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PJM

Last updated Apr 7, 2025

Asset Allocation

ABT 1.33%ADBE 1.33%A 1.33%GOOG 1.33%AMZN 1.33%AEE 1.33%ADM 1.33%ADSK 1.33%ADP 1.33%BDX 1.33%BMY 1.33%CNC 1.33%CHD 1.33%CME 1.33%KO 1.33%CTSH 1.33%CL 1.33%CMCSA 1.33%COP 1.33%STZ 1.33%COO 1.33%CSGP 1.33%CSX 1.33%CVS 1.33%DHR 1.33%ELV 1.33%EOG 1.33%ERIE 1.33%FDX 1.33%FTV 1.33%HSY 1.33%HUM 1.33%IDXX 1.33%ITW 1.33%JNJ 1.33%KDP 1.33%KMB 1.33%KHC 1.33%LOW 1.33%MMC 1.33%MCD 1.33%MCHP 1.33%MSFT 1.33%MDLZ 1.33%MPWR 1.33%MNST 1.33%NEE 1.33%NKE 1.33%PYPL 1.33%PEP 1.33%PPG 1.33%QCOM 1.33%RMD 1.33%ROK 1.33%ROL 1.33%ROP 1.33%ROST 1.33%SRE 1.33%STLD 1.33%SYY 1.33%TMUS 1.33%TGT 1.33%TDY 1.33%TMO 1.33%UPS 1.33%UNH 1.33%VEEV 1.33%V 1.33%WM 1.33%WST 1.33%WTW 1.33%WDAY 1.33%XYL 1.33%ZBH 1.33%ZTS 1.33%EquityEquity
PositionCategory/SectorTarget Weight
A
Agilent Technologies, Inc.		Healthcare
1.33%
ABT
Abbott Laboratories		Healthcare
1.33%
ADBE
Adobe Inc		Technology
1.33%
ADM
Archer-Daniels-Midland Company		Consumer Defensive
1.33%
ADP
Automatic Data Processing, Inc.		Industrials
1.33%
ADSK
Autodesk, Inc.		Technology
1.33%
AEE
Ameren Corporation		Utilities
1.33%
AMZN
Amazon.com, Inc.		Consumer Cyclical
1.33%
BDX
Becton, Dickinson and Company		Healthcare
1.33%
BMY
Bristol-Myers Squibb Company		Healthcare
1.33%
CHD
Church & Dwight Co., Inc.		Consumer Defensive
1.33%
CL
Colgate-Palmolive Company		Consumer Defensive
1.33%
CMCSA
Comcast Corporation		Communication Services
1.33%
CME
CME Group Inc.		Financial Services
1.33%
CNC
Centene Corporation		Healthcare
1.33%
COO
The Cooper Companies, Inc.		Healthcare
1.33%
COP
ConocoPhillips Company		Energy
1.33%
CSGP
CoStar Group, Inc.		Real Estate
1.33%
CSX
CSX Corporation		Industrials
1.33%
CTSH
1.33%
CVS
1.33%
DHR
1.33%
ELV
1.33%
EOG
1.33%
ERIE
1.33%
FDX
1.33%
FTV
1.33%
GOOG
1.33%
HSY
1.33%
HUM
1.33%
IDXX
1.33%
ITW
1.33%
JNJ
1.33%
KDP
1.33%
KHC
1.33%
KMB
1.33%
KO
1.33%
LOW
1.33%
MCD
1.33%
MCHP
1.33%
MDLZ
1.33%
MMC
1.33%
MNST
1.33%
MPWR
1.33%
MSFT
1.33%
NEE
1.33%
NKE
1.33%
PEP
1.33%
PPG
1.33%
PYPL
1.33%
QCOM
1.33%
RMD
1.33%
ROK
1.33%
ROL
1.33%
ROP
1.33%
ROST
1.33%
SRE
1.33%
STLD
1.33%
STZ
1.33%
SYY
1.33%
TDY
1.33%
TGT
1.33%
TMO
1.33%
TMUS
1.33%
UNH
1.33%
UPS
1.33%
V
1.33%
VEEV
1.33%
WDAY
1.33%
WM
1.33%
WST
1.33%
WTW
1.33%
XYL
1.33%
ZBH
1.33%
ZTS
1.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in PJM, 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.

140.00%160.00%180.00%200.00%220.00%NovemberDecember2025FebruaryMarchApril
180.18%
141.28%
PJM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 6, 2002, corresponding to the inception date of CME

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-13.73%-12.06%-11.77%-2.50%13.85%9.30%
PJM-8.21%-10.26%-13.90%-10.08%10.74%N/A
Portfolio components:
ABT
Abbott Laboratories		10.59%-9.26%11.58%14.19%10.69%12.38%
ADBE
Adobe Inc		-21.50%-22.33%-31.18%-28.04%2.48%16.47%
A
Agilent Technologies, Inc.		-23.17%-18.53%-28.67%-28.00%7.58%10.19%
GOOG
-22.33%-15.84%-12.15%-3.57%20.20%N/A
AMZN
Amazon.com, Inc.		-22.06%-14.18%-8.32%-7.60%11.24%24.53%
AEE
Ameren Corporation		8.23%-2.14%10.77%36.01%9.15%12.07%
ADM
Archer-Daniels-Midland Company		-13.29%-12.38%-25.35%-29.15%6.70%1.91%
ADSK
Autodesk, Inc.		-16.94%-5.48%-9.46%0.31%10.58%14.65%
ADP
Automatic Data Processing, Inc.		-1.73%-6.13%1.40%19.37%18.40%15.21%
BDX
Becton, Dickinson and Company		-8.19%-9.26%-12.15%-14.30%-0.75%5.63%
BMY
Bristol-Myers Squibb Company		-0.08%-8.50%4.74%13.05%3.15%1.85%
CNC
Centene Corporation		2.23%3.17%-14.08%-14.91%0.59%5.80%
CHD
Church & Dwight Co., Inc.		1.60%-5.56%5.56%5.15%10.94%10.96%
CME
CME Group Inc.		10.11%-0.04%17.34%26.13%12.07%15.45%
KO
13.15%-1.38%1.15%21.02%11.92%N/A
CTSH
-10.30%-17.41%-10.23%-1.84%9.19%N/A
CL
Colgate-Palmolive Company		1.40%-5.25%-6.46%6.57%8.36%5.18%
CMCSA
Comcast Corporation		-9.50%-10.39%-17.54%-15.65%0.60%3.46%
COP
ConocoPhillips Company		-12.28%-4.79%-23.52%-33.73%25.54%5.84%
STZ
-20.86%-6.65%-28.80%-33.34%4.65%N/A
COO
The Cooper Companies, Inc.		-19.75%-13.21%-30.35%-25.18%0.18%4.71%
CSGP
CoStar Group, Inc.		1.44%-8.53%-2.00%-23.36%4.27%13.79%
CSX
CSX Corporation		-15.34%-12.96%-20.53%-23.95%7.36%10.96%
CVS
43.62%-4.03%0.93%-10.75%5.57%N/A
DHR
-20.69%-14.16%-32.50%-25.24%8.66%N/A
ELV
16.75%5.18%-12.12%-14.25%15.35%N/A
EOG
-9.17%-11.74%-15.76%-16.37%27.54%N/A
ERIE
-3.47%-11.23%-26.53%0.23%21.32%N/A
FDX
-24.90%-16.80%-18.60%-21.57%14.68%N/A
FTV
-14.41%-16.28%-16.45%-23.58%6.04%N/A
HSY
-3.38%-12.33%-14.01%-13.68%5.18%N/A
HUM
0.35%-1.99%6.44%-17.98%-3.78%N/A
IDXX
-4.77%-8.46%-17.57%-24.22%9.39%N/A
ITW
-10.49%-17.32%-11.65%-12.16%10.73%N/A
JNJ
6.81%-8.07%-2.86%3.78%5.12%N/A
KDP
6.75%2.10%-5.78%12.83%7.97%N/A
KMB
6.18%-4.75%-0.36%13.07%4.56%N/A
KHC
-2.10%-7.77%-11.98%-15.93%6.90%N/A
LOW
-9.13%-7.98%-15.89%-4.98%21.92%N/A
MMC
9.14%-1.92%4.35%13.61%23.24%N/A
MCD
4.12%-6.59%-0.03%15.28%13.96%N/A
MCHP
-36.37%-39.40%-52.70%-57.61%1.52%N/A
MSFT
-14.46%-8.51%-13.17%-14.79%18.18%N/A
MDLZ
11.79%-1.43%-5.88%0.26%7.60%N/A
MPWR
-19.10%-19.79%-48.73%-26.48%24.38%N/A
MNST
8.60%3.65%12.03%2.11%14.39%N/A
NEE
-5.90%-8.13%-19.01%7.19%5.75%N/A
NKE
-23.96%-27.15%-29.69%-34.35%-6.32%N/A
PYPL
-31.61%-17.18%-26.45%-10.41%-10.29%N/A
PEP
-2.73%-5.07%-11.20%-10.44%5.41%N/A
PPG
-16.51%-14.14%-22.01%-27.12%3.62%N/A
QCOM
-16.58%-20.94%-23.73%-24.20%14.37%N/A
RMD
-10.08%-11.73%-11.93%9.68%6.87%N/A
ROK
-20.18%-17.87%-14.17%-17.15%9.19%N/A
ROL
13.01%0.83%5.48%16.57%18.24%N/A
ROP
4.54%-7.79%-0.12%0.35%12.62%N/A
ROST
-13.58%-3.85%-9.99%-5.61%10.05%N/A
SRE
-24.21%-4.06%-18.96%-3.58%5.86%N/A
STLD
-3.87%-12.30%-14.13%-24.69%39.56%N/A
SYY
-5.29%-6.04%-3.97%-4.22%12.10%N/A
TMUS
12.78%-6.46%19.95%56.17%24.14%N/A
TGT
-28.59%-16.82%-36.40%-42.56%1.87%N/A
TDY
-5.94%-9.60%-0.94%4.73%6.76%N/A
TMO
-15.75%-17.57%-26.73%-24.21%8.39%N/A
UPS
-21.40%-19.66%-23.56%-32.12%4.67%N/A
UNH
4.24%6.85%-10.47%17.05%17.96%N/A
VEEV
1.63%-13.42%4.40%-0.49%6.76%N/A
V
-0.75%-9.32%13.07%13.83%14.04%N/A
WM
12.02%-1.53%8.99%10.41%21.81%N/A
WST
-37.92%-12.21%-31.38%-48.30%5.41%N/A
WTW
-1.15%-6.42%6.82%15.34%13.12%N/A
WDAY
-15.85%-13.96%-10.40%-19.07%10.54%N/A
XYL
-9.56%-19.92%-21.17%-17.54%10.93%N/A
ZBH
1.84%-0.39%2.99%-14.95%2.46%N/A
ZTS
-6.59%-10.94%-19.72%-7.54%4.60%N/A
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.98%-1.27%-2.86%-7.96%-8.21%
2024-0.18%4.09%2.01%-5.11%0.91%1.32%2.67%3.01%0.77%-4.91%2.85%-5.30%1.49%
20234.76%-2.57%3.38%0.68%-3.34%6.74%2.81%-2.27%-5.02%-2.57%8.69%4.69%15.96%
2022-8.09%-2.17%3.22%-7.78%-0.39%-5.73%9.73%-3.90%-8.79%8.16%6.32%-5.05%-15.59%
2021-2.53%1.06%3.28%5.69%0.95%2.75%4.02%2.38%-6.14%6.80%-2.86%4.16%20.47%
20201.60%-6.55%-9.67%13.55%7.13%2.22%7.83%5.41%-1.36%-0.76%8.90%3.22%33.37%
20197.63%4.51%1.77%4.38%-4.03%6.55%1.03%-0.34%-0.40%0.72%3.87%2.66%31.61%
20187.32%-3.35%-0.29%0.09%2.63%1.78%3.69%4.99%0.85%-7.19%4.44%-8.55%5.23%
20172.99%4.05%1.24%2.67%3.85%-0.03%1.62%1.25%1.66%4.00%3.08%-0.20%29.43%
20163.71%0.38%0.62%-2.24%3.47%0.69%6.70%

Expense Ratio

PJM has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of PJM is 4, meaning it’s performing worse than 96% of other 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 PJM is 44
Overall Rank
The Sharpe Ratio Rank of PJM is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of PJM is 44
Sortino Ratio Rank
The Omega Ratio Rank of PJM is 44
Omega Ratio Rank
The Calmar Ratio Rank of PJM is 44
Calmar Ratio Rank
The Martin Ratio Rank of PJM is 33
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 Portfolio, currently valued at -0.70, compared to the broader market-4.00-2.000.002.00
Portfolio: -0.71
^GSPC: -0.17
The chart of Sortino ratio for Portfolio, currently valued at -0.85, compared to the broader market-6.00-4.00-2.000.002.00
Portfolio: -0.85
^GSPC: -0.11
The chart of Omega ratio for Portfolio, currently valued at 0.89, compared to the broader market0.400.600.801.001.201.40
Portfolio: 0.89
^GSPC: 0.98
The chart of Calmar ratio for Portfolio, currently valued at -0.62, compared to the broader market0.001.002.003.004.005.00
Portfolio: -0.62
^GSPC: -0.15
The chart of Martin ratio for Portfolio, currently valued at -2.25, compared to the broader market0.005.0010.0015.0020.00
Portfolio: -2.25
^GSPC: -0.79
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ABT
Abbott Laboratories		0.751.201.150.603.16
ADBE
Adobe Inc		-0.79-0.950.86-0.57-1.67
A
Agilent Technologies, Inc.		-0.97-1.280.84-0.65-2.12
GOOG
-0.080.091.01-0.08-0.20
AMZN
Amazon.com, Inc.		-0.17-0.021.00-0.17-0.56
AEE
Ameren Corporation		1.912.561.341.4611.57
ADM
Archer-Daniels-Midland Company		-1.12-1.500.81-0.55-1.81
ADSK
Autodesk, Inc.		0.010.201.030.010.03
ADP
Automatic Data Processing, Inc.		1.211.611.232.096.68
BDX
Becton, Dickinson and Company		-0.66-0.760.90-0.53-2.24
BMY
Bristol-Myers Squibb Company		0.430.871.110.271.32
CNC
Centene Corporation		-0.44-0.420.95-0.33-0.77
CHD
Church & Dwight Co., Inc.		0.270.521.060.470.97
CME
CME Group Inc.		1.472.001.261.736.12
KO
1.341.941.251.383.08
CTSH
-0.11-0.011.00-0.09-0.42
CL
Colgate-Palmolive Company		0.370.621.080.350.67
CMCSA
Comcast Corporation		-0.59-0.630.91-0.39-1.42
COP
ConocoPhillips Company		-1.18-1.570.79-0.97-1.75
STZ
-1.18-1.500.77-0.83-1.88
COO
The Cooper Companies, Inc.		-0.95-1.340.83-0.73-2.03
CSGP
CoStar Group, Inc.		-0.70-0.900.90-0.68-1.07
CSX
CSX Corporation		-0.99-1.330.84-0.84-2.47
CVS
-0.25-0.080.99-0.17-0.48
DHR
-0.94-1.210.84-0.66-1.74
ELV
-0.48-0.500.93-0.37-0.65
EOG
-0.60-0.660.91-0.78-1.97
ERIE
0.040.261.030.040.07
FDX
-0.65-0.730.88-0.69-1.86
FTV
-0.97-1.190.83-0.91-2.14
HSY
-0.56-0.690.92-0.32-1.11
HUM
-0.44-0.370.95-0.30-0.69
IDXX
-0.83-1.120.86-0.54-1.46
ITW
-0.61-0.710.91-0.65-1.82
JNJ
0.200.391.050.210.62
KDP
0.691.021.140.181.45
KMB
0.681.011.140.882.11
KHC
-0.75-0.940.89-0.28-1.19
LOW
-0.20-0.120.99-0.21-0.51
MMC
1.081.441.201.544.31
MCD
0.701.091.140.802.55
MCHP
-1.23-1.920.75-0.91-1.96
MSFT
-0.60-0.680.91-0.59-1.37
MDLZ
-0.000.141.02-0.00-0.01
MPWR
-0.43-0.250.97-0.51-1.10
MNST
0.100.291.040.090.27
NEE
0.290.561.070.270.76
NKE
-0.94-1.140.81-0.51-1.82
PYPL
-0.27-0.150.98-0.12-0.85
PEP
-0.58-0.700.91-0.46-1.02
PPG
-1.26-1.700.79-0.66-2.17
QCOM
-0.59-0.610.92-0.54-1.00
RMD
0.320.731.100.301.60
ROK
-0.51-0.580.93-0.50-1.90
ROL
0.861.211.171.624.32
ROP
0.070.221.030.110.30
ROST
-0.25-0.210.98-0.27-0.74
SRE
-0.140.021.00-0.14-0.40
STLD
-0.70-0.910.90-0.85-1.55
SYY
-0.20-0.130.98-0.22-0.64
TMUS
2.453.021.473.8612.30
TGT
-1.13-1.530.77-0.70-2.34
TDY
0.190.411.060.181.07
TMO
-1.01-1.410.84-0.68-2.18
UPS
-1.07-1.300.79-0.61-2.33
UNH
0.590.951.140.661.60
VEEV
-0.020.211.03-0.01-0.05
V
0.771.081.161.113.89
WM
0.530.811.120.871.98
WST
-0.88-1.020.80-0.82-1.97
WTW
0.931.321.181.784.59
WDAY
-0.56-0.610.92-0.59-1.61
XYL
-0.71-0.820.89-0.61-1.49
ZBH
-0.67-0.790.90-0.37-0.99
ZTS
-0.29-0.230.97-0.18-0.76

The current PJM Sharpe ratio is -0.60. 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 -0.16 to 0.41, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of PJM 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 Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.71
-0.17
PJM
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

PJM provided a 1.94% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.94%1.78%1.61%1.55%1.24%1.38%1.40%7.04%1.43%2.00%1.63%1.36%
Portfolio components:
ABT
Abbott Laboratories		1.80%1.95%1.85%1.71%1.28%1.32%1.47%1.55%1.86%2.71%2.14%1.95%
ADBE
Adobe 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%
A
Agilent Technologies, Inc.		0.94%0.71%0.66%0.71%0.49%0.46%0.79%0.91%0.81%1.05%1.23%0.69%
GOOG
0.54%0.32%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
AEE
Ameren Corporation		2.84%3.01%3.48%2.65%2.47%2.56%2.50%2.83%3.01%3.27%3.83%3.49%
ADM
Archer-Daniels-Midland Company		4.64%3.96%2.49%1.72%2.19%2.86%3.02%3.27%3.19%2.63%3.05%1.85%
ADSK
Autodesk, 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%
ADP
Automatic Data Processing, Inc.		2.06%1.96%2.21%1.83%1.55%2.08%1.92%2.14%2.00%2.10%2.36%2.10%
BDX
Becton, Dickinson and Company		1.92%1.71%1.51%1.38%1.34%1.28%1.14%1.34%1.37%1.64%1.60%1.61%
BMY
Bristol-Myers Squibb Company		4.41%4.24%4.44%3.00%2.36%3.69%2.55%3.08%2.55%1.95%2.17%2.46%
CNC
Centene Corporation		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CHD
Church & Dwight Co., Inc.		1.08%1.08%1.15%1.30%0.99%1.10%1.29%1.32%1.51%1.61%1.58%1.57%
CME
CME Group Inc.		4.13%4.48%4.58%5.05%3.00%3.24%2.74%2.42%4.20%4.90%5.41%4.38%
KO
2.81%3.12%3.12%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%
CTSH
1.76%1.56%1.54%1.89%1.08%1.07%1.29%1.26%0.63%0.00%0.00%0.00%
CL
Colgate-Palmolive Company		2.18%2.18%2.40%2.36%2.10%2.05%2.48%2.79%2.11%2.37%2.25%2.05%
CMCSA
Comcast Corporation		3.77%3.25%2.60%3.03%1.95%1.72%1.40%2.70%1.18%1.96%1.73%1.16%
COP
ConocoPhillips Company		3.15%2.54%3.37%4.20%2.70%4.23%2.05%1.86%1.93%1.99%6.30%4.11%
STZ
2.32%1.77%1.44%1.36%1.21%1.37%1.58%1.70%0.86%0.98%0.65%0.00%
COO
The Cooper Companies, Inc.		0.00%0.00%0.02%0.02%0.01%0.02%0.02%0.02%0.03%0.03%0.04%0.04%
CSGP
CoStar Group, 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%
CSX
CSX Corporation		1.80%1.49%1.27%1.29%0.99%1.15%1.33%1.42%1.42%2.00%2.70%1.74%
CVS
4.18%5.93%3.06%2.36%1.94%2.93%2.69%3.05%2.76%2.15%1.43%1.14%
DHR
0.62%0.47%0.43%0.38%0.26%0.32%0.44%0.62%0.60%36.46%0.80%0.47%
ELV
1.54%1.77%1.26%1.00%0.98%1.18%1.06%1.14%1.20%1.81%1.79%1.39%
EOG
3.35%2.97%4.80%6.79%4.07%2.83%1.21%0.87%0.62%0.66%0.95%0.56%
ERIE
1.65%1.24%1.42%1.79%2.15%2.39%2.17%2.52%2.57%1.95%3.61%2.80%
FDX
2.63%1.92%1.95%2.42%1.12%1.00%1.72%1.52%0.76%0.78%0.64%0.43%
FTV
0.50%0.43%0.39%0.44%0.37%0.35%0.37%0.41%0.39%0.26%0.00%0.00%
HSY
3.38%3.24%2.39%1.67%1.76%2.07%2.03%2.57%2.24%2.32%2.50%1.96%
HUM
1.39%1.40%0.77%0.62%0.60%0.61%0.60%0.70%0.76%0.43%0.64%0.77%
IDXX
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ITW
2.62%2.29%2.07%2.30%1.91%2.17%2.30%2.81%1.71%1.96%2.23%1.91%
JNJ
3.24%3.40%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%
KDP
2.68%2.72%2.45%2.14%1.83%1.88%2.07%407.49%2.39%2.34%2.06%2.29%
KMB
3.57%3.72%3.88%3.42%3.19%3.17%3.00%3.51%3.22%3.22%2.77%0.73%
KHC
5.39%5.21%4.33%3.93%4.46%4.62%4.98%5.81%3.15%2.69%2.34%0.00%
LOW
2.04%1.82%1.93%1.86%1.08%1.40%1.72%1.93%1.64%1.77%1.34%1.19%
MMC
1.42%1.44%1.37%1.36%1.15%1.57%1.56%1.98%1.76%1.92%2.13%1.85%
MCD
2.29%2.34%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%
MCHP
5.01%3.16%1.76%1.65%0.98%1.07%1.40%2.02%1.65%2.24%3.08%3.16%
MSFT
0.88%0.73%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%
MDLZ
2.77%3.00%2.24%2.21%2.01%2.05%1.98%2.40%1.92%1.62%1.43%1.60%
MPWR
1.11%0.85%0.63%0.85%0.49%0.55%0.90%1.03%0.71%0.98%1.26%0.90%
MNST
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NEE
3.16%2.87%3.08%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%
NKE
2.69%2.00%1.28%1.07%0.68%0.71%0.89%1.11%1.18%1.30%0.93%1.04%
PYPL
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PEP
3.71%3.52%2.92%2.51%2.45%2.71%2.77%3.25%2.64%2.83%2.76%2.68%
PPG
2.71%2.23%1.70%1.92%1.31%1.46%1.48%1.82%1.46%1.65%1.43%1.13%
QCOM
2.67%2.18%2.18%2.67%1.47%1.69%2.81%4.27%3.50%3.17%3.72%2.17%
RMD
1.01%0.88%1.07%0.83%0.62%0.73%0.98%1.26%1.61%2.03%2.16%1.89%
ROK
2.25%1.77%1.54%1.76%1.24%1.65%1.94%2.42%1.59%2.18%2.61%2.15%
ROL
1.21%1.33%1.24%1.18%0.99%0.61%1.27%1.29%1.20%1.48%1.62%1.57%
ROP
0.58%0.58%0.50%0.57%0.46%0.48%0.52%0.62%0.54%0.66%0.53%0.51%
ROST
1.16%0.97%0.97%1.07%1.00%0.23%0.88%1.08%0.80%0.82%0.88%0.85%
SRE
3.80%2.83%3.18%2.96%3.33%3.28%2.56%3.31%3.08%3.04%2.98%2.37%
STLD
1.72%1.61%1.44%1.39%1.68%2.71%2.82%2.50%1.44%1.57%3.09%2.33%
SYY
2.86%2.64%2.71%2.51%2.34%2.42%1.82%2.30%2.17%2.24%2.20%2.95%
TMUS
1.23%1.28%0.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TGT
4.66%3.28%3.06%2.66%1.37%1.52%2.03%3.81%3.74%3.21%2.97%2.50%
TDY
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
0.37%0.30%0.26%0.22%0.16%0.19%0.23%0.30%0.32%0.43%0.42%0.48%
UPS
6.68%5.17%4.12%3.50%1.90%2.40%3.28%3.73%2.79%2.72%3.03%2.41%
UNH
1.60%1.62%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%
VEEV
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
V
0.71%0.68%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%
WM
1.37%1.49%1.56%1.66%1.38%1.85%1.80%2.09%1.97%2.31%2.89%2.92%
WST
0.40%0.25%0.22%0.31%0.15%0.23%0.41%0.58%0.54%0.58%0.75%0.77%
WTW
1.15%1.12%1.39%1.34%1.27%1.31%1.29%1.58%1.41%1.57%0.00%0.00%
WDAY
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XYL
1.41%1.24%1.15%1.09%0.93%1.02%1.22%1.26%1.06%1.25%1.55%1.34%
ZBH
0.89%0.91%0.79%0.75%0.76%0.62%0.64%0.93%0.80%0.93%0.86%0.78%
ZTS
1.18%1.06%0.76%0.89%0.41%0.48%0.50%0.59%0.58%0.71%0.69%0.67%

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%NovemberDecember2025FebruaryMarchApril
-15.05%
-17.42%
PJM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the PJM. 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 PJM was 31.83%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.

The current PJM drawdown is 12.56%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.83%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-23.96%Nov 17, 2021146Jun 16, 2022414Feb 9, 2024560
-17.36%Sep 17, 201869Dec 24, 201845Mar 1, 2019114
-15.05%Oct 15, 2024118Apr 4, 2025———
-9.74%Jan 29, 20189Feb 8, 201881Jun 6, 201890

Volatility

Volatility Chart

The current PJM volatility is 7.24%, 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%NovemberDecember2025FebruaryMarchApril
7.24%
9.30%
PJM
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.
EOGCOPCHDCMEHUMBMYERIEKMBHSYAEEKHCSTLDCNCNEESRECVSKDPTGTTMUSADMAMZNJNJCLELVUNHSTZWDAYVEEVSYYROSTQCOMMCDMPWRCMCSAROLPYPLBDXWSTGOOGFDXKONKEPEPMDLZCSGPMCHPZBHRMDWTWMNSTWMLOWADBEUPSCSXCOOTDYIDXXABTMSFTADSKTMOPPGDHRROKZTSCTSHMMCXYLVFTVAROPADPITW
EOG1.000.81-0.050.140.170.170.140.040.070.080.200.400.210.070.220.260.100.200.140.390.150.130.070.230.210.230.120.100.250.220.230.140.200.220.120.180.130.110.210.310.140.210.070.130.160.250.240.150.200.130.170.210.140.260.350.150.310.120.120.160.200.130.260.130.300.150.250.220.280.230.290.210.210.230.32
COP0.811.00-0.020.180.160.190.140.050.090.110.200.420.220.090.240.270.120.220.170.440.140.150.080.260.220.220.130.100.280.250.230.160.200.250.160.190.150.130.220.330.180.230.110.150.170.270.260.150.230.150.200.230.170.280.380.170.330.140.120.180.220.160.280.150.340.160.280.250.320.260.320.240.250.260.34
CHD-0.05-0.021.000.190.140.220.200.650.460.390.360.030.170.340.290.200.360.170.230.180.100.350.620.210.210.250.110.110.260.150.080.280.040.180.310.110.300.240.110.140.460.170.530.470.170.060.210.250.240.330.380.220.160.220.170.230.150.210.310.180.110.240.190.250.120.280.150.290.170.220.150.180.270.270.23
CME0.140.180.191.000.200.210.290.220.260.260.170.180.200.240.220.210.210.190.220.230.150.270.260.250.260.230.200.160.280.250.140.310.140.250.260.200.250.230.200.200.320.240.300.280.260.160.270.250.350.230.370.200.210.230.300.260.310.220.290.240.240.230.280.240.250.280.260.410.290.340.280.240.330.380.30
HUM0.170.160.140.201.000.250.180.160.200.180.220.200.560.160.190.400.190.220.220.240.160.290.190.620.650.250.150.210.230.240.180.240.170.220.230.150.330.260.230.250.220.200.240.230.250.160.250.260.230.230.270.240.200.260.280.260.230.250.290.250.190.310.260.310.240.320.240.290.240.270.240.290.290.300.27
BMY0.170.190.220.210.251.000.200.300.250.270.260.190.270.230.240.360.200.210.230.260.120.450.290.300.310.250.150.170.240.220.170.260.140.260.220.180.350.220.180.200.310.230.290.290.210.180.310.260.280.250.280.220.170.240.260.290.270.230.360.180.190.330.280.320.240.360.280.310.260.280.260.310.280.310.30
ERIE0.140.140.200.290.180.201.000.220.210.210.200.200.180.210.220.230.220.220.240.230.190.260.260.250.210.200.210.240.270.250.230.270.220.250.340.220.250.260.200.240.260.260.250.260.280.230.250.290.370.270.330.250.250.290.260.280.330.270.290.260.260.270.270.290.280.300.280.430.320.270.310.290.330.350.33
KMB0.040.050.650.220.160.300.221.000.480.450.410.070.170.390.340.260.390.190.250.260.060.400.670.230.240.260.070.080.290.190.100.360.050.220.290.120.300.190.100.180.520.210.560.530.170.090.240.240.280.350.400.240.130.270.210.250.200.190.330.160.100.260.270.270.190.280.190.330.230.220.210.190.300.310.30
HSY0.070.090.460.260.200.250.210.481.000.430.470.090.210.380.380.240.380.200.270.330.070.350.500.270.300.310.140.120.360.190.090.390.060.250.290.120.290.220.140.140.520.180.580.600.180.110.260.240.250.380.420.230.160.220.250.270.210.210.280.190.140.240.250.260.180.290.220.330.210.240.210.220.300.330.28
AEE0.080.110.390.260.180.270.210.450.431.000.360.100.200.660.660.220.350.180.270.290.080.370.450.260.270.280.110.130.310.170.080.350.060.240.300.140.320.210.130.160.480.200.490.440.220.090.260.260.300.300.450.220.130.250.250.300.270.210.310.160.140.220.260.260.180.300.230.330.260.250.230.230.290.380.28
KHC0.200.200.360.170.220.260.200.410.470.361.000.190.230.290.340.340.380.230.290.410.100.330.410.270.260.360.120.110.370.230.170.340.120.310.240.150.290.170.160.250.470.210.510.570.170.190.260.190.250.360.320.240.130.300.270.230.220.170.260.170.150.190.310.210.230.240.260.300.240.240.270.220.250.310.33
STLD0.400.420.030.180.200.190.200.070.090.100.191.000.230.080.170.300.140.310.250.410.240.180.100.270.240.230.220.200.310.360.340.190.350.310.210.250.210.240.280.440.190.340.120.150.240.390.300.230.310.220.230.360.230.360.430.260.400.240.190.250.330.240.470.250.460.240.360.310.420.310.450.330.320.320.46
CNC0.210.220.170.200.560.270.180.170.210.200.230.231.000.180.220.400.230.220.260.250.190.300.230.640.600.280.200.230.260.250.200.240.190.250.240.200.370.260.250.280.240.230.240.250.260.210.330.290.270.270.260.240.230.280.290.330.250.280.330.230.260.300.290.300.270.320.290.310.280.300.280.320.280.310.30
NEE0.070.090.340.240.160.230.210.390.380.660.290.080.181.000.580.190.320.200.290.250.180.330.400.190.250.310.180.210.280.190.160.340.150.240.310.230.280.260.210.170.460.240.460.410.280.170.270.300.310.320.410.260.220.280.250.310.260.290.320.260.200.270.240.300.190.320.250.310.250.260.260.270.260.350.26
SRE0.220.240.290.220.190.240.220.340.380.660.340.170.220.581.000.240.310.210.240.320.130.320.390.260.270.320.130.160.350.220.130.340.100.260.280.190.290.220.180.220.450.230.440.410.250.160.300.240.300.290.410.250.160.290.300.310.320.230.270.190.180.230.300.260.250.270.280.330.300.280.300.250.280.360.32
CVS0.260.270.200.210.400.360.230.260.240.220.340.300.400.190.241.000.260.310.260.370.110.380.270.470.480.290.110.120.330.310.210.270.160.320.210.160.340.210.200.320.320.240.310.310.180.220.320.230.290.250.310.330.140.350.320.270.280.190.310.200.200.270.330.290.300.270.300.340.320.270.310.280.270.340.37
KDP0.100.120.360.210.190.200.220.390.380.350.380.140.230.320.310.261.000.230.300.270.190.270.400.230.260.330.220.180.310.240.180.320.160.280.320.220.290.230.210.220.490.250.530.460.250.200.280.260.310.440.350.280.230.280.250.300.240.270.310.260.230.250.290.260.230.280.280.320.270.290.280.270.310.350.31
TGT0.200.220.170.190.220.210.220.190.200.180.230.310.220.200.210.310.231.000.240.300.260.220.220.250.230.270.250.260.310.460.290.240.300.310.280.310.240.280.260.380.250.430.250.250.300.330.270.270.280.300.300.480.280.400.350.300.310.300.280.270.330.320.350.310.380.320.330.280.360.270.350.360.310.320.39
TMUS0.140.170.230.220.220.230.240.250.270.270.290.250.260.290.240.260.300.241.000.270.330.260.290.290.290.280.300.300.310.290.290.300.290.380.330.320.260.280.330.290.320.280.360.350.330.290.320.320.280.350.330.310.350.290.310.310.330.320.330.360.350.290.310.280.260.340.320.340.320.380.310.310.350.380.30
ADM0.390.440.180.230.240.260.230.260.330.290.410.410.250.250.320.370.270.300.271.000.130.320.270.310.270.370.170.130.400.300.270.270.220.340.250.210.270.220.200.370.380.310.330.370.210.300.340.220.310.300.320.330.180.370.410.280.360.200.250.210.230.250.400.260.370.260.370.330.390.300.390.310.320.370.45
AMZN0.150.140.100.150.160.120.190.060.070.080.100.240.190.180.130.110.190.260.330.131.000.130.120.160.190.260.520.500.190.310.490.240.510.310.280.540.250.380.670.330.150.380.190.200.460.460.290.370.290.350.190.340.620.310.310.360.330.470.330.680.560.370.300.340.360.360.400.270.330.460.360.380.380.320.30
JNJ0.130.150.350.270.290.450.260.400.350.370.330.180.300.330.320.380.270.220.260.320.131.000.430.350.390.270.140.180.250.200.180.340.120.300.290.160.430.260.210.230.440.240.470.420.200.190.360.310.310.300.390.260.200.310.300.370.260.280.480.240.190.380.310.390.240.400.310.390.310.330.270.350.340.360.37
CL0.070.080.620.260.190.290.260.670.500.450.410.100.230.400.390.270.400.220.290.270.120.431.000.280.300.310.110.130.350.250.150.400.100.260.350.170.340.250.180.210.580.250.640.580.210.150.280.290.320.410.450.280.190.280.270.290.250.260.380.230.170.310.300.300.220.310.260.400.280.300.240.250.360.370.34
ELV0.230.260.210.250.620.300.250.230.270.260.270.270.640.190.260.470.230.250.290.310.160.350.281.000.710.290.160.210.310.300.200.310.190.300.290.160.380.270.240.290.320.240.310.300.260.210.320.290.310.280.350.270.220.320.330.320.280.280.330.250.240.330.320.310.310.340.310.380.320.320.300.330.340.360.36
UNH0.210.220.210.260.650.310.210.240.300.270.260.240.600.250.270.480.260.230.290.270.190.390.300.711.000.260.180.240.290.280.220.310.200.270.300.190.370.280.280.290.320.240.330.310.270.210.300.300.310.310.370.300.250.300.330.330.290.300.360.290.250.340.310.340.300.370.310.380.310.330.320.320.360.370.36
STZ0.230.220.250.230.250.250.200.260.310.280.360.230.280.310.320.290.330.270.280.370.260.270.310.290.261.000.260.230.400.350.250.320.240.320.280.270.300.240.280.300.430.320.400.370.320.280.350.280.340.400.320.320.270.310.320.340.300.310.300.300.310.290.360.290.350.330.350.320.360.370.370.330.320.380.38
WDAY0.120.130.110.200.150.150.210.070.140.110.120.220.200.180.130.110.220.250.300.170.520.140.110.160.180.261.000.600.210.300.420.230.500.300.310.530.260.410.500.320.170.370.200.210.500.450.330.400.340.340.240.340.640.290.310.390.360.470.340.580.630.380.300.380.360.390.420.320.340.470.360.430.420.410.28
VEEV0.100.100.110.160.210.170.240.080.120.130.110.200.230.210.160.120.180.260.300.130.500.180.130.210.240.230.601.000.180.280.410.220.510.270.370.530.290.470.470.320.140.360.170.200.520.440.330.440.320.320.230.360.590.310.300.420.360.540.410.520.590.450.290.440.350.450.390.320.330.430.360.470.400.370.29
SYY0.250.280.260.280.230.240.270.290.360.310.370.310.260.280.350.330.310.310.310.400.190.250.350.310.290.400.210.181.000.420.250.400.220.350.290.240.260.210.250.320.440.350.400.410.250.300.390.270.340.350.380.370.200.320.380.310.360.260.280.240.270.220.420.240.340.290.360.370.390.380.380.300.320.410.44
ROST0.220.250.150.250.240.220.250.190.190.170.230.360.250.190.220.310.240.460.290.300.310.200.250.300.280.350.300.280.421.000.340.330.360.370.290.330.230.280.330.370.310.460.280.290.340.380.340.290.320.360.340.480.330.360.420.320.400.340.290.370.390.270.410.280.410.330.390.350.410.390.430.370.380.410.44
QCOM0.230.230.080.140.180.170.230.100.090.080.170.340.200.160.130.210.180.290.290.270.490.180.150.200.220.250.420.410.250.341.000.250.650.340.290.460.240.330.500.420.180.390.200.220.390.670.320.360.280.330.220.390.510.390.400.340.400.420.330.560.520.400.400.390.480.340.440.300.430.430.450.440.410.370.42
MCD0.140.160.280.310.240.260.270.360.390.350.340.190.240.340.340.270.320.240.300.270.240.340.400.310.310.320.230.220.400.330.251.000.220.350.340.270.330.290.280.290.470.330.440.420.280.270.340.300.350.370.450.350.290.330.330.330.340.320.360.330.270.330.350.340.320.350.350.430.350.400.350.320.360.410.37
MPWR0.200.200.040.140.170.140.220.050.060.060.120.350.190.150.100.160.160.300.290.220.510.120.100.190.200.240.500.510.220.360.650.221.000.310.310.500.240.420.520.400.130.410.150.170.450.750.310.410.320.320.200.390.560.360.380.370.440.490.340.570.600.430.390.420.510.390.470.330.430.450.470.490.420.390.41
CMCSA0.220.250.180.250.220.260.250.220.250.240.310.310.250.240.260.320.280.310.380.340.310.300.260.300.270.320.300.270.350.370.340.350.311.000.270.340.310.290.360.400.350.370.340.380.330.380.360.290.350.340.330.380.340.410.420.360.360.310.310.360.360.290.410.300.390.330.430.360.370.400.390.340.370.430.42
ROL0.120.160.310.260.230.220.340.290.290.300.240.210.240.310.280.210.320.280.330.250.280.290.350.290.300.280.310.370.290.290.290.340.310.271.000.330.330.370.290.330.350.310.370.350.390.300.300.390.360.370.480.370.350.360.370.360.390.400.390.350.390.380.330.390.350.400.370.440.400.380.390.400.460.420.40
PYPL0.180.190.110.200.150.180.220.120.120.140.150.250.200.230.190.160.220.310.320.210.540.160.170.160.190.270.530.530.240.330.460.270.500.340.331.000.300.400.530.380.190.400.240.260.490.470.340.430.350.380.260.410.590.340.340.400.360.470.380.560.570.430.350.420.390.400.440.340.380.530.390.460.410.420.33
BDX0.130.150.300.250.330.350.250.300.290.320.290.210.370.280.290.340.290.240.260.270.250.430.340.380.370.300.260.290.260.230.240.330.240.310.330.301.000.430.290.270.350.280.370.360.300.270.450.440.340.320.350.300.330.330.320.490.340.420.570.320.330.520.350.500.330.430.340.410.360.350.360.480.390.380.40
WST0.110.130.240.230.260.220.260.190.220.210.170.240.260.260.220.210.230.280.280.220.380.260.250.270.280.240.410.470.210.280.330.290.420.290.370.400.431.000.380.310.230.350.280.310.420.390.370.480.340.340.330.350.440.350.320.490.410.550.470.450.450.540.350.560.370.490.380.390.360.370.390.530.420.390.37
GOOG0.210.220.110.200.230.180.200.100.140.130.160.280.250.210.180.200.210.260.330.200.670.210.180.240.280.280.500.470.250.330.500.280.520.360.290.530.290.381.000.380.240.400.250.270.440.490.330.400.340.370.250.340.620.330.350.380.370.480.360.710.560.410.350.390.400.400.460.360.370.530.420.440.420.410.37
FDX0.310.330.140.200.250.200.240.180.140.160.250.440.280.170.220.320.220.380.290.370.330.230.210.290.290.300.320.320.320.370.420.290.400.400.330.380.270.310.381.000.290.420.230.270.320.470.380.280.350.330.300.460.380.670.510.330.430.320.320.380.420.340.480.320.500.330.450.360.490.400.490.400.420.390.54
KO0.140.180.460.320.220.310.260.520.520.480.470.190.240.460.450.320.490.250.320.380.150.440.580.320.320.430.170.140.440.310.180.470.130.350.350.190.350.230.240.291.000.300.710.610.240.200.350.290.380.510.500.290.230.340.360.330.340.270.370.270.210.300.370.310.290.370.340.430.350.380.340.280.360.460.41
NKE0.210.230.170.240.200.230.260.210.180.200.210.340.230.240.230.240.250.430.280.310.380.240.250.240.240.320.370.360.350.460.390.330.410.370.310.400.280.350.400.420.301.000.270.300.390.440.340.340.360.370.320.450.430.420.420.360.400.400.360.420.430.390.450.390.440.420.420.380.410.450.440.430.410.410.46
PEP0.070.110.530.300.240.290.250.560.580.490.510.120.240.460.440.310.530.250.360.330.190.470.640.310.330.400.200.170.400.280.200.440.150.340.370.240.370.280.250.230.710.271.000.660.260.210.310.330.370.530.500.320.270.320.290.340.270.320.390.320.230.320.320.340.240.370.320.440.300.340.290.300.370.450.36
MDLZ0.130.150.470.280.230.290.260.530.600.440.570.150.250.410.410.310.460.250.350.370.200.420.580.300.310.370.210.200.410.290.220.420.170.380.350.260.360.310.270.270.610.300.661.000.280.240.340.310.360.480.460.310.270.340.300.330.290.310.400.300.240.330.350.340.270.370.330.420.330.370.320.310.370.420.39
CSGP0.160.170.170.260.250.210.280.170.180.220.170.240.260.280.250.180.250.300.330.210.460.200.210.260.270.320.500.520.250.340.390.280.450.330.390.490.300.420.440.320.240.390.260.281.000.440.370.420.360.380.310.390.510.350.360.410.410.490.380.480.520.410.380.430.410.450.450.380.400.480.420.490.480.430.38
MCHP0.250.270.060.160.160.180.230.090.110.090.190.390.210.170.160.220.200.330.290.300.460.190.150.210.210.280.450.440.300.380.670.270.750.380.300.470.270.390.490.470.200.440.210.240.441.000.370.380.320.340.250.410.510.420.430.400.450.460.350.520.580.420.460.420.540.380.490.350.480.450.520.510.430.420.49
ZBH0.240.260.210.270.250.310.250.240.260.260.260.300.330.270.300.320.280.270.320.340.290.360.280.320.300.350.330.330.390.340.320.340.310.360.300.340.450.370.330.380.350.340.310.340.370.371.000.430.380.360.340.360.340.380.390.520.380.420.480.350.400.400.430.410.380.400.420.380.430.420.420.460.380.400.42
RMD0.150.150.250.250.260.260.290.240.240.260.190.230.290.300.240.230.260.270.320.220.370.310.290.290.300.280.400.440.270.290.360.300.410.290.390.430.440.480.400.280.290.340.330.310.420.380.431.000.350.360.350.370.450.340.340.490.390.530.520.450.460.500.370.480.360.480.380.400.400.440.370.510.420.440.38
WTW0.200.230.240.350.230.280.370.280.250.300.250.310.270.310.300.290.310.280.280.310.290.310.320.310.310.340.340.320.340.320.280.350.320.350.360.350.340.340.340.350.380.360.370.360.360.320.380.351.000.370.420.350.360.370.380.390.430.360.390.380.380.390.420.370.380.390.430.670.450.440.430.400.470.460.44
MNST0.130.150.330.230.230.250.270.350.380.300.360.220.270.320.290.250.440.300.350.300.350.300.410.280.310.400.340.320.350.360.330.370.320.340.370.380.320.340.370.330.510.370.530.480.380.340.360.360.371.000.370.370.400.350.360.370.340.410.380.420.400.360.360.380.350.410.390.410.350.440.370.410.410.430.38
WM0.170.200.380.370.270.280.330.400.420.450.320.230.260.410.410.310.350.300.330.320.190.390.450.350.370.320.240.230.380.340.220.450.200.330.480.260.350.330.250.300.500.320.500.460.310.250.340.350.420.371.000.350.290.380.410.360.400.320.390.320.280.360.380.380.370.380.360.520.440.390.410.350.470.510.47
LOW0.210.230.220.200.240.220.250.240.230.220.240.360.240.260.250.330.280.480.310.330.340.260.280.270.300.320.340.360.370.480.390.350.390.380.370.410.300.350.340.460.290.450.320.310.390.410.360.370.350.370.351.000.380.450.450.370.410.400.360.390.430.380.490.400.490.400.430.390.470.410.480.450.440.440.52
ADBE0.140.170.160.210.200.170.250.130.160.130.130.230.230.220.160.140.230.280.350.180.620.200.190.220.250.270.640.590.200.330.510.290.560.340.350.590.330.440.620.380.230.430.270.270.510.510.340.450.360.400.290.381.000.370.360.420.390.550.410.720.670.470.330.450.420.450.470.400.380.570.410.480.480.460.37
UPS0.260.280.220.230.260.240.290.270.220.250.300.360.280.280.290.350.280.400.290.370.310.310.280.320.300.310.290.310.320.360.390.330.360.410.360.340.330.350.330.670.340.420.320.340.350.420.380.340.370.350.380.450.371.000.500.370.390.360.390.370.390.400.480.410.480.390.420.430.470.400.470.420.440.430.54
CSX0.350.380.170.300.280.260.260.210.250.250.270.430.290.250.300.320.250.350.310.410.310.300.270.330.330.320.310.300.380.420.400.330.380.420.370.340.320.320.350.510.360.420.290.300.360.430.390.340.380.360.410.450.360.501.000.360.470.350.350.390.410.370.510.360.540.390.460.430.520.440.520.430.490.480.58
COO0.150.170.230.260.260.290.280.250.270.300.230.260.330.310.310.270.300.300.310.280.360.370.290.320.330.340.390.420.310.320.340.330.370.360.360.400.490.490.380.330.330.360.340.330.410.400.520.490.390.370.360.370.420.370.361.000.410.520.530.420.470.510.410.510.380.480.430.410.440.440.430.540.440.430.42
TDY0.310.330.150.310.230.270.330.200.210.270.220.400.250.260.320.280.240.310.330.360.330.260.250.280.290.300.360.360.360.400.400.340.440.360.390.360.340.410.370.430.340.400.270.290.410.450.380.390.430.340.400.410.390.390.470.411.000.410.370.400.460.400.470.400.550.400.450.490.570.470.550.480.530.490.53
IDXX0.120.140.210.220.250.230.270.190.210.210.170.240.280.290.230.190.270.300.320.200.470.280.260.280.300.310.470.540.260.340.420.320.490.310.400.470.420.550.480.320.270.400.320.310.490.460.420.530.360.410.320.400.550.360.350.520.411.000.530.530.550.550.370.560.410.620.430.410.430.450.450.580.470.460.41
ABT0.120.120.310.290.290.360.290.330.280.310.260.190.330.320.270.310.310.280.330.250.330.480.380.330.360.300.340.410.280.290.330.360.340.310.390.380.570.470.360.320.370.360.390.400.380.350.480.520.390.380.390.360.410.390.350.530.370.531.000.420.420.600.380.570.350.520.410.460.410.450.370.540.450.450.41
MSFT0.160.180.180.240.250.180.260.160.190.160.170.250.230.260.190.200.260.270.360.210.680.240.230.250.290.300.580.520.240.370.560.330.570.360.350.560.320.450.710.380.270.420.320.300.480.520.350.450.380.420.320.390.720.370.390.420.400.530.421.000.620.480.360.470.450.440.480.410.410.570.430.490.500.490.40
ADSK0.200.220.110.240.190.190.260.100.140.140.150.330.260.200.180.200.230.330.350.230.560.190.170.240.250.310.630.590.270.390.520.270.600.360.390.570.330.450.560.420.210.430.230.240.520.580.400.460.380.400.280.430.670.390.410.470.460.550.420.621.000.480.420.470.500.450.500.400.460.540.500.560.520.470.44
TMO0.130.160.240.230.310.330.270.260.240.220.190.240.300.270.230.270.250.320.290.250.370.380.310.330.340.290.380.450.220.270.400.330.430.290.380.430.520.540.410.340.300.390.320.330.410.420.400.500.390.360.360.380.470.400.370.510.400.550.600.480.481.000.400.760.440.540.420.440.430.440.440.730.490.440.44
PPG0.260.280.190.280.260.280.270.270.250.260.310.470.290.240.300.330.290.350.310.400.300.310.300.320.310.360.300.290.420.410.400.350.390.410.330.350.350.350.350.480.370.450.320.350.380.460.430.370.420.360.380.490.330.480.510.410.470.370.380.360.420.401.000.410.570.390.460.450.570.440.580.470.480.460.63
DHR0.130.150.250.240.310.320.290.270.260.260.210.250.300.300.260.290.260.310.280.260.340.390.300.310.340.290.380.440.240.280.390.340.420.300.390.420.500.560.390.320.310.390.340.340.430.420.410.480.370.380.380.400.450.410.360.510.400.560.570.470.470.760.411.000.440.550.430.430.450.420.470.690.500.450.44
ROK0.300.340.120.250.240.240.280.190.180.180.230.460.270.190.250.300.230.380.260.370.360.240.220.310.300.350.360.350.340.410.480.320.510.390.350.390.330.370.400.500.290.440.240.270.410.540.380.360.380.350.370.490.420.480.540.380.550.410.350.450.500.440.570.441.000.390.470.430.640.450.650.540.560.470.69
ZTS0.150.160.280.280.320.360.300.280.290.300.240.240.320.320.270.270.280.320.340.260.360.400.310.340.370.330.390.450.290.330.340.350.390.330.400.400.430.490.400.330.370.420.370.370.450.380.400.480.390.410.380.400.450.390.390.480.400.620.520.440.450.540.390.550.391.000.430.480.430.450.420.550.470.460.42
CTSH0.250.280.150.260.240.280.280.190.220.230.260.360.290.250.280.300.280.330.320.370.400.310.260.310.310.350.420.390.360.390.440.350.470.430.370.440.340.380.460.450.340.420.320.330.450.490.420.380.430.390.360.430.470.420.460.430.450.430.410.480.500.420.460.430.470.431.000.450.480.510.490.480.480.510.51
MMC0.220.250.290.410.290.310.430.330.330.330.300.310.310.310.330.340.320.280.340.330.270.390.400.380.380.320.320.320.370.350.300.430.330.360.440.340.410.390.360.360.430.380.440.420.380.350.380.400.670.410.520.390.400.430.430.410.490.410.460.410.400.440.450.430.430.480.451.000.500.500.470.460.530.550.50
XYL0.280.320.170.290.240.260.320.230.210.260.240.420.280.250.300.320.270.360.320.390.330.310.280.320.310.360.340.330.390.410.430.350.430.370.400.380.360.360.370.490.350.410.300.330.400.480.430.400.450.350.440.470.380.470.520.440.570.430.410.410.460.430.570.450.640.430.480.501.000.450.660.530.580.490.67
V0.230.260.220.340.270.280.270.220.240.250.240.310.300.260.280.270.290.270.380.300.460.330.300.320.330.370.470.430.380.390.430.400.450.400.380.530.350.370.530.400.380.450.340.370.480.450.420.440.440.440.390.410.570.400.440.440.470.450.450.570.540.440.440.420.450.450.510.500.451.000.460.470.520.540.47
FTV0.290.320.150.280.240.260.310.210.210.230.270.450.280.260.300.310.280.350.310.390.360.270.240.300.320.370.360.360.380.430.450.350.470.390.390.390.360.390.420.490.340.440.290.320.420.520.420.370.430.370.410.480.410.470.520.430.550.450.370.430.500.440.580.470.650.420.490.470.660.461.000.520.550.490.66
A0.210.240.180.240.290.310.290.190.220.230.220.330.320.270.250.280.270.360.310.310.380.350.250.330.320.330.430.470.300.370.440.320.490.340.400.460.480.530.440.400.280.430.300.310.490.510.460.510.400.410.350.450.480.420.430.540.480.580.540.490.560.730.470.690.540.550.480.460.530.470.521.000.540.480.52
ROP0.210.250.270.330.290.280.330.300.300.290.250.320.280.260.280.270.310.310.350.320.380.340.360.340.360.320.420.400.320.380.410.360.420.370.460.410.390.420.420.420.360.410.370.370.480.430.380.420.470.410.470.440.480.440.490.440.530.470.450.500.520.490.480.500.560.470.480.530.580.520.550.541.000.530.58
ADP0.230.260.270.380.300.310.350.310.330.380.310.320.310.350.360.340.350.320.380.370.320.360.370.360.370.380.410.370.410.410.370.410.390.430.420.420.380.390.410.390.460.410.450.420.430.420.400.440.460.430.510.440.460.430.480.430.490.460.450.490.470.440.460.450.470.460.510.550.490.540.490.480.531.000.52
ITW0.320.340.230.300.270.300.330.300.280.280.330.460.300.260.320.370.310.390.300.450.300.370.340.360.360.380.280.290.440.440.420.370.410.420.400.330.400.370.370.540.410.460.360.390.380.490.420.380.440.380.470.520.370.540.580.420.530.410.410.400.440.440.630.440.690.420.510.500.670.470.660.520.580.521.00
The correlation results are calculated based on daily price changes starting from Jul 5, 2016
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DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

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