Russell 1000 Low PEG, LOW P/FCF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification
Russell 1000 Low PEG, LOW P/FCF
Last updated Sep 21, 2024
Russell 1000: Price/Free Cash Flow: Under 25, PEG: Under 3, Operating Margin: Over 15%, Quick Ratio Over 0.5, Net Profit Margin: Over 5%, Equal Weight. DRAFT. Investment minimum: $178,500. MTCH & ABNB excluded
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ALLE Allegion plc | Industrials | 2.10% |
AMAT Applied Materials, Inc. | Technology | 2% |
BBWI Bath & Body Works, Inc. | Consumer Cyclical | 2.10% |
BKNG Booking Holdings Inc. | Consumer Cyclical | 2.10% |
BLD TopBuild Corp. | Industrials | 2.10% |
CAT Caterpillar Inc. | Industrials | 2% |
CSCO Cisco Systems, Inc. | Technology | 2% |
CSL Carlisle Companies Incorporated | Industrials | 2.50% |
CSX CSX Corporation | Industrials | 2.50% |
DECK Deckers Outdoor Corporation | Consumer Cyclical | 2% |
DHI D.R. Horton, Inc. | Consumer Cyclical | 2.50% |
DLB Dolby Laboratories, Inc. | Technology | 2.70% |
DOV Dover Corporation | Industrials | 2.65% |
EBAY eBay Inc. | Consumer Cyclical | 2% |
ENPH Enphase Energy, Inc. | Technology | 2% |
EOG EOG Resources, Inc. | Energy | 2.50% |
EQT EQT Corporation | Energy | 2% |
FFIV F5 Networks, Inc. | Technology | 2.10% |
FLT FleetCor Technologies, Inc. | Technology | 2% |
GD General Dynamics Corporation | 2% | |
GOOG | 2% | |
GPN | 2.10% | |
HAL | 2% | |
HCA | 2.10% | |
HSY | 2% | |
ITT | 2% | |
LECO | 2.50% | |
LMT | 2% | |
LNG | 2% | |
MEDP | 2% | |
META | 2% | |
NDSN | 2.50% | |
NVT | 2% | |
OC | 2.50% | |
OMC | 2.20% | |
PCAR | 2% | |
PH | 2.10% | |
PHM | 2.10% | |
PNR | 2.10% | |
PYPL | 2% | |
SLB | 2.10% | |
STLD | 2% | |
SWKS | 2% | |
TPR | 2% | |
UTHR | 2.10% | |
WSC | 1.65% | |
WSM | 2.10% |
Quarterly
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 Quarterly
Russell 1000 Low PEG, LOW P/FCF
Benchmark (^GSPC)
Portfolio components
The earliest data available for this chart is Jun 17, 2015, corresponding to the inception date of BLD
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| Russell 1000 Low PEG, LOW P/FCF | 14.93% | 2.51% | 2.17% | 31.87% | 23.65% | N/A |
| Portfolio components: | ||||||
GOOG | 17.11% | -1.65% | 8.75% | 25.64% | 21.87% | N/A |
META | 59.07% | 4.99% | 10.37% | 90.39% | 24.32% | N/A |
CSCO Cisco Systems, Inc. | 5.41% | 3.01% | 6.15% | 0.56% | 4.14% | 11.17% |
CAT Caterpillar Inc. | 26.29% | 7.54% | 3.79% | 37.97% | 26.44% | 17.11% |
AMAT Applied Materials, Inc. | 19.21% | -7.93% | -8.26% | 43.22% | 31.71% | 26.09% |
BKNG Booking Holdings Inc. | 15.39% | 8.97% | 12.64% | 34.81% | 15.07% | 13.41% |
LMT | 28.68% | 3.86% | 29.85% | 40.68% | 11.00% | N/A |
HCA | 50.35% | 7.61% | 23.09% | 60.94% | 27.75% | N/A |
SLB | -16.98% | -3.42% | -20.43% | -26.19% | 5.06% | N/A |
GD General Dynamics Corporation | 19.99% | 4.35% | 10.23% | 41.27% | 13.10% | 11.82% |
EOG EOG Resources, Inc. | 6.47% | 0.84% | 2.35% | 7.05% | 14.22% | 4.97% |
CSX CSX Corporation | 1.79% | 3.74% | -5.81% | 14.16% | 10.27% | 14.50% |
PYPL | 25.00% | 7.42% | 18.51% | 30.95% | -6.02% | N/A |
PH | 36.56% | 6.75% | 13.06% | 65.46% | 30.70% | N/A |
DHI D.R. Horton, Inc. | 27.00% | 2.91% | 19.03% | 77.41% | 31.43% | 26.02% |
PCAR | 2.16% | 3.01% | -19.59% | 23.42% | 20.53% | N/A |
LNG | 6.67% | -0.65% | 13.70% | 14.93% | 22.81% | N/A |
HSY | 7.03% | -1.03% | 0.07% | -3.55% | 7.13% | N/A |
GPN | -12.25% | 1.46% | -15.81% | -6.74% | -6.65% | N/A |
HAL | -17.20% | -5.58% | -22.41% | -26.24% | 9.43% | N/A |
PHM | 38.11% | 10.52% | 22.21% | 93.29% | 33.30% | N/A |
EBAY eBay Inc. | 45.96% | 7.38% | 23.16% | 45.86% | 11.13% | 12.05% |
DOV Dover Corporation | 24.04% | 4.07% | 7.81% | 35.26% | 15.54% | 12.23% |
FLT FleetCor Technologies, Inc. | -5.19% | 0.00% | -11.65% | -0.75% | -1.51% | N/A |
STLD | 2.16% | 0.66% | -16.22% | 22.12% | 34.61% | N/A |
DECK Deckers Outdoor Corporation | 35.30% | -5.55% | -1.96% | 79.02% | 46.10% | 25.03% |
OMC | 20.89% | 5.86% | 10.45% | 41.17% | 9.54% | N/A |
SWKS | -11.26% | -9.37% | -6.11% | 4.37% | 6.26% | N/A |
ENPH Enphase Energy, Inc. | -13.05% | -3.70% | 0.25% | -7.97% | 33.20% | 22.17% |
EQT EQT Corporation | -8.68% | 5.23% | 2.28% | -8.53% | 26.32% | -2.88% |
CSL Carlisle Companies Incorporated | 40.84% | 5.79% | 13.42% | 72.49% | 26.19% | 19.88% |
NDSN | -2.46% | 3.46% | -4.29% | 15.48% | 13.32% | N/A |
OC | 18.88% | 6.64% | 5.31% | 31.32% | 25.33% | N/A |
WSM | 49.32% | 3.45% | -4.05% | 114.51% | 38.59% | N/A |
LECO | -14.15% | -5.54% | -27.65% | 6.39% | 18.60% | N/A |
PNR | 31.57% | 11.77% | 13.59% | 47.56% | 22.85% | N/A |
BLD TopBuild Corp. | 8.51% | 4.05% | -6.77% | 63.51% | 33.74% | N/A |
ALLE Allegion plc | 12.05% | 4.73% | 5.46% | 37.21% | 8.17% | 12.37% |
UTHR | 60.53% | 0.40% | 48.38% | 57.81% | 32.70% | N/A |
FFIV F5 Networks, Inc. | 22.49% | 9.94% | 15.04% | 39.19% | 9.85% | 6.18% |
BBWI Bath & Body Works, Inc. | -31.17% | -14.90% | -36.73% | -12.26% | 21.39% | 0.40% |
ITT | 22.00% | 7.00% | 9.23% | 53.45% | 20.80% | N/A |
NVT | 20.27% | 6.84% | -3.88% | 33.55% | 29.27% | N/A |
MEDP | 19.30% | -7.58% | -10.54% | 51.86% | 33.95% | N/A |
TPR | 18.46% | 4.33% | -7.81% | 50.19% | 14.06% | N/A |
WSC | -10.56% | 6.22% | -13.35% | -4.76% | 20.16% | N/A |
DLB Dolby Laboratories, Inc. | -14.00% | -0.39% | -11.80% | -8.50% | 4.77% | 7.00% |
Monthly Returns
The table below presents the monthly returns of Russell 1000 Low PEG, LOW P/FCF, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -0.21% | 6.85% | 6.76% | -5.61% | 2.81% | -2.10% | 5.22% | -0.62% | 14.93% | ||||
| 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% | 9.43% | 7.65% | 4.44% | 1.82% | 0.61% | 0.99% | 2.72% | -5.04% | 7.24% | -2.54% | 4.88% | 36.84% |
| 2020 | -1.13% | -6.35% | -22.59% | 20.14% | 9.73% | 0.36% | 8.46% | 6.08% | -3.70% | 2.17% | 16.59% | 4.58% | 30.91% |
| 2019 | 11.73% | 3.72% | 1.00% | 4.28% | -6.36% | 9.41% | 2.20% | -5.57% | 3.09% | 1.79% | 4.90% | 3.41% | 37.37% |
| 2018 | -3.63% | 3.67% | 0.24% | 3.46% | 1.18% | -0.01% | -10.04% | 3.06% | -9.90% | -12.43% |
Expense Ratio
Russell 1000 Low PEG, LOW P/FCF 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
The current rank of Russell 1000 Low PEG, LOW P/FCF is 34, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Russell 1000 Low PEG, LOW P/FCF
Sharpe Ratio Rank
Sortino Ratio Rank
Omega Ratio Rank
Calmar Ratio Rank
Martin Ratio Rank
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.
Portfolio components
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
GOOG | 0.81 | 1.19 | 1.17 | 1.02 | 2.95 |
META | 2.39 | 3.28 | 1.44 | 3.58 | 14.48 |
CSCO Cisco Systems, Inc. | -0.16 | -0.08 | 0.99 | -0.14 | -0.38 |
CAT Caterpillar Inc. | 1.32 | 1.80 | 1.24 | 1.63 | 4.38 |
AMAT Applied Materials, Inc. | 1.04 | 1.55 | 1.20 | 1.32 | 3.84 |
BKNG Booking Holdings Inc. | 1.27 | 1.62 | 1.25 | 1.69 | 4.94 |
LMT | 2.23 | 3.80 | 1.48 | 1.91 | 11.94 |
HCA | 2.57 | 3.16 | 1.43 | 2.26 | 14.72 |
SLB | -1.03 | -1.38 | 0.83 | -0.75 | -1.44 |
GD General Dynamics Corporation | 2.18 | 3.51 | 1.43 | 2.94 | 20.33 |
EOG EOG Resources, Inc. | 0.20 | 0.44 | 1.05 | 0.22 | 0.48 |
CSX CSX Corporation | 0.74 | 1.14 | 1.13 | 0.62 | 1.60 |
PYPL | 0.75 | 1.23 | 1.15 | 0.31 | 3.77 |
PH | 2.26 | 3.20 | 1.45 | 4.56 | 14.19 |
DHI D.R. Horton, Inc. | 2.14 | 2.82 | 1.38 | 3.08 | 9.85 |
PCAR | 0.89 | 1.27 | 1.18 | 0.82 | 1.77 |
LNG | 0.66 | 1.08 | 1.13 | 0.82 | 1.48 |
HSY | -0.24 | -0.21 | 0.98 | -0.15 | -0.67 |
GPN | -0.33 | -0.28 | 0.97 | -0.16 | -0.53 |
HAL | -1.02 | -1.37 | 0.84 | -0.65 | -1.53 |
PHM | 2.80 | 3.61 | 1.45 | 4.61 | 17.00 |
EBAY eBay Inc. | 1.89 | 2.65 | 1.31 | 0.91 | 11.05 |
DOV Dover Corporation | 1.59 | 2.45 | 1.29 | 1.19 | 8.33 |
FLT FleetCor Technologies, Inc. | -0.12 | -0.02 | 1.00 | -0.08 | -0.24 |
STLD | 0.75 | 1.23 | 1.15 | 0.78 | 1.89 |
DECK Deckers Outdoor Corporation | 1.79 | 2.92 | 1.36 | 3.15 | 7.60 |
OMC | 2.03 | 2.69 | 1.34 | 1.60 | 11.42 |
SWKS | 0.12 | 0.41 | 1.05 | 0.08 | 0.42 |
ENPH Enphase Energy, Inc. | -0.11 | 0.30 | 1.03 | -0.09 | -0.39 |
EQT EQT Corporation | -0.36 | -0.33 | 0.96 | -0.30 | -0.68 |
CSL Carlisle Companies Incorporated | 2.44 | 3.16 | 1.40 | 2.75 | 14.91 |
NDSN | 0.62 | 0.96 | 1.13 | 0.65 | 1.54 |
OC | 0.95 | 1.35 | 1.19 | 1.24 | 4.23 |
WSM | 2.51 | 3.10 | 1.43 | 3.30 | 14.48 |
LECO | 0.17 | 0.41 | 1.05 | 0.14 | 0.29 |
PNR | 1.64 | 2.26 | 1.28 | 1.74 | 9.16 |
BLD TopBuild Corp. | 1.37 | 2.00 | 1.25 | 2.05 | 5.83 |
ALLE Allegion plc | 1.64 | 2.41 | 1.29 | 1.12 | 5.87 |
UTHR | 2.09 | 2.85 | 1.38 | 2.32 | 7.55 |
FFIV F5 Networks, Inc. | 1.49 | 2.17 | 1.31 | 0.89 | 5.12 |
BBWI Bath & Body Works, Inc. | -0.34 | -0.22 | 0.97 | -0.23 | -0.77 |
ITT | 1.93 | 2.51 | 1.33 | 4.07 | 11.14 |
NVT | 0.90 | 1.31 | 1.18 | 1.04 | 2.80 |
MEDP | 1.01 | 1.66 | 1.24 | 1.54 | 4.93 |
TPR | 1.55 | 2.29 | 1.25 | 1.09 | 4.60 |
WSC | -0.19 | -0.03 | 1.00 | -0.18 | -0.36 |
DLB Dolby Laboratories, Inc. | -0.44 | -0.45 | 0.94 | -0.28 | -0.89 |
Russell 1000 Low PEG, LOW P/FCF
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
Russell 1000 Low PEG, LOW P/FCF granted a 1.33% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Russell 1000 Low PEG, LOW P/FCF | 1.33% | 1.33% | 1.46% | 1.08% | 1.25% | 1.56% | 1.70% | 1.08% | 1.28% | 1.42% | 1.03% | 0.85% |
| Portfolio components: | ||||||||||||
GOOG | 0.24% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
META | 0.27% | 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. | 3.04% | 3.07% | 3.17% | 2.32% | 3.20% | 2.88% | 2.95% | 2.95% | 3.28% | 3.02% | 2.66% | 2.27% |
CAT Caterpillar Inc. | 1.44% | 1.69% | 1.93% | 2.07% | 2.26% | 2.56% | 2.58% | 1.97% | 3.32% | 4.33% | 2.84% | 1.89% |
AMAT Applied Materials, Inc. | 0.75% | 0.75% | 1.05% | 0.60% | 1.01% | 1.36% | 2.14% | 0.78% | 1.24% | 2.14% | 1.61% | 2.21% |
BKNG Booking Holdings Inc. | 0.65% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LMT | 2.20% | 2.68% | 2.34% | 2.98% | 2.76% | 2.31% | 3.13% | 2.32% | 2.71% | 2.83% | 2.85% | 3.22% |
HCA | 0.64% | 0.89% | 0.93% | 0.75% | 0.47% | 1.08% | 1.12% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SLB | 2.53% | 1.92% | 1.22% | 1.67% | 4.01% | 4.98% | 5.54% | 2.97% | 2.38% | 2.87% | 1.87% | 1.39% |
GD General Dynamics Corporation | 1.79% | 2.01% | 2.00% | 2.24% | 2.90% | 2.26% | 2.31% | 1.61% | 1.72% | 2.46% | 1.76% | 1.76% |
EOG EOG Resources, Inc. | 4.01% | 4.80% | 6.79% | 4.07% | 2.83% | 1.21% | 0.87% | 0.62% | 0.66% | 0.95% | 0.55% | 0.39% |
CSX CSX Corporation | 1.35% | 1.27% | 1.29% | 0.99% | 1.15% | 1.33% | 1.42% | 1.42% | 2.00% | 2.70% | 1.74% | 2.05% |
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% |
PH | 1.00% | 1.25% | 1.73% | 1.25% | 1.29% | 1.65% | 1.97% | 1.32% | 1.80% | 2.60% | 1.61% | 1.38% |
DHI D.R. Horton, Inc. | 0.63% | 0.69% | 1.04% | 0.76% | 1.05% | 1.18% | 1.51% | 0.83% | 1.24% | 0.84% | 0.79% | 0.67% |
PCAR | 4.38% | 4.31% | 4.23% | 3.22% | 2.29% | 4.53% | 5.41% | 3.08% | 2.44% | 4.89% | 2.73% | 2.87% |
LNG | 0.96% | 0.95% | 0.92% | 0.33% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
HSY | 2.71% | 2.39% | 1.67% | 1.76% | 2.07% | 2.03% | 2.57% | 2.24% | 2.32% | 2.50% | 1.96% | 1.86% |
GPN | 0.90% | 0.79% | 1.01% | 0.66% | 0.36% | 0.12% | 0.04% | 0.04% | 0.06% | 0.06% | 0.10% | 0.12% |
HAL | 2.27% | 1.77% | 1.22% | 0.79% | 1.67% | 2.94% | 2.71% | 1.47% | 1.33% | 2.12% | 1.60% | 1.03% |
PHM | 0.56% | 0.66% | 1.34% | 1.00% | 1.16% | 1.16% | 1.46% | 1.08% | 1.96% | 1.85% | 1.07% | 0.74% |
EBAY eBay Inc. | 1.69% | 2.29% | 2.12% | 1.08% | 1.27% | 1.55% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DOV Dover Corporation | 1.08% | 1.32% | 1.48% | 1.10% | 1.56% | 1.68% | 2.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FLT FleetCor Technologies, 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% |
STLD | 1.48% | 1.44% | 1.39% | 1.68% | 2.71% | 2.82% | 2.50% | 1.44% | 1.57% | 3.08% | 2.33% | 2.25% |
DECK Deckers Outdoor 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% |
OMC | 2.74% | 3.24% | 3.43% | 3.82% | 4.17% | 3.21% | 3.28% | 3.09% | 2.53% | 2.64% | 2.45% | 2.15% |
SWKS | 2.80% | 2.31% | 2.59% | 1.37% | 1.23% | 1.36% | 2.09% | 1.26% | 1.45% | 1.02% | 0.48% | 0.00% |
ENPH Enphase Energy, 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% |
EQT EQT Corporation | 1.81% | 1.57% | 1.63% | 0.00% | 0.24% | 1.10% | 0.32% | 0.13% | 0.11% | 0.14% | 0.10% | 0.08% |
CSL Carlisle Companies Incorporated | 0.81% | 1.02% | 1.09% | 0.86% | 1.31% | 1.11% | 1.53% | 1.27% | 1.18% | 1.24% | 1.04% | 1.06% |
NDSN | 1.10% | 1.01% | 0.98% | 0.71% | 0.77% | 0.90% | 1.09% | 0.78% | 0.91% | 1.43% | 1.03% | 0.89% |
OC | 1.33% | 1.40% | 1.64% | 1.15% | 1.27% | 1.35% | 1.43% | 0.88% | 1.44% | 1.45% | 1.79% | 0.00% |
WSM | 1.37% | 1.72% | 2.65% | 1.43% | 1.93% | 2.55% | 3.33% | 2.98% | 3.02% | 2.36% | 1.72% | 1.97% |
LECO | 1.49% | 1.21% | 1.61% | 1.50% | 1.70% | 1.96% | 2.08% | 1.57% | 1.71% | 2.29% | 1.42% | 1.16% |
PNR | 0.96% | 1.21% | 1.87% | 1.10% | 1.43% | 1.57% | 2.17% | 1.95% | 2.39% | 2.58% | 1.66% | 1.24% |
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% |
ALLE Allegion plc | 1.35% | 1.42% | 1.56% | 1.09% | 1.10% | 0.87% | 1.05% | 0.80% | 0.75% | 0.61% | 0.58% | 0.00% |
UTHR | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FFIV F5 Networks, 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% |
BBWI Bath & Body Works, Inc. | 2.73% | 1.85% | 1.90% | 0.60% | 1.00% | 8.20% | 11.57% | 4.93% | 8.27% | 5.12% | 3.37% | 2.40% |
ITT | 0.86% | 0.97% | 1.30% | 0.86% | 0.88% | 0.80% | 1.11% | 0.96% | 1.29% | 1.30% | 1.09% | 0.92% |
NVT | 1.06% | 1.18% | 1.82% | 1.84% | 3.01% | 2.74% | 1.56% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MEDP | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TPR | 3.29% | 3.53% | 2.89% | 1.23% | 1.09% | 5.01% | 4.00% | 3.05% | 3.85% | 4.12% | 3.59% | 2.34% |
WSC | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DLB Dolby Laboratories, Inc. | 1.64% | 1.29% | 1.45% | 0.96% | 0.91% | 1.15% | 1.08% | 0.94% | 1.11% | 1.25% | 0.23% | 0.00% |
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.
Russell 1000 Low PEG, LOW P/FCF
Benchmark (^GSPC)
Portfolio components
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 0.64%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -43.01% | Feb 21, 2020 | 22 | Mar 23, 2020 | 94 | Aug 5, 2020 | 116 |
| -22.17% | Sep 21, 2018 | 65 | Dec 24, 2018 | 70 | Apr 5, 2019 | 135 |
| -19.44% | Nov 17, 2021 | 146 | Jun 16, 2022 | 143 | Jan 11, 2023 | 289 |
| -11.41% | Aug 2, 2023 | 62 | Oct 27, 2023 | 24 | Dec 1, 2023 | 86 |
| -9.78% | Feb 3, 2023 | 30 | Mar 17, 2023 | 56 | Jun 7, 2023 | 86 |
Volatility
Volatility Chart
The current Russell 1000 Low PEG, LOW P/FCF volatility is 4.91%, 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.
Russell 1000 Low PEG, LOW P/FCF
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.
| HSY | UTHR | EQT | LMT | ENPH | LNG | EOG | META | EBAY | PYPL | MEDP | WSM | SLB | BBWI | DECK | GOOG | HAL | DHI | HCA | PHM | WSC | BKNG | GD | OMC | STLD | CSCO | AMAT | BLD | FLT | GPN | TPR | FFIV | DLB | SWKS | PCAR | CSL | CSX | OC | ALLE | NVT | CAT | NDSN | PNR | LECO | DOV | PH | ITT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| HSY | 1.00 | 0.16 | 0.04 | 0.34 | 0.07 | 0.09 | 0.08 | 0.08 | 0.16 | 0.13 | 0.14 | 0.12 | 0.08 | 0.12 | 0.09 | 0.15 | 0.07 | 0.19 | 0.25 | 0.18 | 0.10 | 0.13 | 0.29 | 0.24 | 0.10 | 0.26 | 0.08 | 0.14 | 0.21 | 0.23 | 0.10 | 0.17 | 0.18 | 0.10 | 0.22 | 0.20 | 0.28 | 0.14 | 0.25 | 0.13 | 0.15 | 0.22 | 0.17 | 0.19 | 0.25 | 0.18 | 0.16 |
| UTHR | 0.16 | 1.00 | 0.19 | 0.18 | 0.18 | 0.18 | 0.20 | 0.17 | 0.22 | 0.17 | 0.28 | 0.19 | 0.21 | 0.17 | 0.16 | 0.20 | 0.23 | 0.17 | 0.27 | 0.15 | 0.22 | 0.24 | 0.22 | 0.20 | 0.19 | 0.25 | 0.23 | 0.18 | 0.23 | 0.25 | 0.18 | 0.24 | 0.25 | 0.26 | 0.21 | 0.26 | 0.25 | 0.20 | 0.23 | 0.27 | 0.24 | 0.25 | 0.23 | 0.24 | 0.26 | 0.26 | 0.25 |
| EQT | 0.04 | 0.19 | 1.00 | 0.17 | 0.17 | 0.37 | 0.49 | 0.16 | 0.24 | 0.18 | 0.16 | 0.20 | 0.44 | 0.26 | 0.19 | 0.17 | 0.45 | 0.12 | 0.24 | 0.17 | 0.25 | 0.20 | 0.28 | 0.27 | 0.31 | 0.24 | 0.22 | 0.22 | 0.24 | 0.18 | 0.28 | 0.23 | 0.19 | 0.24 | 0.28 | 0.26 | 0.25 | 0.28 | 0.20 | 0.27 | 0.34 | 0.24 | 0.28 | 0.32 | 0.28 | 0.33 | 0.30 |
| LMT | 0.34 | 0.18 | 0.17 | 1.00 | 0.11 | 0.26 | 0.32 | 0.12 | 0.22 | 0.16 | 0.16 | 0.17 | 0.30 | 0.19 | 0.13 | 0.15 | 0.30 | 0.20 | 0.29 | 0.21 | 0.23 | 0.22 | 0.66 | 0.31 | 0.28 | 0.30 | 0.15 | 0.19 | 0.32 | 0.30 | 0.22 | 0.22 | 0.24 | 0.14 | 0.34 | 0.30 | 0.35 | 0.25 | 0.35 | 0.29 | 0.36 | 0.31 | 0.30 | 0.34 | 0.37 | 0.34 | 0.32 |
| ENPH | 0.07 | 0.18 | 0.17 | 0.11 | 1.00 | 0.20 | 0.18 | 0.29 | 0.28 | 0.38 | 0.36 | 0.31 | 0.18 | 0.28 | 0.31 | 0.30 | 0.21 | 0.28 | 0.22 | 0.26 | 0.33 | 0.26 | 0.19 | 0.18 | 0.24 | 0.26 | 0.37 | 0.34 | 0.28 | 0.28 | 0.26 | 0.32 | 0.32 | 0.41 | 0.24 | 0.28 | 0.25 | 0.30 | 0.28 | 0.26 | 0.24 | 0.33 | 0.29 | 0.28 | 0.29 | 0.30 | 0.30 |
| LNG | 0.09 | 0.18 | 0.37 | 0.26 | 0.20 | 1.00 | 0.53 | 0.19 | 0.21 | 0.22 | 0.23 | 0.19 | 0.52 | 0.27 | 0.22 | 0.25 | 0.51 | 0.17 | 0.28 | 0.19 | 0.28 | 0.30 | 0.32 | 0.27 | 0.36 | 0.28 | 0.25 | 0.23 | 0.31 | 0.28 | 0.32 | 0.29 | 0.28 | 0.27 | 0.29 | 0.28 | 0.35 | 0.30 | 0.28 | 0.32 | 0.39 | 0.31 | 0.29 | 0.34 | 0.33 | 0.40 | 0.37 |
| EOG | 0.08 | 0.20 | 0.49 | 0.32 | 0.18 | 0.53 | 1.00 | 0.16 | 0.19 | 0.18 | 0.21 | 0.20 | 0.73 | 0.28 | 0.20 | 0.23 | 0.75 | 0.13 | 0.31 | 0.18 | 0.32 | 0.30 | 0.41 | 0.34 | 0.43 | 0.30 | 0.25 | 0.21 | 0.35 | 0.27 | 0.33 | 0.29 | 0.25 | 0.24 | 0.35 | 0.29 | 0.37 | 0.31 | 0.28 | 0.35 | 0.51 | 0.28 | 0.31 | 0.37 | 0.36 | 0.43 | 0.41 |
| META | 0.08 | 0.17 | 0.16 | 0.12 | 0.29 | 0.19 | 0.16 | 1.00 | 0.38 | 0.55 | 0.38 | 0.32 | 0.18 | 0.25 | 0.37 | 0.67 | 0.17 | 0.33 | 0.26 | 0.33 | 0.31 | 0.43 | 0.21 | 0.27 | 0.24 | 0.40 | 0.50 | 0.35 | 0.38 | 0.41 | 0.29 | 0.42 | 0.45 | 0.50 | 0.29 | 0.31 | 0.31 | 0.36 | 0.35 | 0.35 | 0.29 | 0.39 | 0.36 | 0.34 | 0.33 | 0.36 | 0.39 |
| EBAY | 0.16 | 0.22 | 0.24 | 0.22 | 0.28 | 0.21 | 0.19 | 0.38 | 1.00 | 0.48 | 0.34 | 0.43 | 0.22 | 0.32 | 0.31 | 0.40 | 0.23 | 0.31 | 0.31 | 0.32 | 0.30 | 0.35 | 0.28 | 0.34 | 0.31 | 0.42 | 0.40 | 0.33 | 0.36 | 0.38 | 0.33 | 0.42 | 0.40 | 0.45 | 0.39 | 0.36 | 0.37 | 0.35 | 0.43 | 0.35 | 0.34 | 0.41 | 0.41 | 0.39 | 0.42 | 0.39 | 0.42 |
| PYPL | 0.13 | 0.17 | 0.18 | 0.16 | 0.38 | 0.22 | 0.18 | 0.55 | 0.48 | 1.00 | 0.43 | 0.36 | 0.17 | 0.32 | 0.37 | 0.55 | 0.19 | 0.34 | 0.26 | 0.33 | 0.35 | 0.40 | 0.24 | 0.27 | 0.25 | 0.43 | 0.47 | 0.38 | 0.47 | 0.55 | 0.33 | 0.43 | 0.46 | 0.51 | 0.31 | 0.33 | 0.37 | 0.36 | 0.39 | 0.30 | 0.31 | 0.41 | 0.36 | 0.34 | 0.36 | 0.38 | 0.39 |
| MEDP | 0.14 | 0.28 | 0.16 | 0.16 | 0.36 | 0.23 | 0.21 | 0.38 | 0.34 | 0.43 | 1.00 | 0.35 | 0.24 | 0.29 | 0.38 | 0.41 | 0.24 | 0.34 | 0.36 | 0.33 | 0.38 | 0.34 | 0.31 | 0.27 | 0.32 | 0.40 | 0.42 | 0.39 | 0.38 | 0.40 | 0.33 | 0.43 | 0.43 | 0.42 | 0.34 | 0.40 | 0.36 | 0.40 | 0.41 | 0.40 | 0.33 | 0.45 | 0.41 | 0.40 | 0.42 | 0.41 | 0.45 |
| WSM | 0.12 | 0.19 | 0.20 | 0.17 | 0.31 | 0.19 | 0.20 | 0.32 | 0.43 | 0.36 | 0.35 | 1.00 | 0.26 | 0.44 | 0.44 | 0.32 | 0.27 | 0.42 | 0.34 | 0.43 | 0.37 | 0.31 | 0.29 | 0.35 | 0.36 | 0.34 | 0.40 | 0.47 | 0.31 | 0.33 | 0.46 | 0.39 | 0.40 | 0.41 | 0.37 | 0.40 | 0.36 | 0.47 | 0.42 | 0.43 | 0.37 | 0.45 | 0.47 | 0.43 | 0.44 | 0.43 | 0.46 |
| SLB | 0.08 | 0.21 | 0.44 | 0.30 | 0.18 | 0.52 | 0.73 | 0.18 | 0.22 | 0.17 | 0.24 | 0.26 | 1.00 | 0.31 | 0.26 | 0.24 | 0.85 | 0.21 | 0.34 | 0.25 | 0.37 | 0.36 | 0.41 | 0.41 | 0.48 | 0.31 | 0.31 | 0.27 | 0.38 | 0.30 | 0.40 | 0.31 | 0.30 | 0.31 | 0.41 | 0.37 | 0.41 | 0.40 | 0.34 | 0.48 | 0.58 | 0.35 | 0.40 | 0.45 | 0.44 | 0.51 | 0.50 |
| BBWI | 0.12 | 0.17 | 0.26 | 0.19 | 0.28 | 0.27 | 0.28 | 0.25 | 0.32 | 0.32 | 0.29 | 0.44 | 0.31 | 1.00 | 0.45 | 0.27 | 0.32 | 0.37 | 0.38 | 0.39 | 0.39 | 0.36 | 0.31 | 0.38 | 0.38 | 0.32 | 0.33 | 0.44 | 0.35 | 0.35 | 0.56 | 0.38 | 0.39 | 0.37 | 0.39 | 0.42 | 0.41 | 0.46 | 0.40 | 0.44 | 0.38 | 0.40 | 0.47 | 0.44 | 0.44 | 0.45 | 0.47 |
| DECK | 0.09 | 0.16 | 0.19 | 0.13 | 0.31 | 0.22 | 0.20 | 0.37 | 0.31 | 0.37 | 0.38 | 0.44 | 0.26 | 0.45 | 1.00 | 0.36 | 0.26 | 0.41 | 0.38 | 0.43 | 0.40 | 0.40 | 0.29 | 0.33 | 0.34 | 0.34 | 0.42 | 0.47 | 0.35 | 0.38 | 0.49 | 0.40 | 0.43 | 0.42 | 0.36 | 0.41 | 0.39 | 0.46 | 0.38 | 0.45 | 0.36 | 0.43 | 0.42 | 0.42 | 0.42 | 0.44 | 0.47 |
| GOOG | 0.15 | 0.20 | 0.17 | 0.15 | 0.30 | 0.25 | 0.23 | 0.67 | 0.40 | 0.55 | 0.41 | 0.32 | 0.24 | 0.27 | 0.36 | 1.00 | 0.23 | 0.33 | 0.31 | 0.34 | 0.34 | 0.48 | 0.29 | 0.31 | 0.30 | 0.51 | 0.53 | 0.34 | 0.44 | 0.47 | 0.32 | 0.47 | 0.48 | 0.52 | 0.32 | 0.34 | 0.39 | 0.36 | 0.38 | 0.37 | 0.36 | 0.42 | 0.39 | 0.38 | 0.39 | 0.41 | 0.43 |
| HAL | 0.07 | 0.23 | 0.45 | 0.30 | 0.21 | 0.51 | 0.75 | 0.17 | 0.23 | 0.19 | 0.24 | 0.27 | 0.85 | 0.32 | 0.26 | 0.23 | 1.00 | 0.20 | 0.34 | 0.24 | 0.38 | 0.36 | 0.43 | 0.39 | 0.49 | 0.32 | 0.31 | 0.27 | 0.39 | 0.30 | 0.40 | 0.31 | 0.30 | 0.32 | 0.41 | 0.36 | 0.42 | 0.38 | 0.34 | 0.45 | 0.59 | 0.37 | 0.40 | 0.46 | 0.45 | 0.50 | 0.51 |
| DHI | 0.19 | 0.17 | 0.12 | 0.20 | 0.28 | 0.17 | 0.13 | 0.33 | 0.31 | 0.34 | 0.34 | 0.42 | 0.21 | 0.37 | 0.41 | 0.33 | 0.20 | 1.00 | 0.36 | 0.88 | 0.38 | 0.32 | 0.29 | 0.34 | 0.30 | 0.32 | 0.40 | 0.71 | 0.33 | 0.37 | 0.39 | 0.37 | 0.38 | 0.41 | 0.36 | 0.42 | 0.36 | 0.58 | 0.48 | 0.41 | 0.34 | 0.44 | 0.50 | 0.42 | 0.44 | 0.42 | 0.46 |
| HCA | 0.25 | 0.27 | 0.24 | 0.29 | 0.22 | 0.28 | 0.31 | 0.26 | 0.31 | 0.26 | 0.36 | 0.34 | 0.34 | 0.38 | 0.38 | 0.31 | 0.34 | 0.36 | 1.00 | 0.38 | 0.38 | 0.36 | 0.42 | 0.42 | 0.37 | 0.42 | 0.35 | 0.38 | 0.40 | 0.39 | 0.42 | 0.41 | 0.41 | 0.37 | 0.42 | 0.44 | 0.43 | 0.42 | 0.46 | 0.46 | 0.43 | 0.44 | 0.46 | 0.46 | 0.51 | 0.47 | 0.51 |
| PHM | 0.18 | 0.15 | 0.17 | 0.21 | 0.26 | 0.19 | 0.18 | 0.33 | 0.32 | 0.33 | 0.33 | 0.43 | 0.25 | 0.39 | 0.43 | 0.34 | 0.24 | 0.88 | 0.38 | 1.00 | 0.39 | 0.34 | 0.32 | 0.39 | 0.34 | 0.32 | 0.39 | 0.71 | 0.36 | 0.39 | 0.44 | 0.37 | 0.39 | 0.40 | 0.39 | 0.43 | 0.39 | 0.61 | 0.48 | 0.43 | 0.36 | 0.45 | 0.53 | 0.44 | 0.45 | 0.43 | 0.47 |
| WSC | 0.10 | 0.22 | 0.25 | 0.23 | 0.33 | 0.28 | 0.32 | 0.31 | 0.30 | 0.35 | 0.38 | 0.37 | 0.37 | 0.39 | 0.40 | 0.34 | 0.38 | 0.38 | 0.38 | 0.39 | 1.00 | 0.43 | 0.37 | 0.37 | 0.41 | 0.34 | 0.41 | 0.42 | 0.40 | 0.41 | 0.42 | 0.39 | 0.43 | 0.40 | 0.42 | 0.48 | 0.43 | 0.51 | 0.46 | 0.51 | 0.47 | 0.46 | 0.46 | 0.48 | 0.48 | 0.51 | 0.52 |
| BKNG | 0.13 | 0.24 | 0.20 | 0.22 | 0.26 | 0.30 | 0.30 | 0.43 | 0.35 | 0.40 | 0.34 | 0.31 | 0.36 | 0.36 | 0.40 | 0.48 | 0.36 | 0.32 | 0.36 | 0.34 | 0.43 | 1.00 | 0.36 | 0.45 | 0.36 | 0.39 | 0.45 | 0.38 | 0.48 | 0.47 | 0.43 | 0.42 | 0.45 | 0.45 | 0.41 | 0.44 | 0.43 | 0.45 | 0.43 | 0.46 | 0.48 | 0.43 | 0.44 | 0.47 | 0.46 | 0.51 | 0.51 |
| GD | 0.29 | 0.22 | 0.28 | 0.66 | 0.19 | 0.32 | 0.41 | 0.21 | 0.28 | 0.24 | 0.31 | 0.29 | 0.41 | 0.31 | 0.29 | 0.29 | 0.43 | 0.29 | 0.42 | 0.32 | 0.37 | 0.36 | 1.00 | 0.46 | 0.43 | 0.43 | 0.30 | 0.34 | 0.42 | 0.40 | 0.39 | 0.39 | 0.38 | 0.29 | 0.52 | 0.50 | 0.50 | 0.43 | 0.49 | 0.48 | 0.54 | 0.49 | 0.48 | 0.53 | 0.55 | 0.54 | 0.53 |
| OMC | 0.24 | 0.20 | 0.27 | 0.31 | 0.18 | 0.27 | 0.34 | 0.27 | 0.34 | 0.27 | 0.27 | 0.35 | 0.41 | 0.38 | 0.33 | 0.31 | 0.39 | 0.34 | 0.42 | 0.39 | 0.37 | 0.45 | 0.46 | 1.00 | 0.45 | 0.45 | 0.36 | 0.36 | 0.43 | 0.42 | 0.48 | 0.40 | 0.40 | 0.39 | 0.51 | 0.46 | 0.47 | 0.46 | 0.50 | 0.50 | 0.51 | 0.45 | 0.50 | 0.51 | 0.51 | 0.54 | 0.55 |
| STLD | 0.10 | 0.19 | 0.31 | 0.28 | 0.24 | 0.36 | 0.43 | 0.24 | 0.31 | 0.25 | 0.32 | 0.36 | 0.48 | 0.38 | 0.34 | 0.30 | 0.49 | 0.30 | 0.37 | 0.34 | 0.41 | 0.36 | 0.43 | 0.45 | 1.00 | 0.35 | 0.40 | 0.38 | 0.40 | 0.38 | 0.47 | 0.39 | 0.39 | 0.39 | 0.49 | 0.48 | 0.48 | 0.49 | 0.44 | 0.53 | 0.58 | 0.49 | 0.48 | 0.55 | 0.52 | 0.55 | 0.57 |
| CSCO | 0.26 | 0.25 | 0.24 | 0.30 | 0.26 | 0.28 | 0.30 | 0.40 | 0.42 | 0.43 | 0.40 | 0.34 | 0.31 | 0.32 | 0.34 | 0.51 | 0.32 | 0.32 | 0.42 | 0.32 | 0.34 | 0.39 | 0.43 | 0.45 | 0.35 | 1.00 | 0.46 | 0.31 | 0.43 | 0.47 | 0.38 | 0.62 | 0.51 | 0.52 | 0.45 | 0.41 | 0.49 | 0.37 | 0.48 | 0.44 | 0.46 | 0.51 | 0.46 | 0.48 | 0.51 | 0.49 | 0.50 |
| AMAT | 0.08 | 0.23 | 0.22 | 0.15 | 0.37 | 0.25 | 0.25 | 0.50 | 0.40 | 0.47 | 0.42 | 0.40 | 0.31 | 0.33 | 0.42 | 0.53 | 0.31 | 0.40 | 0.35 | 0.39 | 0.41 | 0.45 | 0.30 | 0.36 | 0.40 | 0.46 | 1.00 | 0.43 | 0.41 | 0.42 | 0.39 | 0.52 | 0.50 | 0.71 | 0.43 | 0.43 | 0.42 | 0.48 | 0.45 | 0.48 | 0.45 | 0.52 | 0.46 | 0.47 | 0.46 | 0.52 | 0.53 |
| BLD | 0.14 | 0.18 | 0.22 | 0.19 | 0.34 | 0.23 | 0.21 | 0.35 | 0.33 | 0.38 | 0.39 | 0.47 | 0.27 | 0.44 | 0.47 | 0.34 | 0.27 | 0.71 | 0.38 | 0.71 | 0.42 | 0.38 | 0.34 | 0.36 | 0.38 | 0.31 | 0.43 | 1.00 | 0.40 | 0.41 | 0.47 | 0.40 | 0.41 | 0.45 | 0.42 | 0.52 | 0.43 | 0.66 | 0.50 | 0.47 | 0.41 | 0.51 | 0.56 | 0.48 | 0.50 | 0.49 | 0.53 |
| FLT | 0.21 | 0.23 | 0.24 | 0.32 | 0.28 | 0.31 | 0.35 | 0.38 | 0.36 | 0.47 | 0.38 | 0.31 | 0.38 | 0.35 | 0.35 | 0.44 | 0.39 | 0.33 | 0.40 | 0.36 | 0.40 | 0.48 | 0.42 | 0.43 | 0.40 | 0.43 | 0.41 | 0.40 | 1.00 | 0.64 | 0.43 | 0.44 | 0.47 | 0.42 | 0.42 | 0.45 | 0.50 | 0.41 | 0.49 | 0.45 | 0.49 | 0.48 | 0.47 | 0.49 | 0.50 | 0.49 | 0.53 |
| GPN | 0.23 | 0.25 | 0.18 | 0.30 | 0.28 | 0.28 | 0.27 | 0.41 | 0.38 | 0.55 | 0.40 | 0.33 | 0.30 | 0.35 | 0.38 | 0.47 | 0.30 | 0.37 | 0.39 | 0.39 | 0.41 | 0.47 | 0.40 | 0.42 | 0.38 | 0.47 | 0.42 | 0.41 | 0.64 | 1.00 | 0.43 | 0.45 | 0.52 | 0.47 | 0.43 | 0.46 | 0.48 | 0.43 | 0.51 | 0.45 | 0.46 | 0.47 | 0.45 | 0.45 | 0.51 | 0.49 | 0.52 |
| TPR | 0.10 | 0.18 | 0.28 | 0.22 | 0.26 | 0.32 | 0.33 | 0.29 | 0.33 | 0.33 | 0.33 | 0.46 | 0.40 | 0.56 | 0.49 | 0.32 | 0.40 | 0.39 | 0.42 | 0.44 | 0.42 | 0.43 | 0.39 | 0.48 | 0.47 | 0.38 | 0.39 | 0.47 | 0.43 | 0.43 | 1.00 | 0.42 | 0.44 | 0.42 | 0.46 | 0.47 | 0.47 | 0.50 | 0.46 | 0.50 | 0.50 | 0.47 | 0.52 | 0.51 | 0.53 | 0.54 | 0.55 |
| FFIV | 0.17 | 0.24 | 0.23 | 0.22 | 0.32 | 0.29 | 0.29 | 0.42 | 0.42 | 0.43 | 0.43 | 0.39 | 0.31 | 0.38 | 0.40 | 0.47 | 0.31 | 0.37 | 0.41 | 0.37 | 0.39 | 0.42 | 0.39 | 0.40 | 0.39 | 0.62 | 0.52 | 0.40 | 0.44 | 0.45 | 0.42 | 1.00 | 0.51 | 0.55 | 0.42 | 0.43 | 0.47 | 0.43 | 0.49 | 0.47 | 0.43 | 0.54 | 0.53 | 0.49 | 0.52 | 0.54 | 0.56 |
| DLB | 0.18 | 0.25 | 0.19 | 0.24 | 0.32 | 0.28 | 0.25 | 0.45 | 0.40 | 0.46 | 0.43 | 0.40 | 0.30 | 0.39 | 0.43 | 0.48 | 0.30 | 0.38 | 0.41 | 0.39 | 0.43 | 0.45 | 0.38 | 0.40 | 0.39 | 0.51 | 0.50 | 0.41 | 0.47 | 0.52 | 0.44 | 0.51 | 1.00 | 0.55 | 0.43 | 0.46 | 0.49 | 0.46 | 0.50 | 0.48 | 0.42 | 0.53 | 0.51 | 0.50 | 0.51 | 0.51 | 0.54 |
| SWKS | 0.10 | 0.26 | 0.24 | 0.14 | 0.41 | 0.27 | 0.24 | 0.50 | 0.45 | 0.51 | 0.42 | 0.41 | 0.31 | 0.37 | 0.42 | 0.52 | 0.32 | 0.41 | 0.37 | 0.40 | 0.40 | 0.45 | 0.29 | 0.39 | 0.39 | 0.52 | 0.71 | 0.45 | 0.42 | 0.47 | 0.42 | 0.55 | 0.55 | 1.00 | 0.44 | 0.43 | 0.45 | 0.49 | 0.48 | 0.46 | 0.45 | 0.52 | 0.50 | 0.50 | 0.50 | 0.52 | 0.54 |
| PCAR | 0.22 | 0.21 | 0.28 | 0.34 | 0.24 | 0.29 | 0.35 | 0.29 | 0.39 | 0.31 | 0.34 | 0.37 | 0.41 | 0.39 | 0.36 | 0.32 | 0.41 | 0.36 | 0.42 | 0.39 | 0.42 | 0.41 | 0.52 | 0.51 | 0.49 | 0.45 | 0.43 | 0.42 | 0.42 | 0.43 | 0.46 | 0.42 | 0.43 | 0.44 | 1.00 | 0.54 | 0.55 | 0.53 | 0.53 | 0.58 | 0.65 | 0.57 | 0.58 | 0.62 | 0.62 | 0.68 | 0.64 |
| CSL | 0.20 | 0.26 | 0.26 | 0.30 | 0.28 | 0.28 | 0.29 | 0.31 | 0.36 | 0.33 | 0.40 | 0.40 | 0.37 | 0.42 | 0.41 | 0.34 | 0.36 | 0.42 | 0.44 | 0.43 | 0.48 | 0.44 | 0.50 | 0.46 | 0.48 | 0.41 | 0.43 | 0.52 | 0.45 | 0.46 | 0.47 | 0.43 | 0.46 | 0.43 | 0.54 | 1.00 | 0.55 | 0.59 | 0.58 | 0.59 | 0.55 | 0.58 | 0.59 | 0.63 | 0.63 | 0.62 | 0.64 |
| CSX | 0.28 | 0.25 | 0.25 | 0.35 | 0.25 | 0.35 | 0.37 | 0.31 | 0.37 | 0.37 | 0.36 | 0.36 | 0.41 | 0.41 | 0.39 | 0.39 | 0.42 | 0.36 | 0.43 | 0.39 | 0.43 | 0.43 | 0.50 | 0.47 | 0.48 | 0.49 | 0.42 | 0.43 | 0.50 | 0.48 | 0.47 | 0.47 | 0.49 | 0.45 | 0.55 | 0.55 | 1.00 | 0.49 | 0.53 | 0.53 | 0.59 | 0.57 | 0.57 | 0.61 | 0.64 | 0.64 | 0.62 |
| OC | 0.14 | 0.20 | 0.28 | 0.25 | 0.30 | 0.30 | 0.31 | 0.36 | 0.35 | 0.36 | 0.40 | 0.47 | 0.40 | 0.46 | 0.46 | 0.36 | 0.38 | 0.58 | 0.42 | 0.61 | 0.51 | 0.45 | 0.43 | 0.46 | 0.49 | 0.37 | 0.48 | 0.66 | 0.41 | 0.43 | 0.50 | 0.43 | 0.46 | 0.49 | 0.53 | 0.59 | 0.49 | 1.00 | 0.55 | 0.58 | 0.54 | 0.56 | 0.60 | 0.57 | 0.56 | 0.60 | 0.63 |
| ALLE | 0.25 | 0.23 | 0.20 | 0.35 | 0.28 | 0.28 | 0.28 | 0.35 | 0.43 | 0.39 | 0.41 | 0.42 | 0.34 | 0.40 | 0.38 | 0.38 | 0.34 | 0.48 | 0.46 | 0.48 | 0.46 | 0.43 | 0.49 | 0.50 | 0.44 | 0.48 | 0.45 | 0.50 | 0.49 | 0.51 | 0.46 | 0.49 | 0.50 | 0.48 | 0.53 | 0.58 | 0.53 | 0.55 | 1.00 | 0.55 | 0.53 | 0.61 | 0.65 | 0.63 | 0.68 | 0.62 | 0.65 |
| NVT | 0.13 | 0.27 | 0.27 | 0.29 | 0.26 | 0.32 | 0.35 | 0.35 | 0.35 | 0.30 | 0.40 | 0.43 | 0.48 | 0.44 | 0.45 | 0.37 | 0.45 | 0.41 | 0.46 | 0.43 | 0.51 | 0.46 | 0.48 | 0.50 | 0.53 | 0.44 | 0.48 | 0.47 | 0.45 | 0.45 | 0.50 | 0.47 | 0.48 | 0.46 | 0.58 | 0.59 | 0.53 | 0.58 | 0.55 | 1.00 | 0.63 | 0.56 | 0.61 | 0.63 | 0.62 | 0.69 | 0.70 |
| CAT | 0.15 | 0.24 | 0.34 | 0.36 | 0.24 | 0.39 | 0.51 | 0.29 | 0.34 | 0.31 | 0.33 | 0.37 | 0.58 | 0.38 | 0.36 | 0.36 | 0.59 | 0.34 | 0.43 | 0.36 | 0.47 | 0.48 | 0.54 | 0.51 | 0.58 | 0.46 | 0.45 | 0.41 | 0.49 | 0.46 | 0.50 | 0.43 | 0.42 | 0.45 | 0.65 | 0.55 | 0.59 | 0.54 | 0.53 | 0.63 | 1.00 | 0.57 | 0.59 | 0.68 | 0.66 | 0.73 | 0.70 |
| NDSN | 0.22 | 0.25 | 0.24 | 0.31 | 0.33 | 0.31 | 0.28 | 0.39 | 0.41 | 0.41 | 0.45 | 0.45 | 0.35 | 0.40 | 0.43 | 0.42 | 0.37 | 0.44 | 0.44 | 0.45 | 0.46 | 0.43 | 0.49 | 0.45 | 0.49 | 0.51 | 0.52 | 0.51 | 0.48 | 0.47 | 0.47 | 0.54 | 0.53 | 0.52 | 0.57 | 0.58 | 0.57 | 0.56 | 0.61 | 0.56 | 0.57 | 1.00 | 0.67 | 0.68 | 0.68 | 0.66 | 0.69 |
| PNR | 0.17 | 0.23 | 0.28 | 0.30 | 0.29 | 0.29 | 0.31 | 0.36 | 0.41 | 0.36 | 0.41 | 0.47 | 0.40 | 0.47 | 0.42 | 0.39 | 0.40 | 0.50 | 0.46 | 0.53 | 0.46 | 0.44 | 0.48 | 0.50 | 0.48 | 0.46 | 0.46 | 0.56 | 0.47 | 0.45 | 0.52 | 0.53 | 0.51 | 0.50 | 0.58 | 0.59 | 0.57 | 0.60 | 0.65 | 0.61 | 0.59 | 0.67 | 1.00 | 0.69 | 0.72 | 0.71 | 0.71 |
| LECO | 0.19 | 0.24 | 0.32 | 0.34 | 0.28 | 0.34 | 0.37 | 0.34 | 0.39 | 0.34 | 0.40 | 0.43 | 0.45 | 0.44 | 0.42 | 0.38 | 0.46 | 0.42 | 0.46 | 0.44 | 0.48 | 0.47 | 0.53 | 0.51 | 0.55 | 0.48 | 0.47 | 0.48 | 0.49 | 0.45 | 0.51 | 0.49 | 0.50 | 0.50 | 0.62 | 0.63 | 0.61 | 0.57 | 0.63 | 0.63 | 0.68 | 0.68 | 0.69 | 1.00 | 0.72 | 0.74 | 0.75 |
| DOV | 0.25 | 0.26 | 0.28 | 0.37 | 0.29 | 0.33 | 0.36 | 0.33 | 0.42 | 0.36 | 0.42 | 0.44 | 0.44 | 0.44 | 0.42 | 0.39 | 0.45 | 0.44 | 0.51 | 0.45 | 0.48 | 0.46 | 0.55 | 0.51 | 0.52 | 0.51 | 0.46 | 0.50 | 0.50 | 0.51 | 0.53 | 0.52 | 0.51 | 0.50 | 0.62 | 0.63 | 0.64 | 0.56 | 0.68 | 0.62 | 0.66 | 0.68 | 0.72 | 0.72 | 1.00 | 0.75 | 0.76 |
| PH | 0.18 | 0.26 | 0.33 | 0.34 | 0.30 | 0.40 | 0.43 | 0.36 | 0.39 | 0.38 | 0.41 | 0.43 | 0.51 | 0.45 | 0.44 | 0.41 | 0.50 | 0.42 | 0.47 | 0.43 | 0.51 | 0.51 | 0.54 | 0.54 | 0.55 | 0.49 | 0.52 | 0.49 | 0.49 | 0.49 | 0.54 | 0.54 | 0.51 | 0.52 | 0.68 | 0.62 | 0.64 | 0.60 | 0.62 | 0.69 | 0.73 | 0.66 | 0.71 | 0.74 | 0.75 | 1.00 | 0.80 |
| ITT | 0.16 | 0.25 | 0.30 | 0.32 | 0.30 | 0.37 | 0.41 | 0.39 | 0.42 | 0.39 | 0.45 | 0.46 | 0.50 | 0.47 | 0.47 | 0.43 | 0.51 | 0.46 | 0.51 | 0.47 | 0.52 | 0.51 | 0.53 | 0.55 | 0.57 | 0.50 | 0.53 | 0.53 | 0.53 | 0.52 | 0.55 | 0.56 | 0.54 | 0.54 | 0.64 | 0.64 | 0.62 | 0.63 | 0.65 | 0.70 | 0.70 | 0.69 | 0.71 | 0.75 | 0.76 | 0.80 | 1.00 |
The correlation results are calculated based on daily price changes starting from Apr 18, 2018