09
TMO
0.050.211.020.040.12
UNH
-0.030.151.02-0.03-0.09
DAL
Delta Air Lines, Inc.		1.512.211.271.224.69
LMT
0.280.511.070.200.62
PH
1.592.521.333.659.02
UBER
0.250.681.080.330.68
UNP
-0.080.021.00-0.10-0.23
WM
0.971.371.221.473.57
AAPL
Apple Inc		1.402.061.261.894.95
AMD
Advanced Micro Devices, Inc.		-0.35-0.200.98-0.38-0.64
CRM
salesforce.com, inc.		0.731.121.190.841.94
MSFT
0.711.021.140.912.03
NVDA
3.193.451.436.2219.03
ORCL
1.792.921.373.2310.33
PANW
0.450.801.140.641.32
QCOM
0.440.841.110.500.89
SHOP
0.731.341.190.561.93
FCX
Freeport-McMoRan Inc.		-0.130.051.01-0.15-0.31
PLD
-0.76-0.940.89-0.48-1.49
SPG
1.371.961.242.797.63
NEE
0.610.951.120.412.12
NI
2.433.211.422.2013.68

The current BMO Sharpe ratio is 2.25. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.37 to 2.13, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of BMO with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.502.002.503.003.504.00AugustSeptemberOctoberNovemberDecember2025
2.25
1.92
BMO
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BMO provided a 1.30% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.30%1.33%1.49%1.49%1.28%1.55%1.51%1.84%1.60%1.64%1.92%1.53%
Portfolio components:
GOOGL
Alphabet Inc.		0.31%0.32%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DIS
The Walt Disney Company		0.87%0.85%0.33%0.00%0.00%0.00%1.22%1.57%1.51%1.43%1.30%1.22%
NFLX
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
T
3.75%4.87%6.62%6.66%8.45%7.23%5.22%7.01%5.04%4.51%5.46%5.48%
AMZN
Amazon.com, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HD
The Home Depot, Inc.		2.32%2.31%2.41%2.41%1.59%2.26%2.49%2.40%1.88%2.06%1.78%1.79%
LULU
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MAR
0.88%0.86%0.87%0.67%0.00%0.36%1.22%1.44%0.95%1.39%1.42%0.99%
TJX
1.20%1.21%1.38%1.44%1.37%0.34%1.45%1.66%1.57%1.32%1.14%0.98%
COST
Costco Wholesale Corporation		0.49%0.49%2.87%0.76%0.54%3.38%0.86%1.08%4.81%1.09%4.06%0.97%
STZ
1.79%1.77%1.44%1.36%1.21%1.37%1.58%1.70%0.86%0.98%0.65%0.00%
WMT
0.91%0.92%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%
CVX
Chevron Corporation		4.34%4.50%4.05%3.16%4.52%6.11%3.95%4.12%3.45%3.64%4.76%3.75%
XOM
3.59%3.57%3.68%3.22%5.70%8.44%4.92%4.74%3.66%3.30%3.69%2.92%
BAC
Bank of America Corporation		2.16%2.28%2.73%2.60%1.75%2.38%1.87%2.19%1.32%1.13%1.19%0.67%
BLK
BlackRock, Inc.		2.07%1.99%2.46%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%
BRK-B
Berkshire Hathaway Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BX
The Blackstone Group Inc.		1.98%2.00%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.68%
C
Citigroup Inc.		2.98%3.10%4.04%4.51%3.38%3.31%2.40%2.96%1.29%0.71%0.31%0.07%
GS
The Goldman Sachs Group, Inc.		1.98%2.01%2.72%2.62%1.70%1.90%1.80%1.89%1.14%1.09%1.41%1.16%
MS
2.78%2.82%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%
RF
4.11%4.17%4.54%3.43%2.98%3.85%3.44%3.44%1.82%1.78%2.40%1.70%
V
0.69%0.68%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%
ABT
Abbott Laboratories		1.93%1.95%1.85%1.71%1.28%1.32%1.47%1.55%1.86%2.71%2.14%1.95%
GILD
Gilead Sciences, Inc.		3.46%3.33%3.70%3.40%3.91%4.67%3.88%3.65%2.90%2.57%1.27%0.00%
JNJ
Johnson & Johnson		3.45%3.40%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%
LLY
0.66%0.67%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%
REGN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TMO
0.29%0.30%0.26%0.22%0.16%0.19%0.23%0.30%0.32%0.43%0.42%0.48%
UNH
1.56%1.62%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%
DAL
Delta Air Lines, Inc.		0.81%0.83%0.50%0.00%0.00%1.00%2.58%2.63%1.81%1.37%0.89%0.61%
LMT
2.72%2.62%2.68%2.34%2.98%2.76%2.31%3.13%2.32%2.71%2.83%2.85%
PH
0.99%1.00%1.25%1.73%1.25%1.29%1.65%1.97%1.32%1.80%2.60%1.61%
UBER
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UNP
2.28%2.32%2.12%2.45%1.70%1.86%2.05%2.21%1.85%2.17%2.81%1.60%
WM
1.45%1.49%1.56%1.66%1.38%1.85%1.80%2.09%1.97%2.31%2.89%2.92%
AAPL
Apple Inc		0.41%0.40%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%
AMD
Advanced Micro Devices, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CRM
salesforce.com, inc.		0.49%0.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSFT
0.73%0.73%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%
NVDA
0.02%0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
ORCL
0.98%0.96%1.44%1.57%1.38%1.48%1.72%1.68%1.52%1.56%1.56%1.07%
PANW
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QCOM
2.11%2.18%2.18%2.67%1.47%1.69%2.81%4.27%3.50%3.17%3.72%2.17%
SHOP
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FCX
Freeport-McMoRan Inc.		1.51%1.58%1.41%1.58%0.54%0.19%1.52%1.45%0.00%0.00%8.48%5.36%
PLD
3.64%3.63%2.61%2.80%1.50%2.33%2.38%3.27%2.73%3.18%3.54%3.07%
SPG
4.64%4.70%5.22%5.87%3.66%7.04%5.57%4.70%4.16%3.66%3.11%2.74%
NEE
2.92%2.87%3.08%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%
NI
2.91%2.88%3.77%3.43%3.19%3.66%2.87%3.08%2.73%2.89%2.64%2.40%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-15.00%-10.00%-5.00%0.00%AugustSeptemberOctoberNovemberDecember2025
-4.14%
-2.82%
BMO
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BMO. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the BMO was 31.74%, occurring on Mar 23, 2020. Recovery took 55 trading sessions.

The current BMO drawdown is 4.14%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.74%Feb 20, 202023Mar 23, 202055Jun 10, 202078
-31.34%Dec 28, 2021200Oct 12, 2022169Jun 15, 2023369
-14.52%Jul 11, 202418Aug 5, 202445Oct 8, 202463
-11.51%Sep 3, 202014Sep 23, 202047Nov 30, 202061
-9.97%Sep 5, 202339Oct 27, 202312Nov 14, 202351

Volatility

Volatility Chart

The current BMO volatility is 5.92%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

2.00%4.00%6.00%8.00%10.00%AugustSeptemberOctoberNovemberDecember2025
5.92%
4.46%
BMO
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
LLYLMTREGNGILDJNJWMTNIUNHNEEXOMTNFLXCVXUBERPANWSHOPWMSTZAMDABTDALTMOCOSTLULUFCXAMZNNVDASPGORCLPLDCRMMARTJXQCOMRFGOOGLAAPLUNPDISHDBACCMSFTVBXGSPHMSBRK-BBLK
LLY1.000.200.360.270.390.250.250.330.250.140.190.210.150.130.200.160.340.190.200.340.090.280.300.200.140.240.240.170.320.280.250.110.200.190.090.260.280.190.150.250.130.150.330.260.210.190.210.160.260.23
LMT0.201.000.170.250.330.260.400.310.300.350.330.040.360.090.120.040.440.290.050.250.220.200.240.140.210.060.050.240.230.270.140.230.280.110.290.130.180.340.250.270.290.270.150.320.210.280.320.290.440.30
REGN0.360.171.000.420.330.220.170.270.220.120.160.250.140.170.250.250.230.200.260.370.100.370.280.270.200.280.280.160.250.290.280.120.200.290.140.300.310.230.160.290.170.180.350.290.260.180.210.190.270.29
GILD0.270.250.421.000.430.270.250.280.240.200.320.180.210.110.120.130.290.280.140.390.150.330.240.200.180.190.130.210.240.270.190.160.260.210.230.230.250.250.200.290.260.230.250.260.260.250.230.270.320.31
JNJ0.390.330.330.431.000.330.370.410.350.190.360.120.220.090.080.070.390.280.100.490.110.360.280.150.170.130.060.210.250.350.150.140.250.150.210.210.230.360.220.310.250.220.240.330.220.260.230.260.440.32
WMT0.250.260.220.270.331.000.300.270.310.160.250.230.180.090.200.190.370.300.190.300.140.280.580.250.160.280.210.210.300.300.220.160.320.190.160.260.290.270.240.390.210.190.320.280.200.220.240.200.350.31
NI0.250.400.170.250.370.301.000.310.610.230.420.050.240.090.110.070.460.370.030.310.230.250.250.140.170.100.050.370.230.470.140.200.280.090.300.180.170.380.290.340.280.270.160.290.290.280.270.280.390.32
UNH0.330.310.270.280.410.270.311.000.280.240.270.160.280.120.180.090.400.280.160.360.170.320.290.210.230.160.170.210.260.300.190.240.320.200.260.260.270.360.230.320.300.270.280.330.270.290.300.300.410.34
NEE0.250.300.220.240.350.310.610.281.000.160.300.180.190.170.210.230.450.350.170.390.170.350.330.240.190.230.180.300.210.500.240.140.250.190.200.270.290.330.280.370.200.200.300.310.340.230.240.240.340.35
XOM0.140.350.120.200.190.160.230.240.161.000.350.090.870.190.110.050.230.290.130.120.330.120.130.180.520.110.140.390.210.190.160.390.310.260.520.200.200.400.350.230.520.520.120.300.290.480.480.500.490.36
T0.190.330.160.320.360.250.420.270.300.351.000.120.350.160.120.110.340.330.090.300.330.240.190.150.300.120.060.380.270.310.160.300.310.180.420.190.200.370.400.330.460.440.140.320.300.420.350.410.480.37
NFLX0.210.040.250.180.120.230.050.160.180.090.121.000.100.380.420.520.150.160.470.260.230.330.390.420.250.580.520.190.380.260.510.250.280.430.160.490.500.190.380.320.190.210.540.360.370.250.270.260.240.38
CVX0.150.360.140.210.220.180.240.280.190.870.350.101.000.210.140.080.260.290.180.160.330.160.160.210.520.130.180.400.230.220.170.390.330.270.520.240.220.440.360.260.530.530.170.320.330.490.490.510.500.38
UBER0.130.090.170.110.090.090.090.120.170.190.160.380.211.000.380.490.130.240.400.250.430.270.230.380.340.420.430.330.290.260.440.410.350.390.340.400.340.290.440.310.330.380.380.370.390.380.370.370.300.38
PANW0.200.120.250.120.080.200.110.180.210.110.120.420.140.381.000.520.180.200.440.280.230.340.380.430.240.500.510.210.400.280.540.300.270.420.210.460.460.240.360.310.220.240.510.370.430.280.310.280.240.37
SHOP0.160.040.250.130.070.190.070.090.230.050.110.520.080.490.521.000.140.180.530.330.250.360.340.470.270.590.540.230.320.330.590.260.260.450.200.480.470.180.370.360.230.240.530.380.460.290.300.300.200.41
WM0.340.440.230.290.390.370.460.400.450.230.340.150.260.130.180.141.000.360.150.410.210.360.400.240.200.180.150.310.320.450.240.270.370.200.280.240.290.430.290.420.300.270.310.410.300.310.360.310.460.38
STZ0.190.290.200.280.280.300.370.280.350.290.330.160.290.240.200.180.361.000.200.300.360.290.310.280.310.260.240.410.320.400.240.340.410.280.370.270.300.380.350.370.370.360.300.380.350.380.400.380.440.40
AMD0.200.050.260.140.100.190.030.160.170.130.090.470.180.400.440.530.150.201.000.280.270.360.400.440.340.560.730.230.400.310.510.340.280.630.270.530.520.250.340.360.270.300.590.400.410.340.370.350.280.42
ABT0.340.250.370.390.490.300.310.360.390.120.300.260.160.250.280.330.410.300.281.000.200.610.390.330.220.310.300.230.340.470.390.230.290.330.230.360.370.370.300.400.290.260.430.450.380.310.310.330.410.44
DAL0.090.220.100.150.110.140.230.170.170.330.330.230.330.430.230.250.210.360.270.201.000.180.200.310.430.290.290.560.280.280.300.630.490.350.580.300.290.410.530.330.570.600.260.390.440.540.540.550.480.48
TMO0.280.200.370.330.360.280.250.320.350.120.240.330.160.270.340.360.360.290.360.610.181.000.410.420.310.370.390.200.380.460.420.220.260.410.250.410.440.380.310.430.270.290.480.420.410.320.360.340.370.48
COST0.300.240.280.240.280.580.250.290.330.130.190.390.160.230.380.340.400.310.400.390.200.411.000.410.220.470.450.260.410.420.410.270.400.430.190.450.480.320.290.490.240.230.530.430.400.300.330.290.370.43
LULU0.200.140.270.200.150.250.140.210.240.180.150.420.210.380.430.470.240.280.440.330.310.420.411.000.330.500.480.300.370.360.500.350.420.440.280.450.470.330.420.480.280.290.500.450.460.350.390.360.320.44
FCX0.140.210.200.180.170.160.170.230.190.520.300.250.520.340.240.270.200.310.340.220.430.310.220.331.000.320.370.400.310.280.300.470.380.440.500.380.340.450.410.340.510.530.330.370.410.530.550.540.470.49
AMZN0.240.060.280.190.130.280.100.160.230.110.120.580.130.420.500.590.180.260.560.310.290.370.470.500.321.000.600.240.450.330.590.340.330.530.210.670.610.240.410.400.250.270.700.430.460.330.330.320.300.44
NVDA0.240.050.280.130.060.210.050.170.180.140.060.520.180.430.510.540.150.240.730.300.290.390.450.480.370.601.000.240.460.300.560.340.320.660.270.570.570.280.370.390.290.320.660.410.460.370.410.390.310.48
SPG0.170.240.160.210.210.210.370.210.300.390.380.190.400.330.210.230.310.410.230.230.560.200.260.300.400.240.241.000.310.490.280.520.500.330.570.290.300.440.450.430.540.540.250.360.470.540.520.520.490.48
ORCL0.320.230.250.240.250.300.230.260.210.210.270.380.230.290.400.320.320.320.400.340.280.380.410.370.310.450.460.311.000.350.460.370.380.430.320.460.470.350.370.400.350.360.550.440.420.410.410.400.440.46
PLD0.280.270.290.270.350.300.470.300.500.190.310.260.220.260.280.330.450.400.310.470.280.460.420.360.280.330.300.490.351.000.350.290.350.330.340.360.400.450.340.500.330.320.410.430.460.370.390.370.410.48
CRM0.250.140.280.190.150.220.140.190.240.160.160.510.170.440.540.590.240.240.510.390.300.420.410.500.300.590.560.280.460.351.000.330.320.490.260.550.520.300.410.380.270.300.630.490.480.340.380.350.320.49
MAR0.110.230.120.160.140.160.200.240.140.390.300.250.390.410.300.260.270.340.340.230.630.220.270.350.470.340.340.520.370.290.331.000.520.430.550.400.360.450.550.380.540.560.370.470.460.540.570.540.520.49
TJX0.200.280.200.260.250.320.280.320.250.310.310.280.330.350.270.260.370.410.280.290.490.260.400.420.380.330.320.500.380.350.320.521.000.370.470.370.360.440.490.520.470.440.370.470.430.490.510.490.490.50
QCOM0.190.110.290.210.150.190.090.200.190.260.180.430.270.390.420.450.200.280.630.330.350.410.430.440.440.530.660.330.430.330.490.430.371.000.400.540.600.350.420.430.380.410.600.440.470.440.480.450.370.51
RF0.090.290.140.230.210.160.300.260.200.520.420.160.520.340.210.200.280.370.270.230.580.250.190.280.500.210.270.570.320.340.260.550.470.401.000.280.280.540.480.410.840.770.240.370.490.730.640.740.640.57
GOOGL0.260.130.300.230.210.260.180.260.270.200.190.490.240.400.460.480.240.270.530.360.300.410.450.450.380.670.570.290.460.360.550.400.370.540.281.000.630.340.440.390.330.350.730.520.480.390.400.390.400.50
AAPL0.280.180.310.250.230.290.170.270.290.200.200.500.220.340.460.470.290.300.520.370.290.440.480.470.340.610.570.300.470.400.520.360.360.600.280.631.000.360.390.440.300.320.690.480.450.380.410.390.410.49
UNP0.190.340.230.250.360.270.380.360.330.400.370.190.440.290.240.180.430.380.250.370.410.380.320.330.450.240.280.440.350.450.300.450.440.350.540.340.361.000.430.480.540.520.360.470.460.530.600.560.600.58
DIS0.150.250.160.200.220.240.290.230.280.350.400.380.360.440.360.370.290.350.340.300.530.310.290.420.410.410.370.450.370.340.410.550.490.420.480.440.390.431.000.430.510.530.420.500.500.530.510.530.510.52
HD0.250.270.290.290.310.390.340.320.370.230.330.320.260.310.310.360.420.370.360.400.330.430.490.480.340.400.390.430.400.500.380.380.520.430.410.390.440.480.431.000.400.390.460.450.500.460.510.450.460.55
BAC0.130.290.170.260.250.210.280.300.200.520.460.190.530.330.220.230.300.370.270.290.570.270.240.280.510.250.290.540.350.330.270.540.470.380.840.330.300.540.510.401.000.850.280.420.480.780.630.780.690.62
C0.150.270.180.230.220.190.270.270.200.520.440.210.530.380.240.240.270.360.300.260.600.290.230.290.530.270.320.540.360.320.300.560.440.410.770.350.320.520.530.390.851.000.310.430.490.780.630.770.650.61
MSFT0.330.150.350.250.240.320.160.280.300.120.140.540.170.380.510.530.310.300.590.430.260.480.530.500.330.700.660.250.550.410.630.370.370.600.240.730.690.360.420.460.280.311.000.550.500.350.400.370.380.52
V0.260.320.290.260.330.280.290.330.310.300.320.360.320.370.370.380.410.380.400.450.390.420.430.450.370.430.410.360.440.430.490.470.470.440.370.520.480.470.500.450.420.430.551.000.490.460.480.470.540.54
BX0.210.210.260.260.220.200.290.270.340.290.300.370.330.390.430.460.300.350.410.380.440.410.400.460.410.460.460.470.420.460.480.460.430.470.490.480.450.460.500.500.480.490.500.491.000.540.540.570.460.64
GS0.190.280.180.250.260.220.280.290.230.480.420.250.490.380.280.290.310.380.340.310.540.320.300.350.530.330.370.540.410.370.340.540.490.440.730.390.380.530.530.460.780.780.350.460.541.000.640.850.650.65
PH0.210.320.210.230.230.240.270.300.240.480.350.270.490.370.310.300.360.400.370.310.540.360.330.390.550.330.410.520.410.390.380.570.510.480.640.400.410.600.510.510.630.630.400.480.540.641.000.650.610.62
MS0.160.290.190.270.260.200.280.300.240.500.410.260.510.370.280.300.310.380.350.330.550.340.290.360.540.320.390.520.400.370.350.540.490.450.740.390.390.560.530.450.780.770.370.470.570.850.651.000.650.68
BRK-B0.260.440.270.320.440.350.390.410.340.490.480.240.500.300.240.200.460.440.280.410.480.370.370.320.470.300.310.490.440.410.320.520.490.370.640.400.410.600.510.460.690.650.380.540.460.650.610.651.000.63
BLK0.230.300.290.310.320.310.320.340.350.360.370.380.380.380.370.410.380.400.420.440.480.480.430.440.490.440.480.480.460.480.490.490.500.510.570.500.490.580.520.550.620.610.520.540.640.650.620.680.631.00
The correlation results are calculated based on daily price changes starting from May 13, 2019
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Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio

DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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