Russell 1000 Low PEG, LOW P/FCF

Asset Allocation

Position	Category/Sector	Target Weight
DLB Dolby Laboratories, Inc.	Technology	2.70%
DOV Dover Corporation	Industrials	2.65%
EOG EOG Resources, Inc.	Energy	2.50%
CSX CSX Corporation	Industrials	2.50%
DHI D.R. Horton, Inc.	Consumer Cyclical	2.50%
CSL Carlisle Companies Incorporated	Industrials	2.50%
NDSN Nordson Corporation	Industrials	2.50%
OC Owens Corning	Industrials	2.50%
LECO Lincoln Electric Holdings, Inc.	Industrials	2.50%
OMC Omnicom Group Inc.	Communication Services	2.20%
BKNG Booking Holdings Inc.	Consumer Cyclical	2.10%
HCA HCA Healthcare, Inc.	Healthcare	2.10%
SLB Schlumberger Limited	Energy	2.10%
PH Parker-Hannifin Corporation	Industrials	2.10%
GPN Global Payments Inc.	Industrials	2.10%
PHM PulteGroup, Inc.	Consumer Cyclical	2.10%
WSM Williams-Sonoma, Inc.	Consumer Cyclical	2.10%
PNR Pentair plc	Industrials	2.10%
BLD TopBuild Corp.	Industrials	2.10%
ALLE Allegion plc	Industrials	2.10%
UTHR United Therapeutics Corporation	Healthcare	2.10%
FFIV F5 Networks, Inc.	Technology	2.10%
BBWI Bath & Body Works, Inc.	Consumer Cyclical	2.10%
GOOG Alphabet Inc	Communication Services	2%
META Meta Platforms, Inc.	Communication Services	2%
CSCO Cisco Systems, Inc.	Technology	2%
CAT Caterpillar Inc.	Industrials	2%
AMAT Applied Materials, Inc.	Technology	2%
LMT Lockheed Martin Corporation	Industrials	2%
GD General Dynamics Corporation		2%
PYPL PayPal Holdings, Inc.	Financial Services	2%
PCAR PACCAR Inc	Industrials	2%
LNG Cheniere Energy, Inc.	Energy	2%
HSY The Hershey Company	Consumer Defensive	2%
HAL Halliburton Company	Energy	2%
EBAY eBay Inc.	Consumer Cyclical	2%
CPAY Corpay, Inc.	Technology	2%
STLD Steel Dynamics, Inc.	Basic Materials	2%
DECK Deckers Outdoor Corporation	Consumer Cyclical	2%
SWKS Skyworks Solutions, Inc.	Technology	2%
ENPH Enphase Energy, Inc.	Technology	2%
EQT EQT Corporation	Energy	2%
ITT ITT Inc.	Industrials	2%
NVT nVent Electric plc	Industrials	2%
MEDP Medpace Holdings, Inc.	Healthcare	2%
TPR Tapestry, Inc.	Consumer Cyclical	2%
WSC WillScot Mobile Mini Holdings Corp.	Industrials	1.65%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Russell 1000 Low PEG, LOW P/FCF, 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.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Russell 1000 Low PEG, LOW P/FCF	0.30%	1.65%	14.56%	13.97%	29.17%	19.21%	14.82%	—
Portfolio components:
ALLE Allegion plc	-1.94%	-5.02%	-19.54%	-19.10%	-7.03%	5.79%	-0.14%	7.81%
AMAT Applied Materials, Inc.	8.64%	13.17%	91.99%	83.99%	197.34%	54.75%	30.69%	36.71%
BBWI Bath & Body Works, Inc.	4.99%	-6.20%	-7.07%	-5.03%	-28.54%	-22.17%	-17.18%	-7.48%
BKNG Booking Holdings Inc.	-2.13%	-1.94%	-23.87%	-21.25%	-27.12%	16.72%	12.36%	12.13%
BLD TopBuild Corp.	-0.69%	-6.78%	-4.35%	-7.92%	34.29%	20.34%	15.42%	27.03%
CAT Caterpillar Inc.	1.26%	2.03%	60.51%	54.15%	161.94%	59.74%	33.67%	31.20%
CPAY Corpay, Inc.	0.45%	1.46%	15.98%	14.92%	3.42%	13.39%	5.17%	9.01%
CSCO Cisco Systems, Inc.	2.06%	28.56%	62.91%	59.13%	92.26%	39.53%	21.53%	19.19%
CSL Carlisle Companies Incorporated	-2.28%	-5.87%	6.34%	5.60%	-9.43%	14.52%	13.85%	14.38%
CSX CSX Corporation	0.26%	5.41%	30.79%	30.43%	48.23%	15.03%	9.11%	19.77%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since May 2, 2018, Russell 1000 Low PEG, LOW P/FCF's average daily return is +0.08%, while the average monthly return is +1.65%. At this rate, an investment would double in approximately 3.5 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2020 with a return of +20.1%, while the worst month was Mar 2020 at -22.6%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Russell 1000 Low PEG, LOW P/FCF closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +13.4%, while the worst single day was Mar 16, 2020 at -14.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	6.88%	5.13%	-6.07%	6.90%	2.75%	-1.17%							14.56%
2025	4.43%	-4.81%	-4.79%	-2.78%	3.75%	4.47%	3.93%	3.93%	1.45%	-0.74%	0.78%	0.55%	9.92%
2024	-0.21%	6.85%	6.77%	-5.61%	2.80%	-2.11%	5.41%	-0.46%	3.05%	-3.12%	8.90%	-7.08%	14.62%
2023	9.45%	-1.09%	0.14%	0.71%	-2.92%	11.50%	4.17%	-1.09%	-4.39%	-4.68%	9.75%	8.96%	32.70%
2022	-4.05%	-1.84%	3.13%	-5.69%	2.43%	-11.78%	13.51%	-2.53%	-8.70%	11.55%	7.42%	-3.55%	-3.37%
2021	0.55%	9.45%	7.64%	4.44%	1.82%	0.61%	1.02%	2.14%	-5.05%	7.24%	-2.54%	4.88%	36.10%

Benchmark Metrics

Russell 1000 Low PEG, LOW P/FCF has an annualized alpha of 4.46%, beta of 1.08, and R2 of 0.82 versus S&P 500 Index. Calculated based on daily prices since May 02, 2018.

This portfolio captured 127.48% of S&P 500 Index gains and 106.82% of its losses - amplifying both gains and losses, but participating more in upside than downside.
This portfolio generated an annualized alpha of 4.46% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.08 and R2 of 0.82, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha: 4.46%

Beta: 1.08

R²: 0.82

Upside Capture: 127.48%

Downside Capture: 106.82%

Expense Ratio

Russell 1000 Low PEG, LOW P/FCF 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.

Return for Risk

Risk / Return Rank

Russell 1000 Low PEG, LOW P/FCF ranks 34 for risk / return — below 34% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Russell 1000 Low PEG, LOW P/FCF and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.82	1.94	-0.12
Sortino ratioReturn per unit of downside risk	2.64	2.63	+0.01
Omega ratioGain probability vs. loss probability	1.32	1.35	-0.03
Calmar ratioReturn relative to maximum drawdown	3.14	2.59	+0.55
Martin ratioReturn relative to average drawdown	10.83	11.84	-1.01
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
ALLE Allegion plc	30	-0.29	-0.23	0.97	-0.24	-0.55
AMAT Applied Materials, Inc.	96	4.15	3.81	1.55	9.29	26.48
BBWI Bath & Body Works, Inc.	23	-0.51	-0.42	0.95	-0.52	-0.91
BKNG Booking Holdings Inc.	9	-0.86	-1.12	0.87	-0.82	-1.58
BLD TopBuild Corp.	65	0.79	1.62	1.17	0.88	2.24
CAT Caterpillar Inc.	98	4.76	5.44	1.69	11.74	38.95
CPAY Corpay, Inc.	44	0.09	0.42	1.05	0.13	0.28
CSCO Cisco Systems, Inc.	95	3.02	3.55	1.54	6.83	19.08
CSL Carlisle Companies Incorporated	30	-0.27	-0.14	0.98	-0.30	-0.50
CSX CSX Corporation	89	2.18	3.01	1.38	4.08	10.90

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Russell 1000 Low PEG, LOW P/FCF Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 1.82
5-Year: 0.76
All Time: 0.83

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.64 to 2.53, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Russell 1000 Low PEG, LOW P/FCF compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Russell 1000 Low PEG, LOW P/FCF provided a 1.33% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.33%	1.41%	1.33%	1.33%	1.46%	1.58%	1.25%	1.53%	1.65%	1.11%	1.31%	4.26%
Portfolio components:
ALLE Allegion plc	1.63%	1.28%	1.47%	1.42%	1.56%	1.09%	1.10%	0.87%	1.05%	0.80%	0.75%	0.61%
AMAT Applied Materials, Inc.	0.39%	0.69%	0.93%	0.75%	1.05%	0.60%	1.01%	1.36%	2.14%	0.78%	1.24%	2.14%
BBWI Bath & Body Works, Inc.	4.37%	3.98%	2.06%	1.85%	1.90%	22.61%	0.81%	6.62%	9.35%	3.99%	6.68%	4.17%
BKNG Booking Holdings Inc.	0.99%	0.72%	0.70%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
BLD TopBuild Corp.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CAT Caterpillar Inc.	0.66%	1.02%	1.49%	1.69%	1.93%	2.07%	2.26%	2.56%	2.58%	1.97%	3.32%	4.33%
CPAY Corpay, 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%
CSCO Cisco Systems, Inc.	1.33%	2.12%	2.69%	3.07%	3.17%	2.32%	3.20%	2.88%	2.95%	2.95%	3.28%	3.02%
CSL Carlisle Companies Incorporated	1.30%	1.31%	1.00%	1.02%	1.09%	0.86%	1.31%	1.11%	1.53%	1.27%	1.18%	1.24%
CSX CSX Corporation	1.15%	1.43%	1.49%	1.27%	1.29%	0.99%	1.15%	1.33%	1.42%	1.42%	2.00%	2.70%

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Russell 1000 Low PEG, LOW P/FCF. 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 Russell 1000 Low PEG, LOW P/FCF was 43.01%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.

The current Russell 1000 Low PEG, LOW P/FCF drawdown is 2.42%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-43.01%Mar 2020	1mo 1d	4mo 15d	5mo 16dFeb 2020 - Aug 2020
2025 selloff2025	-23.29%Apr 2025	4mo 6d	4mo 7d	8mo 13dDec 2024 - Aug 2025
Rate-hike selloffLate 2018	-22.19%Dec 2018	3mo 4d	3mo 12d	6mo 16dSep 2018 - Apr 2019
Bear market2022	-19.44%Jun 2022	7mo 1d	6mo 29d	1y 1moNov 2021 - Jan 2023
2023 correction2023	-11.41%Oct 2023	2mo 26d	1mo 5d	4mo 1dAug 2023 - Dec 2023

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 47 assets, with an effective number of assets of 46.52, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	2.21	1.85	1.72	1.59

The portfolio has a diversification ratio of 1.59, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Russell 1000 Low PEG, LOW P/FCF correlation to the S&P 500 Index

Russell 1000 Low PEG, LOW P/FCF has a 0.70 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.85
Correlation (All Time) Calculated using the full available price history since May 2, 2018	0.85

Benchmark Correlations

Correlation vs. S&P 500 Index. GOOG has the highest benchmark correlation at 0.70, while HSY has the lowest at 0.23.

0.23

0.29

0.30

0.31

0.31

0.32

0.39

0.40

0.41

0.45

0.47

0.47

0.48

0.49

0.50

0.50

0.51

0.51

0.53

0.53

0.54

0.55

0.56

0.58

0.59

0.60

0.60

0.60

0.61

0.61

0.62

0.62

0.62

0.63

0.63

Portfolio Correlations

Correlation vs. Russell 1000 Low PEG, LOW P/FCF. ITT has the highest portfolio correlation at 0.81, while HSY has the lowest at 0.22.

0.22

0.33

0.35

0.39

0.41

0.47

0.47

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	HSY	UTHR	EQT	LMT	LNG	ENPH	EOG	META	EBAY	HCA	HAL	MEDP	GOOG	BBWI	PYPL	SLB	DECK	WSM	DHI	BKNG	GD	OMC	CSCO	PHM	WSC	STLD	AMAT	FFIV	TPR	GPN	SWKS	DLB	CPAY	BLD	CSX	PCAR	NVT	CSL	ALLE	OC	CAT	NDSN	PNR	LECO	DOV	PH	ITT
HSY	1.00	0.15	0.02	0.29	0.05	0.08	0.08	0.03	0.14	0.24	0.07	0.13	0.09	0.11	0.11	0.08	0.10	0.12	0.20	0.11	0.27	0.23	0.20	0.19	0.09	0.09	0.05	0.12	0.09	0.21	0.10	0.16	0.18	0.15	0.25	0.21	0.09	0.20	0.26	0.14	0.14	0.22	0.15	0.18	0.21	0.15	0.14
UTHR	0.15	1.00	0.18	0.17	0.14	0.17	0.18	0.16	0.20	0.25	0.20	0.28	0.19	0.16	0.18	0.20	0.17	0.19	0.16	0.22	0.21	0.19	0.22	0.15	0.20	0.19	0.21	0.22	0.18	0.24	0.24	0.22	0.23	0.18	0.24	0.21	0.24	0.25	0.22	0.19	0.24	0.24	0.23	0.23	0.25	0.25	0.24
EQT	0.02	0.18	1.00	0.15	0.38	0.15	0.46	0.14	0.22	0.21	0.42	0.15	0.16	0.21	0.16	0.40	0.16	0.17	0.10	0.18	0.24	0.23	0.23	0.14	0.20	0.27	0.20	0.21	0.26	0.17	0.21	0.17	0.23	0.18	0.22	0.24	0.25	0.22	0.18	0.23	0.29	0.20	0.26	0.28	0.25	0.30	0.28
LMT	0.29	0.17	0.15	1.00	0.23	0.08	0.28	0.07	0.20	0.28	0.26	0.15	0.12	0.16	0.14	0.26	0.12	0.14	0.19	0.17	0.64	0.28	0.26	0.20	0.19	0.24	0.12	0.19	0.18	0.26	0.12	0.21	0.27	0.18	0.31	0.31	0.23	0.27	0.33	0.22	0.31	0.29	0.27	0.31	0.32	0.31	0.28
LNG	0.05	0.14	0.38	0.23	1.00	0.15	0.52	0.15	0.17	0.22	0.48	0.19	0.18	0.21	0.20	0.46	0.17	0.15	0.13	0.26	0.28	0.24	0.25	0.15	0.22	0.31	0.21	0.26	0.25	0.23	0.22	0.23	0.28	0.18	0.29	0.24	0.27	0.22	0.24	0.24	0.32	0.25	0.25	0.28	0.27	0.34	0.31
ENPH	0.08	0.17	0.15	0.08	0.15	1.00	0.16	0.26	0.26	0.19	0.20	0.33	0.28	0.28	0.34	0.20	0.29	0.31	0.28	0.23	0.18	0.18	0.24	0.27	0.33	0.25	0.36	0.28	0.26	0.28	0.40	0.30	0.26	0.34	0.25	0.25	0.25	0.29	0.27	0.30	0.26	0.34	0.28	0.28	0.29	0.28	0.29
EOG	0.08	0.18	0.46	0.28	0.52	0.16	1.00	0.11	0.17	0.25	0.73	0.19	0.18	0.23	0.16	0.70	0.17	0.17	0.12	0.24	0.37	0.30	0.27	0.17	0.28	0.39	0.22	0.26	0.27	0.23	0.23	0.23	0.32	0.19	0.33	0.32	0.30	0.25	0.25	0.27	0.44	0.26	0.28	0.33	0.32	0.38	0.35
META	0.03	0.16	0.14	0.07	0.15	0.26	0.11	1.00	0.34	0.23	0.15	0.34	0.63	0.22	0.52	0.16	0.36	0.32	0.27	0.42	0.18	0.23	0.37	0.28	0.30	0.25	0.47	0.41	0.30	0.37	0.44	0.41	0.36	0.31	0.29	0.28	0.35	0.29	0.31	0.34	0.28	0.35	0.34	0.32	0.31	0.35	0.38
EBAY	0.14	0.20	0.22	0.20	0.17	0.26	0.17	0.34	1.00	0.30	0.20	0.33	0.36	0.29	0.45	0.20	0.27	0.39	0.30	0.33	0.27	0.32	0.38	0.31	0.26	0.26	0.34	0.38	0.30	0.36	0.40	0.36	0.35	0.32	0.34	0.35	0.29	0.34	0.39	0.33	0.31	0.37	0.38	0.35	0.37	0.35	0.38
HCA	0.24	0.25	0.21	0.28	0.22	0.19	0.25	0.23	0.30	1.00	0.27	0.32	0.27	0.33	0.23	0.29	0.31	0.31	0.34	0.31	0.40	0.38	0.37	0.36	0.31	0.32	0.30	0.34	0.37	0.33	0.32	0.35	0.34	0.35	0.39	0.37	0.37	0.39	0.44	0.36	0.38	0.39	0.42	0.40	0.44	0.41	0.45
HAL	0.07	0.20	0.42	0.26	0.48	0.20	0.73	0.15	0.20	0.27	1.00	0.23	0.21	0.28	0.18	0.84	0.24	0.24	0.19	0.29	0.39	0.35	0.28	0.23	0.35	0.46	0.29	0.29	0.34	0.28	0.31	0.28	0.37	0.26	0.39	0.39	0.40	0.33	0.31	0.35	0.53	0.36	0.37	0.43	0.42	0.46	0.46
MEDP	0.13	0.28	0.15	0.15	0.19	0.33	0.19	0.34	0.33	0.32	0.23	1.00	0.39	0.28	0.42	0.23	0.35	0.35	0.33	0.33	0.31	0.29	0.36	0.32	0.37	0.30	0.40	0.41	0.31	0.38	0.40	0.41	0.38	0.38	0.34	0.33	0.37	0.38	0.39	0.38	0.31	0.43	0.40	0.38	0.40	0.40	0.42
GOOG	0.09	0.19	0.16	0.12	0.18	0.28	0.18	0.63	0.36	0.27	0.21	0.39	1.00	0.24	0.49	0.23	0.34	0.31	0.30	0.44	0.26	0.26	0.45	0.31	0.32	0.28	0.50	0.43	0.31	0.42	0.46	0.44	0.40	0.31	0.35	0.31	0.36	0.32	0.33	0.35	0.35	0.39	0.37	0.36	0.36	0.39	0.41
BBWI	0.11	0.16	0.21	0.16	0.21	0.28	0.23	0.22	0.29	0.33	0.28	0.28	0.24	1.00	0.31	0.28	0.45	0.43	0.36	0.33	0.28	0.36	0.29	0.38	0.39	0.36	0.31	0.34	0.53	0.33	0.35	0.37	0.35	0.42	0.38	0.38	0.40	0.40	0.37	0.45	0.37	0.39	0.46	0.43	0.44	0.43	0.45
PYPL	0.11	0.18	0.16	0.14	0.20	0.34	0.16	0.52	0.45	0.23	0.18	0.42	0.49	0.31	1.00	0.18	0.38	0.35	0.32	0.40	0.24	0.29	0.40	0.32	0.34	0.26	0.43	0.43	0.32	0.54	0.48	0.46	0.49	0.36	0.34	0.32	0.29	0.34	0.38	0.37	0.31	0.40	0.37	0.33	0.36	0.37	0.38
SLB	0.08	0.20	0.40	0.26	0.46	0.20	0.70	0.16	0.20	0.29	0.84	0.23	0.23	0.28	0.18	1.00	0.26	0.25	0.22	0.31	0.39	0.37	0.28	0.25	0.35	0.46	0.30	0.29	0.35	0.28	0.31	0.29	0.36	0.28	0.39	0.41	0.43	0.36	0.33	0.38	0.55	0.36	0.39	0.44	0.43	0.47	0.47
DECK	0.10	0.17	0.16	0.12	0.17	0.29	0.17	0.36	0.27	0.31	0.24	0.35	0.34	0.45	0.38	0.26	1.00	0.45	0.40	0.39	0.26	0.32	0.30	0.43	0.41	0.33	0.39	0.38	0.50	0.38	0.39	0.42	0.37	0.46	0.37	0.37	0.42	0.43	0.38	0.46	0.36	0.43	0.44	0.42	0.44	0.44	0.47
WSM	0.12	0.19	0.17	0.14	0.15	0.31	0.17	0.32	0.39	0.31	0.24	0.35	0.31	0.43	0.35	0.25	0.45	1.00	0.42	0.32	0.27	0.33	0.32	0.44	0.39	0.36	0.39	0.38	0.46	0.33	0.40	0.39	0.33	0.48	0.36	0.38	0.41	0.41	0.42	0.48	0.38	0.46	0.47	0.43	0.44	0.44	0.46
DHI	0.20	0.16	0.10	0.19	0.13	0.28	0.12	0.27	0.30	0.34	0.19	0.33	0.30	0.36	0.32	0.22	0.40	0.42	1.00	0.30	0.29	0.35	0.28	0.89	0.38	0.30	0.35	0.33	0.36	0.38	0.38	0.38	0.34	0.71	0.37	0.39	0.36	0.45	0.49	0.59	0.34	0.47	0.50	0.42	0.44	0.41	0.44
BKNG	0.11	0.22	0.18	0.17	0.26	0.23	0.24	0.42	0.33	0.31	0.29	0.33	0.44	0.33	0.40	0.31	0.39	0.32	0.30	1.00	0.31	0.42	0.37	0.31	0.38	0.33	0.40	0.40	0.41	0.46	0.40	0.43	0.46	0.34	0.39	0.38	0.41	0.41	0.39	0.42	0.43	0.40	0.43	0.43	0.42	0.48	0.47
GD	0.27	0.21	0.24	0.64	0.28	0.18	0.37	0.18	0.27	0.40	0.39	0.31	0.26	0.28	0.24	0.39	0.26	0.27	0.29	0.31	1.00	0.44	0.40	0.33	0.36	0.39	0.26	0.36	0.34	0.38	0.27	0.36	0.40	0.34	0.47	0.49	0.41	0.48	0.48	0.41	0.49	0.48	0.46	0.51	0.53	0.51	0.49
OMC	0.23	0.19	0.23	0.28	0.24	0.18	0.30	0.23	0.32	0.38	0.35	0.29	0.26	0.36	0.29	0.37	0.32	0.33	0.35	0.42	0.44	1.00	0.39	0.38	0.35	0.39	0.29	0.36	0.43	0.43	0.36	0.40	0.44	0.35	0.44	0.49	0.40	0.44	0.49	0.45	0.45	0.44	0.48	0.47	0.47	0.48	0.48
CSCO	0.20	0.22	0.23	0.26	0.25	0.24	0.27	0.37	0.38	0.37	0.28	0.36	0.45	0.29	0.40	0.28	0.30	0.32	0.28	0.37	0.40	0.39	1.00	0.29	0.31	0.33	0.45	0.59	0.35	0.41	0.47	0.46	0.41	0.29	0.45	0.41	0.42	0.37	0.43	0.35	0.44	0.47	0.42	0.44	0.47	0.45	0.48
PHM	0.19	0.15	0.14	0.20	0.15	0.27	0.17	0.28	0.31	0.36	0.23	0.32	0.31	0.38	0.32	0.25	0.43	0.44	0.89	0.31	0.33	0.38	0.29	1.00	0.40	0.34	0.36	0.33	0.41	0.40	0.38	0.40	0.38	0.72	0.40	0.42	0.39	0.47	0.50	0.62	0.38	0.48	0.54	0.45	0.47	0.44	0.47
WSC	0.09	0.20	0.20	0.19	0.22	0.33	0.28	0.30	0.26	0.31	0.35	0.37	0.32	0.39	0.34	0.35	0.41	0.39	0.38	0.38	0.36	0.35	0.31	0.40	1.00	0.42	0.41	0.39	0.41	0.40	0.39	0.40	0.40	0.44	0.42	0.44	0.49	0.49	0.45	0.52	0.49	0.48	0.47	0.50	0.50	0.52	0.52
STLD	0.09	0.19	0.27	0.24	0.31	0.25	0.39	0.25	0.26	0.32	0.46	0.30	0.28	0.36	0.26	0.46	0.33	0.36	0.30	0.33	0.39	0.39	0.33	0.34	0.42	1.00	0.40	0.37	0.44	0.37	0.39	0.38	0.39	0.38	0.45	0.48	0.50	0.47	0.43	0.49	0.56	0.49	0.48	0.54	0.51	0.53	0.55
AMAT	0.05	0.21	0.20	0.12	0.21	0.36	0.22	0.47	0.34	0.30	0.29	0.40	0.50	0.31	0.43	0.30	0.39	0.39	0.35	0.40	0.26	0.29	0.45	0.36	0.41	0.40	1.00	0.50	0.41	0.36	0.66	0.47	0.38	0.41	0.40	0.42	0.50	0.41	0.41	0.45	0.47	0.49	0.44	0.46	0.46	0.50	0.54
FFIV	0.12	0.22	0.21	0.19	0.26	0.28	0.26	0.41	0.38	0.34	0.29	0.41	0.43	0.34	0.43	0.29	0.38	0.38	0.33	0.40	0.36	0.36	0.59	0.33	0.39	0.37	0.50	1.00	0.41	0.41	0.51	0.49	0.44	0.38	0.43	0.40	0.45	0.40	0.43	0.40	0.42	0.50	0.51	0.46	0.50	0.51	0.54
TPR	0.09	0.18	0.26	0.18	0.25	0.26	0.27	0.30	0.30	0.37	0.34	0.31	0.31	0.53	0.32	0.35	0.50	0.46	0.36	0.41	0.34	0.43	0.35	0.41	0.41	0.44	0.41	0.41	1.00	0.40	0.40	0.41	0.42	0.45	0.44	0.44	0.48	0.45	0.44	0.48	0.48	0.45	0.51	0.49	0.51	0.53	0.54
GPN	0.21	0.24	0.17	0.26	0.23	0.28	0.23	0.37	0.36	0.33	0.28	0.38	0.42	0.33	0.54	0.28	0.38	0.33	0.38	0.46	0.38	0.43	0.41	0.40	0.40	0.37	0.36	0.41	0.40	1.00	0.44	0.50	0.64	0.41	0.46	0.42	0.38	0.47	0.49	0.45	0.42	0.48	0.45	0.43	0.50	0.46	0.48
SWKS	0.10	0.24	0.21	0.12	0.22	0.40	0.23	0.44	0.40	0.32	0.31	0.40	0.46	0.35	0.48	0.31	0.39	0.40	0.38	0.40	0.27	0.36	0.47	0.38	0.39	0.39	0.66	0.51	0.40	0.44	1.00	0.52	0.41	0.43	0.41	0.43	0.41	0.42	0.46	0.46	0.45	0.50	0.48	0.48	0.49	0.49	0.51
DLB	0.16	0.22	0.17	0.21	0.23	0.30	0.23	0.41	0.36	0.35	0.28	0.41	0.44	0.37	0.46	0.29	0.42	0.39	0.38	0.43	0.36	0.40	0.46	0.40	0.40	0.38	0.47	0.49	0.41	0.50	0.52	1.00	0.46	0.41	0.46	0.43	0.43	0.45	0.48	0.47	0.40	0.53	0.50	0.49	0.50	0.47	0.51
CPAY	0.18	0.23	0.23	0.27	0.28	0.26	0.32	0.36	0.35	0.34	0.37	0.38	0.40	0.35	0.49	0.36	0.37	0.33	0.34	0.46	0.40	0.44	0.41	0.38	0.40	0.39	0.38	0.44	0.42	0.64	0.41	0.46	1.00	0.41	0.49	0.43	0.41	0.47	0.48	0.43	0.47	0.48	0.48	0.48	0.51	0.49	0.52
BLD	0.15	0.18	0.18	0.18	0.18	0.34	0.19	0.31	0.32	0.35	0.26	0.38	0.31	0.42	0.36	0.28	0.46	0.48	0.71	0.34	0.34	0.35	0.29	0.72	0.44	0.38	0.41	0.38	0.45	0.41	0.43	0.41	0.41	1.00	0.44	0.44	0.46	0.55	0.52	0.67	0.44	0.54	0.56	0.50	0.52	0.50	0.52
CSX	0.25	0.24	0.22	0.31	0.29	0.25	0.33	0.29	0.34	0.39	0.39	0.34	0.35	0.38	0.34	0.39	0.37	0.36	0.37	0.39	0.47	0.44	0.45	0.40	0.42	0.45	0.40	0.43	0.44	0.46	0.41	0.46	0.49	0.44	1.00	0.53	0.48	0.53	0.51	0.49	0.56	0.56	0.55	0.58	0.61	0.60	0.58
PCAR	0.21	0.21	0.24	0.31	0.24	0.25	0.32	0.28	0.35	0.37	0.39	0.33	0.31	0.38	0.32	0.41	0.37	0.38	0.39	0.38	0.49	0.49	0.41	0.42	0.44	0.48	0.42	0.40	0.44	0.42	0.43	0.43	0.43	0.44	0.53	1.00	0.52	0.54	0.53	0.53	0.63	0.58	0.57	0.62	0.62	0.66	0.62
NVT	0.09	0.24	0.25	0.23	0.27	0.25	0.30	0.35	0.29	0.37	0.40	0.37	0.36	0.40	0.29	0.43	0.42	0.41	0.36	0.41	0.41	0.40	0.42	0.39	0.49	0.50	0.50	0.45	0.48	0.38	0.41	0.43	0.41	0.46	0.48	0.52	1.00	0.56	0.49	0.55	0.62	0.53	0.57	0.60	0.60	0.66	0.68
CSL	0.20	0.25	0.22	0.27	0.22	0.29	0.25	0.29	0.34	0.39	0.33	0.38	0.32	0.40	0.34	0.36	0.43	0.41	0.45	0.41	0.48	0.44	0.37	0.47	0.49	0.47	0.41	0.40	0.45	0.47	0.42	0.45	0.47	0.55	0.53	0.54	0.56	1.00	0.59	0.61	0.54	0.59	0.60	0.63	0.63	0.63	0.63
ALLE	0.26	0.22	0.18	0.33	0.24	0.27	0.25	0.31	0.39	0.44	0.31	0.39	0.33	0.37	0.38	0.33	0.38	0.42	0.49	0.39	0.48	0.49	0.43	0.50	0.45	0.43	0.41	0.43	0.44	0.49	0.46	0.48	0.48	0.52	0.51	0.53	0.49	0.59	1.00	0.55	0.52	0.61	0.64	0.62	0.65	0.59	0.62
OC	0.14	0.19	0.23	0.22	0.24	0.30	0.27	0.34	0.33	0.36	0.35	0.38	0.35	0.45	0.37	0.38	0.46	0.48	0.59	0.42	0.41	0.45	0.35	0.62	0.52	0.49	0.45	0.40	0.48	0.45	0.46	0.47	0.43	0.67	0.49	0.53	0.55	0.61	0.55	1.00	0.53	0.58	0.61	0.58	0.59	0.59	0.61
CAT	0.14	0.24	0.29	0.31	0.32	0.26	0.44	0.28	0.31	0.38	0.53	0.31	0.35	0.37	0.31	0.55	0.36	0.38	0.34	0.43	0.49	0.45	0.44	0.38	0.49	0.56	0.47	0.42	0.48	0.42	0.45	0.40	0.47	0.44	0.56	0.63	0.62	0.54	0.52	0.53	1.00	0.57	0.57	0.68	0.65	0.71	0.69
NDSN	0.22	0.24	0.20	0.29	0.25	0.34	0.26	0.35	0.37	0.39	0.36	0.43	0.39	0.39	0.40	0.36	0.43	0.46	0.47	0.40	0.48	0.44	0.47	0.48	0.48	0.49	0.49	0.50	0.45	0.48	0.50	0.53	0.48	0.54	0.56	0.58	0.53	0.59	0.61	0.58	0.57	1.00	0.67	0.68	0.69	0.65	0.67
PNR	0.15	0.23	0.26	0.27	0.25	0.28	0.28	0.34	0.38	0.42	0.37	0.40	0.37	0.46	0.37	0.39	0.44	0.47	0.50	0.43	0.46	0.48	0.42	0.54	0.47	0.48	0.44	0.51	0.51	0.45	0.48	0.50	0.48	0.56	0.55	0.57	0.57	0.60	0.64	0.61	0.57	0.67	1.00	0.67	0.71	0.70	0.69
LECO	0.18	0.23	0.28	0.31	0.28	0.28	0.33	0.32	0.35	0.40	0.43	0.38	0.36	0.43	0.33	0.44	0.42	0.43	0.42	0.43	0.51	0.47	0.44	0.45	0.50	0.54	0.46	0.46	0.49	0.43	0.48	0.49	0.48	0.50	0.58	0.62	0.60	0.63	0.62	0.58	0.68	0.68	0.67	1.00	0.71	0.72	0.73
DOV	0.21	0.25	0.25	0.32	0.27	0.29	0.32	0.31	0.37	0.44	0.42	0.40	0.36	0.44	0.36	0.43	0.44	0.44	0.44	0.42	0.53	0.47	0.47	0.47	0.50	0.51	0.46	0.50	0.51	0.50	0.49	0.50	0.51	0.52	0.61	0.62	0.60	0.63	0.65	0.59	0.65	0.69	0.71	0.71	1.00	0.74	0.74
PH	0.15	0.25	0.30	0.31	0.34	0.28	0.38	0.35	0.35	0.41	0.46	0.40	0.39	0.43	0.37	0.47	0.44	0.44	0.41	0.48	0.51	0.48	0.45	0.44	0.52	0.53	0.50	0.51	0.53	0.46	0.49	0.47	0.49	0.50	0.60	0.66	0.66	0.63	0.59	0.59	0.71	0.65	0.70	0.72	0.74	1.00	0.78
ITT	0.14	0.24	0.28	0.28	0.31	0.29	0.35	0.38	0.38	0.45	0.46	0.42	0.41	0.45	0.38	0.47	0.47	0.46	0.44	0.47	0.49	0.48	0.48	0.47	0.52	0.55	0.54	0.54	0.54	0.48	0.51	0.51	0.52	0.52	0.58	0.62	0.68	0.63	0.62	0.61	0.69	0.67	0.69	0.73	0.74	0.78	1.00

The correlation results are calculated based on daily price changes starting from May 2, 2018

Diversification Analysis

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See which holdings overlap, where Russell 1000 Low PEG, LOW P/FCF is concentrated, and which low-correlation assets could fill the gaps.

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