Tomato Tree Taxable
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification
Tomato Tree Taxable
Currency in USD · Last updated May 10, 2025
Taxable portfolio of the family. Created in such a way that it should be less volatile than SP 500. Started ~April 2020, current version May 9 2025. Work in progress (as usual). Recently increased VEA, MSI and AEG at the expense om MCK, CAH and STRL and HUM. Some positions will be removed soon such as ALSN, LRCX, ADSK and perhaps ANSS.
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AB AllianceBernstein Holding L.P. | Financial Services | 2.14% |
ABBV AbbVie Inc. | Healthcare | 3.66% |
ADSK Autodesk, Inc. | Technology | 4.07% |
AEM Agnico Eagle Mines Limited | Basic Materials | 1.50% |
AJG Arthur J. Gallagher & Co. | Financial Services | 3.11% |
ALSN Allison Transmission Holdings, Inc. | Consumer Cyclical | 0.70% |
ANSS ANSYS, Inc. | Technology | 2.36% |
BAESY BAE Systems PLC | Industrials | 1.03% |
BCE BCE Inc. | Communication Services | 1.42% |
BRO Brown & Brown, Inc. | Financial Services | 3.71% |
CAH Cardinal Health, Inc. | Healthcare | 4.20% |
CNQ Canadian Natural Resources Limited | Energy | 2.57% |
GD General Dynamics Corporation | 2.69% | |
HUM Humana Inc. | Healthcare | 2.48% |
IRM Iron Mountain Incorporated | Real Estate | 3.23% |
LMT Lockheed Martin Corporation | Industrials | 5.03% |
LOW Lowe's Companies, Inc. | Consumer Cyclical | 3.15% |
LRCX Lam Research Corporation | Technology | 2.72% |
MCK McKesson Corporation | Healthcare | 4.91% |
MDT | 3.08% | |
MSFT | 3.73% | |
MSI | 2.88% | |
RTX | 2.55% | |
SMLV | 0.52% | |
STRL | 4.16% | |
STX | 4.54% | |
T | 3.89% | |
VEA | 3.50% | |
VLO | 2.18% | |
VNQ | 2.59% | |
VTI | 3.55% | |
VYM | 3.39% | |
WMB | 3.10% | |
WPC | 1.66% |
Every 3 months
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Tomato Tree Taxable, 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.
Tomato Tree Taxable
Benchmark (^GSPC)
Portfolio components
The earliest data available for this chart is Jan 2, 2013, corresponding to the inception date of ABBV
Returns By Period
As of May 10, 2025, the Tomato Tree Taxable returned 8.36% Year-To-Date and 17.07% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 3.72% | -5.60% | 8.55% | 14.11% | 10.45% |
| Tomato Tree Taxable | 8.36% | 7.19% | 0.71% | 19.47% | 23.37% | 17.07% |
| Portfolio components: | ||||||
AB AllianceBernstein Holding L.P. | 15.31% | 15.75% | 16.50% | 35.09% | 22.21% | 12.21% |
ABBV AbbVie Inc. | 5.83% | 3.60% | -5.73% | 19.28% | 22.00% | 15.79% |
ADSK Autodesk, Inc. | -2.74% | 9.09% | -5.92% | 31.49% | 9.32% | 17.64% |
AEM Agnico Eagle Mines Limited | 50.64% | 10.89% | 41.20% | 75.71% | 15.17% | 15.48% |
AJG Arthur J. Gallagher & Co. | 19.37% | 4.43% | 15.17% | 37.75% | 33.00% | 24.00% |
ALSN Allison Transmission Holdings, Inc. | -8.41% | 7.17% | -16.62% | 29.94% | 23.55% | 14.17% |
ANSS ANSYS, Inc. | -1.06% | 7.76% | -2.47% | 1.98% | 4.89% | 14.43% |
BAESY BAE Systems PLC | 59.38% | 14.32% | 28.62% | 32.93% | 33.86% | 15.71% |
BCE BCE Inc. | 0.85% | 8.14% | -15.24% | -25.73% | -4.72% | -0.68% |
BRO Brown & Brown, Inc. | 9.27% | -4.56% | -0.85% | 30.57% | 25.10% | 22.63% |
CAH Cardinal Health, Inc. | 26.33% | 13.62% | 23.93% | 53.85% | 27.94% | 8.70% |
CNQ Canadian Natural Resources Limited | 0.17% | 9.67% | -8.37% | -17.34% | 36.99% | 11.94% |
GD General Dynamics Corporation | 4.18% | 0.57% | -11.29% | -6.33% | 17.70% | 9.35% |
HUM Humana Inc. | -1.32% | -12.61% | -12.81% | -24.54% | -7.22% | 4.49% |
IRM Iron Mountain Incorporated | -6.80% | 14.89% | -17.64% | 25.56% | 38.67% | 17.25% |
LMT Lockheed Martin Corporation | -1.84% | 2.44% | -14.98% | 3.75% | 7.46% | 12.53% |
LOW Lowe's Companies, Inc. | -9.07% | 0.10% | -17.22% | -4.10% | 16.32% | 13.76% |
LRCX Lam Research Corporation | 4.65% | 5.98% | -3.04% | -16.05% | 24.71% | 27.57% |
MCK McKesson Corporation | 21.81% | 3.23% | 13.38% | 25.50% | 39.55% | 12.60% |
MDT | 5.34% | -2.11% | -3.25% | 4.28% | -0.54% | 3.63% |
MSFT | 4.30% | 12.35% | 4.25% | 7.22% | 19.97% | 26.85% |
MSI | -11.82% | -2.56% | -19.04% | 13.99% | 27.07% | 23.26% |
RTX | 11.75% | 0.19% | 5.23% | 24.35% | 19.99% | 8.31% |
SMLV | -4.01% | 4.30% | -9.72% | 12.30% | 13.95% | 8.23% |
STRL | 5.51% | 32.12% | -8.20% | 42.01% | 81.85% | 49.28% |
STX | 11.80% | 28.83% | -7.22% | 7.49% | 17.79% | 10.70% |
T | 25.17% | 6.29% | 27.58% | 70.55% | 12.23% | 8.55% |
VEA | 12.77% | 9.42% | 8.93% | 10.05% | 11.72% | 5.73% |
VLO | 1.10% | 6.07% | -8.64% | -20.33% | 18.17% | 12.21% |
VNQ | 1.12% | 5.45% | -5.15% | 11.71% | 7.56% | 5.32% |
VTI | -3.75% | 3.53% | -5.68% | 9.27% | 15.25% | 11.77% |
VYM | -0.80% | 2.49% | -3.74% | 8.38% | 13.74% | 9.50% |
WMB | 7.50% | 2.20% | 4.21% | 51.58% | 31.43% | 7.54% |
WPC | 15.07% | 5.62% | 12.32% | 13.47% | 6.25% | 6.10% |
*Annualized
Monthly Returns
The table below presents the monthly returns of Tomato Tree Taxable, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.84% | 1.15% | -0.70% | 1.27% | 2.59% | 8.36% | |||||||
| 2024 | 1.08% | 4.93% | 4.60% | -5.12% | 4.73% | 2.55% | 4.34% | 2.91% | 1.82% | -0.79% | 5.39% | -6.70% | 20.58% |
| 2023 | 6.09% | -2.37% | 2.29% | 1.10% | -1.33% | 6.32% | 1.87% | 2.00% | -3.99% | 0.57% | 6.84% | 4.62% | 26.01% |
| 2022 | -2.29% | 2.50% | 3.62% | -4.94% | 2.59% | -6.84% | 6.74% | -1.88% | -9.32% | 11.45% | 5.75% | -3.66% | 1.67% |
| 2021 | -0.64% | 4.47% | 6.43% | 5.15% | 2.19% | 0.13% | 1.29% | 0.88% | -3.35% | 6.33% | -1.45% | 7.31% | 32.01% |
| 2020 | 0.70% | -6.63% | -14.97% | 11.27% | 6.26% | 1.54% | 2.88% | 5.04% | -3.69% | -2.41% | 13.88% | 3.70% | 15.13% |
| 2019 | 9.74% | 4.10% | -0.72% | 4.18% | -5.80% | 7.64% | 0.25% | 0.72% | 3.42% | 3.35% | 3.75% | 1.58% | 36.25% |
| 2018 | 6.69% | -4.09% | -1.16% | 1.36% | 1.17% | -0.58% | 3.16% | 2.50% | 0.49% | -10.03% | 4.91% | -8.64% | -5.52% |
| 2017 | 2.74% | 3.22% | 1.31% | 0.77% | 3.14% | 1.25% | 1.66% | -0.43% | 3.86% | 2.63% | 1.72% | 1.38% | 25.80% |
| 2016 | -7.22% | 1.67% | 7.06% | 0.69% | 1.85% | 1.94% | 5.91% | 1.09% | 1.98% | -4.58% | 6.14% | 1.22% | 18.18% |
| 2015 | -4.06% | 5.68% | -0.32% | 0.34% | 1.28% | -3.30% | 1.58% | -4.52% | -3.69% | 6.19% | 2.44% | -0.96% | -0.06% |
| 2014 | -1.47% | 3.10% | 0.93% | -0.57% | 4.26% | 3.59% | -1.02% | 3.59% | -1.88% | 4.58% | 1.97% | -0.99% | 16.96% |
Expense Ratio
Tomato Tree Taxable has an expense ratio of 0.01%, which is considered low. 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
With an overall rank of 89, Tomato Tree Taxable is among the top 11% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Overall Rank
Sharpe Ratio Rank
Sortino Ratio Rank
Omega Ratio Rank
Calmar Ratio Rank
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.
Portfolio components
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
AB AllianceBernstein Holding L.P. | 1.24 | 1.83 | 1.25 | 1.23 | 8.19 |
ABBV AbbVie Inc. | 0.71 | 0.97 | 1.15 | 0.85 | 2.09 |
ADSK Autodesk, Inc. | 1.09 | 1.72 | 1.23 | 0.82 | 3.75 |
AEM Agnico Eagle Mines Limited | 2.33 | 2.96 | 1.40 | 4.60 | 16.41 |
AJG Arthur J. Gallagher & Co. | 1.74 | 2.29 | 1.32 | 3.19 | 8.82 |
ALSN Allison Transmission Holdings, Inc. | 0.93 | 1.44 | 1.21 | 1.08 | 2.98 |
ANSS ANSYS, Inc. | 0.08 | 0.33 | 1.04 | 0.09 | 0.38 |
BAESY BAE Systems PLC | 0.98 | 1.69 | 1.22 | 1.67 | 3.79 |
BCE BCE Inc. | -1.08 | -1.34 | 0.82 | -0.45 | -1.12 |
BRO Brown & Brown, Inc. | 1.44 | 1.91 | 1.28 | 2.36 | 6.72 |
CAH Cardinal Health, Inc. | 2.45 | 2.99 | 1.41 | 2.83 | 13.57 |
CNQ Canadian Natural Resources Limited | -0.55 | -0.54 | 0.93 | -0.45 | -1.11 |
GD General Dynamics Corporation | -0.29 | -0.20 | 0.97 | -0.24 | -0.51 |
HUM Humana Inc. | -0.59 | -0.52 | 0.93 | -0.38 | -0.83 |
IRM Iron Mountain Incorporated | 0.78 | 1.25 | 1.18 | 0.74 | 1.71 |
LMT Lockheed Martin Corporation | 0.16 | 0.38 | 1.06 | 0.13 | 0.26 |
LOW Lowe's Companies, Inc. | -0.17 | 0.04 | 1.01 | -0.09 | -0.21 |
LRCX Lam Research Corporation | -0.31 | -0.14 | 0.98 | -0.36 | -0.59 |
MCK McKesson Corporation | 0.93 | 1.39 | 1.23 | 1.16 | 2.85 |
MDT | 0.20 | 0.48 | 1.06 | 0.14 | 0.84 |
MSFT | 0.28 | 0.63 | 1.08 | 0.34 | 0.75 |
MSI | 0.63 | 0.98 | 1.15 | 0.68 | 1.75 |
RTX | 0.95 | 1.49 | 1.24 | 1.70 | 5.83 |
SMLV | 0.55 | 1.10 | 1.13 | 0.68 | 1.90 |
STRL | 0.68 | 1.31 | 1.18 | 0.96 | 2.18 |
STX | 0.18 | 0.61 | 1.09 | 0.25 | 0.70 |
T | 3.09 | 3.72 | 1.55 | 3.79 | 25.27 |
VEA | 0.59 | 1.00 | 1.13 | 0.80 | 2.42 |
VLO | -0.55 | -0.51 | 0.93 | -0.47 | -1.10 |
VNQ | 0.66 | 1.09 | 1.14 | 0.54 | 2.35 |
VTI | 0.47 | 0.83 | 1.12 | 0.51 | 1.94 |
VYM | 0.53 | 0.94 | 1.13 | 0.66 | 2.59 |
WMB | 1.97 | 2.46 | 1.35 | 4.38 | 11.64 |
WPC | 0.64 | 1.03 | 1.13 | 0.46 | 1.86 |
Tomato Tree Taxable
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
Tomato Tree Taxable provided a 2.34% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.34% | 2.43% | 2.54% | 2.80% | 2.71% | 3.12% | 2.81% | 3.39% | 2.67% | 2.82% | 3.01% | 2.48% |
| Portfolio components: | ||||||||||||
AB AllianceBernstein Holding L.P. | 8.17% | 8.03% | 8.44% | 10.30% | 7.33% | 8.26% | 7.67% | 10.54% | 8.50% | 7.46% | 8.09% | 7.32% |
ABBV AbbVie Inc. | 3.46% | 3.49% | 3.82% | 3.49% | 3.84% | 4.41% | 4.83% | 3.89% | 2.65% | 3.64% | 3.41% | 2.54% |
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% |
AEM Agnico Eagle Mines Limited | 1.36% | 2.05% | 2.92% | 3.08% | 2.63% | 1.35% | 1.10% | 1.09% | 0.89% | 0.86% | 1.22% | 1.29% |
AJG Arthur J. Gallagher & Co. | 0.72% | 0.85% | 0.98% | 1.08% | 1.13% | 1.46% | 1.81% | 2.23% | 2.47% | 2.93% | 3.62% | 3.06% |
ALSN Allison Transmission Holdings, Inc. | 1.03% | 0.93% | 1.58% | 2.02% | 2.09% | 1.58% | 1.24% | 1.37% | 1.39% | 1.78% | 2.32% | 1.50% |
ANSS ANSYS, 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% |
BAESY BAE Systems PLC | 1.88% | 2.77% | 2.45% | 3.16% | 4.45% | 7.23% | 3.75% | 5.11% | 3.49% | 3.94% | 4.36% | 4.62% |
BCE BCE Inc. | 12.65% | 12.58% | 7.28% | 6.43% | 5.33% | 5.76% | 5.16% | 5.84% | 4.63% | 4.83% | 5.19% | 4.84% |
BRO Brown & Brown, Inc. | 0.39% | 0.53% | 0.67% | 0.74% | 0.54% | 0.73% | 0.82% | 1.11% | 1.08% | 1.12% | 1.41% | 1.25% |
CAH Cardinal Health, Inc. | 1.37% | 1.28% | 1.98% | 2.57% | 3.80% | 3.62% | 3.79% | 4.24% | 2.99% | 2.41% | 1.68% | 1.65% |
CNQ Canadian Natural Resources Limited | 5.15% | 5.03% | 4.17% | 6.33% | 3.77% | 5.24% | 3.49% | 5.97% | 2.39% | 2.23% | 3.26% | 2.63% |
GD General Dynamics Corporation | 2.12% | 2.12% | 2.01% | 2.00% | 2.24% | 2.90% | 2.26% | 2.31% | 1.61% | 1.72% | 2.46% | 1.76% |
HUM Humana Inc. | 1.42% | 1.40% | 0.77% | 0.62% | 0.60% | 0.61% | 0.60% | 0.70% | 0.76% | 0.43% | 0.64% | 0.77% |
IRM Iron Mountain Incorporated | 2.95% | 3.34% | 3.63% | 4.96% | 4.73% | 8.39% | 7.69% | 7.32% | 5.93% | 6.17% | 7.07% | 6.05% |
LMT Lockheed Martin Corporation | 2.72% | 2.62% | 2.68% | 2.34% | 2.98% | 2.76% | 2.31% | 3.13% | 2.32% | 2.71% | 2.83% | 2.85% |
LOW Lowe's Companies, Inc. | 2.07% | 1.82% | 1.93% | 1.86% | 1.08% | 1.40% | 1.72% | 1.93% | 1.64% | 1.77% | 1.34% | 1.19% |
LRCX Lam Research Corporation | 1.18% | 1.19% | 0.95% | 1.53% | 0.78% | 1.04% | 1.54% | 2.79% | 1.01% | 1.28% | 1.36% | 0.68% |
MCK McKesson Corporation | 0.40% | 0.47% | 0.50% | 0.54% | 0.72% | 0.95% | 1.16% | 1.32% | 0.80% | 0.80% | 0.53% | 0.46% |
MDT | 3.35% | 3.49% | 3.34% | 3.44% | 2.39% | 1.95% | 1.87% | 2.15% | 2.24% | 2.34% | 1.88% | 1.66% |
MSFT | 0.72% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% |
MSI | 1.02% | 0.87% | 1.16% | 1.26% | 1.07% | 1.55% | 1.46% | 1.85% | 2.14% | 2.05% | 2.09% | 1.94% |
RTX | 1.96% | 2.14% | 2.76% | 2.14% | 2.33% | 2.64% | 1.96% | 2.66% | 2.13% | 2.39% | 2.66% | 2.05% |
SMLV | 3.06% | 2.68% | 2.68% | 2.40% | 2.12% | 2.47% | 2.62% | 3.15% | 7.92% | 3.04% | 2.63% | 2.76% |
STRL | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
STX | 2.97% | 3.27% | 3.28% | 5.32% | 2.40% | 4.21% | 4.27% | 6.53% | 6.02% | 6.60% | 6.14% | 2.75% |
T | 3.99% | 4.88% | 6.63% | 7.35% | 11.19% | 9.58% | 6.91% | 9.28% | 6.67% | 5.98% | 7.23% | 7.25% |
VEA | 2.91% | 3.36% | 3.16% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% | 3.68% |
VLO | 3.53% | 3.49% | 3.14% | 3.09% | 5.22% | 6.93% | 3.84% | 4.27% | 3.05% | 3.51% | 2.40% | 2.12% |
VNQ | 4.07% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
VTI | 1.35% | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
VYM | 2.93% | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% | 2.78% |
WMB | 3.34% | 3.51% | 5.14% | 5.17% | 6.30% | 7.98% | 6.41% | 6.17% | 3.94% | 5.39% | 9.53% | 4.36% |
WPC | 5.69% | 6.41% | 6.17% | 5.43% | 5.13% | 5.91% | 5.17% | 6.26% | 5.82% | 6.65% | 6.49% | 5.26% |
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.
Tomato Tree Taxable
Benchmark (^GSPC)
Portfolio components
Worst Drawdowns
The table below displays the maximum drawdowns of the Tomato Tree Taxable. 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 Tomato Tree Taxable was 37.53%, occurring on Mar 23, 2020. Recovery took 162 trading sessions.
The current Tomato Tree Taxable drawdown is 0.08%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.53% | Feb 14, 2020 | 26 | Mar 23, 2020 | 162 | Nov 10, 2020 | 188 |
| -19.1% | Sep 24, 2018 | 64 | Dec 24, 2018 | 77 | Apr 16, 2019 | 141 |
| -16.09% | Apr 27, 2015 | 202 | Feb 11, 2016 | 52 | Apr 27, 2016 | 254 |
| -15.25% | Apr 21, 2022 | 113 | Sep 30, 2022 | 43 | Dec 1, 2022 | 156 |
| -12.03% | Nov 11, 2024 | 101 | Apr 8, 2025 | 17 | May 2, 2025 | 118 |
Volatility
Volatility Chart
The current Tomato Tree Taxable volatility is 4.85%, 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.
Tomato Tree Taxable
Benchmark (^GSPC)
Portfolio components
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 34 assets, with an effective number of assets of 29.78, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
| ^GSPC | AEM | BAESY | HUM | STRL | ABBV | VLO | CNQ | BCE | T | MCK | WPC | LMT | WMB | IRM | CAH | STX | AB | LRCX | MSFT | ALSN | LOW | MDT | MSI | ADSK | ANSS | AJG | BRO | GD | RTX | VNQ | SMLV | VEA | VTI | VYM | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.11 | 0.23 | 0.37 | 0.41 | 0.44 | 0.42 | 0.44 | 0.41 | 0.41 | 0.43 | 0.41 | 0.42 | 0.46 | 0.48 | 0.46 | 0.57 | 0.54 | 0.66 | 0.72 | 0.54 | 0.59 | 0.57 | 0.59 | 0.68 | 0.71 | 0.57 | 0.59 | 0.55 | 0.58 | 0.60 | 0.71 | 0.81 | 0.99 | 0.87 | 0.89 |
| AEM | 0.11 | 1.00 | 0.06 | 0.02 | 0.03 | 0.01 | 0.06 | 0.17 | 0.21 | 0.11 | 0.03 | 0.16 | 0.02 | 0.16 | 0.15 | 0.02 | 0.10 | 0.05 | 0.07 | 0.09 | 0.04 | 0.04 | 0.08 | 0.08 | 0.10 | 0.08 | 0.03 | 0.04 | 0.03 | 0.06 | 0.18 | 0.06 | 0.21 | 0.11 | 0.11 | 0.17 |
| BAESY | 0.23 | 0.06 | 1.00 | 0.12 | 0.14 | 0.13 | 0.15 | 0.21 | 0.20 | 0.16 | 0.16 | 0.13 | 0.23 | 0.18 | 0.16 | 0.17 | 0.15 | 0.20 | 0.13 | 0.11 | 0.20 | 0.14 | 0.17 | 0.18 | 0.15 | 0.16 | 0.18 | 0.19 | 0.27 | 0.27 | 0.16 | 0.25 | 0.35 | 0.23 | 0.26 | 0.29 |
| HUM | 0.37 | 0.02 | 0.12 | 1.00 | 0.15 | 0.32 | 0.19 | 0.17 | 0.19 | 0.20 | 0.36 | 0.19 | 0.24 | 0.19 | 0.18 | 0.34 | 0.19 | 0.22 | 0.19 | 0.26 | 0.22 | 0.27 | 0.33 | 0.26 | 0.22 | 0.26 | 0.29 | 0.31 | 0.30 | 0.27 | 0.25 | 0.30 | 0.29 | 0.37 | 0.37 | 0.41 |
| STRL | 0.41 | 0.03 | 0.14 | 0.15 | 1.00 | 0.16 | 0.25 | 0.26 | 0.16 | 0.19 | 0.20 | 0.19 | 0.19 | 0.26 | 0.26 | 0.23 | 0.29 | 0.26 | 0.32 | 0.23 | 0.39 | 0.29 | 0.21 | 0.28 | 0.30 | 0.28 | 0.23 | 0.26 | 0.30 | 0.32 | 0.27 | 0.48 | 0.36 | 0.43 | 0.42 | 0.51 |
| ABBV | 0.44 | 0.01 | 0.13 | 0.32 | 0.16 | 1.00 | 0.26 | 0.20 | 0.27 | 0.29 | 0.38 | 0.26 | 0.29 | 0.28 | 0.24 | 0.40 | 0.24 | 0.24 | 0.24 | 0.28 | 0.25 | 0.27 | 0.42 | 0.30 | 0.29 | 0.28 | 0.34 | 0.31 | 0.31 | 0.31 | 0.33 | 0.33 | 0.37 | 0.43 | 0.49 | 0.49 |
| VLO | 0.42 | 0.06 | 0.15 | 0.19 | 0.25 | 0.26 | 1.00 | 0.44 | 0.22 | 0.25 | 0.27 | 0.22 | 0.26 | 0.44 | 0.23 | 0.28 | 0.30 | 0.32 | 0.29 | 0.24 | 0.38 | 0.27 | 0.26 | 0.25 | 0.25 | 0.23 | 0.25 | 0.25 | 0.36 | 0.37 | 0.26 | 0.43 | 0.41 | 0.43 | 0.51 | 0.50 |
| CNQ | 0.44 | 0.17 | 0.21 | 0.17 | 0.26 | 0.20 | 0.44 | 1.00 | 0.35 | 0.25 | 0.21 | 0.19 | 0.23 | 0.53 | 0.24 | 0.24 | 0.29 | 0.32 | 0.27 | 0.23 | 0.37 | 0.24 | 0.22 | 0.23 | 0.26 | 0.25 | 0.24 | 0.24 | 0.34 | 0.37 | 0.25 | 0.40 | 0.50 | 0.45 | 0.50 | 0.50 |
| BCE | 0.41 | 0.21 | 0.20 | 0.19 | 0.16 | 0.27 | 0.22 | 0.35 | 1.00 | 0.41 | 0.24 | 0.34 | 0.29 | 0.29 | 0.33 | 0.25 | 0.25 | 0.27 | 0.21 | 0.25 | 0.24 | 0.28 | 0.35 | 0.31 | 0.25 | 0.24 | 0.31 | 0.31 | 0.31 | 0.33 | 0.42 | 0.37 | 0.50 | 0.41 | 0.48 | 0.46 |
| T | 0.41 | 0.11 | 0.16 | 0.20 | 0.19 | 0.29 | 0.25 | 0.25 | 0.41 | 1.00 | 0.28 | 0.34 | 0.30 | 0.30 | 0.32 | 0.33 | 0.25 | 0.30 | 0.19 | 0.20 | 0.31 | 0.30 | 0.34 | 0.29 | 0.21 | 0.20 | 0.33 | 0.33 | 0.36 | 0.37 | 0.40 | 0.42 | 0.40 | 0.41 | 0.55 | 0.47 |
| MCK | 0.43 | 0.03 | 0.16 | 0.36 | 0.20 | 0.38 | 0.27 | 0.21 | 0.24 | 0.28 | 1.00 | 0.25 | 0.32 | 0.28 | 0.24 | 0.71 | 0.25 | 0.26 | 0.21 | 0.26 | 0.29 | 0.29 | 0.36 | 0.32 | 0.26 | 0.25 | 0.35 | 0.35 | 0.37 | 0.35 | 0.30 | 0.35 | 0.35 | 0.43 | 0.46 | 0.54 |
| WPC | 0.41 | 0.16 | 0.13 | 0.19 | 0.19 | 0.26 | 0.22 | 0.19 | 0.34 | 0.34 | 0.25 | 1.00 | 0.30 | 0.28 | 0.49 | 0.26 | 0.24 | 0.27 | 0.23 | 0.25 | 0.26 | 0.31 | 0.35 | 0.31 | 0.27 | 0.27 | 0.36 | 0.35 | 0.34 | 0.33 | 0.77 | 0.47 | 0.39 | 0.42 | 0.48 | 0.48 |
| LMT | 0.42 | 0.02 | 0.23 | 0.24 | 0.19 | 0.29 | 0.26 | 0.23 | 0.29 | 0.30 | 0.32 | 0.30 | 1.00 | 0.24 | 0.26 | 0.34 | 0.23 | 0.27 | 0.21 | 0.25 | 0.31 | 0.29 | 0.34 | 0.35 | 0.23 | 0.27 | 0.39 | 0.38 | 0.66 | 0.57 | 0.34 | 0.38 | 0.36 | 0.41 | 0.50 | 0.51 |
| WMB | 0.46 | 0.16 | 0.18 | 0.19 | 0.26 | 0.28 | 0.44 | 0.53 | 0.29 | 0.30 | 0.28 | 0.28 | 0.24 | 1.00 | 0.33 | 0.29 | 0.30 | 0.33 | 0.26 | 0.24 | 0.38 | 0.29 | 0.29 | 0.28 | 0.29 | 0.24 | 0.29 | 0.29 | 0.34 | 0.38 | 0.36 | 0.45 | 0.45 | 0.47 | 0.54 | 0.55 |
| IRM | 0.48 | 0.15 | 0.16 | 0.18 | 0.26 | 0.24 | 0.23 | 0.24 | 0.33 | 0.32 | 0.24 | 0.49 | 0.26 | 0.33 | 1.00 | 0.28 | 0.33 | 0.30 | 0.29 | 0.29 | 0.34 | 0.36 | 0.32 | 0.35 | 0.31 | 0.31 | 0.34 | 0.34 | 0.35 | 0.35 | 0.63 | 0.47 | 0.43 | 0.49 | 0.51 | 0.54 |
| CAH | 0.46 | 0.02 | 0.17 | 0.34 | 0.23 | 0.40 | 0.28 | 0.24 | 0.25 | 0.33 | 0.71 | 0.26 | 0.34 | 0.29 | 0.28 | 1.00 | 0.30 | 0.28 | 0.25 | 0.26 | 0.33 | 0.31 | 0.40 | 0.33 | 0.29 | 0.26 | 0.39 | 0.36 | 0.40 | 0.39 | 0.34 | 0.43 | 0.40 | 0.46 | 0.52 | 0.58 |
| STX | 0.57 | 0.10 | 0.15 | 0.19 | 0.29 | 0.24 | 0.30 | 0.29 | 0.25 | 0.25 | 0.25 | 0.24 | 0.23 | 0.30 | 0.33 | 0.30 | 1.00 | 0.37 | 0.50 | 0.43 | 0.39 | 0.37 | 0.31 | 0.36 | 0.44 | 0.42 | 0.34 | 0.37 | 0.33 | 0.36 | 0.34 | 0.47 | 0.49 | 0.57 | 0.53 | 0.63 |
| AB | 0.54 | 0.05 | 0.20 | 0.22 | 0.26 | 0.24 | 0.32 | 0.32 | 0.27 | 0.30 | 0.26 | 0.27 | 0.27 | 0.33 | 0.30 | 0.28 | 0.37 | 1.00 | 0.37 | 0.35 | 0.38 | 0.36 | 0.34 | 0.36 | 0.39 | 0.39 | 0.39 | 0.38 | 0.36 | 0.39 | 0.39 | 0.50 | 0.50 | 0.56 | 0.55 | 0.56 |
| LRCX | 0.66 | 0.07 | 0.13 | 0.19 | 0.32 | 0.24 | 0.29 | 0.27 | 0.21 | 0.19 | 0.21 | 0.23 | 0.21 | 0.26 | 0.29 | 0.25 | 0.50 | 0.37 | 1.00 | 0.53 | 0.38 | 0.38 | 0.33 | 0.39 | 0.53 | 0.56 | 0.33 | 0.35 | 0.32 | 0.36 | 0.34 | 0.46 | 0.56 | 0.66 | 0.54 | 0.61 |
| MSFT | 0.72 | 0.09 | 0.11 | 0.26 | 0.23 | 0.28 | 0.24 | 0.23 | 0.25 | 0.20 | 0.26 | 0.25 | 0.25 | 0.24 | 0.29 | 0.26 | 0.43 | 0.35 | 0.53 | 1.00 | 0.29 | 0.39 | 0.37 | 0.44 | 0.58 | 0.62 | 0.40 | 0.39 | 0.33 | 0.34 | 0.39 | 0.39 | 0.54 | 0.70 | 0.52 | 0.59 |
| ALSN | 0.54 | 0.04 | 0.20 | 0.22 | 0.39 | 0.25 | 0.38 | 0.37 | 0.24 | 0.31 | 0.29 | 0.26 | 0.31 | 0.38 | 0.34 | 0.33 | 0.39 | 0.38 | 0.38 | 0.29 | 1.00 | 0.39 | 0.32 | 0.33 | 0.34 | 0.33 | 0.35 | 0.38 | 0.46 | 0.48 | 0.34 | 0.57 | 0.49 | 0.55 | 0.61 | 0.59 |
| LOW | 0.59 | 0.04 | 0.14 | 0.27 | 0.29 | 0.27 | 0.27 | 0.24 | 0.28 | 0.30 | 0.29 | 0.31 | 0.29 | 0.29 | 0.36 | 0.31 | 0.37 | 0.36 | 0.38 | 0.39 | 0.39 | 1.00 | 0.38 | 0.40 | 0.44 | 0.44 | 0.39 | 0.42 | 0.38 | 0.37 | 0.46 | 0.51 | 0.50 | 0.60 | 0.57 | 0.59 |
| MDT | 0.57 | 0.08 | 0.17 | 0.33 | 0.21 | 0.42 | 0.26 | 0.22 | 0.35 | 0.34 | 0.36 | 0.35 | 0.34 | 0.29 | 0.32 | 0.40 | 0.31 | 0.34 | 0.33 | 0.37 | 0.32 | 0.38 | 1.00 | 0.38 | 0.40 | 0.41 | 0.42 | 0.45 | 0.39 | 0.40 | 0.46 | 0.46 | 0.50 | 0.57 | 0.58 | 0.58 |
| MSI | 0.59 | 0.08 | 0.18 | 0.26 | 0.28 | 0.30 | 0.25 | 0.23 | 0.31 | 0.29 | 0.32 | 0.31 | 0.35 | 0.28 | 0.35 | 0.33 | 0.36 | 0.36 | 0.39 | 0.44 | 0.33 | 0.40 | 0.38 | 1.00 | 0.47 | 0.47 | 0.46 | 0.47 | 0.41 | 0.41 | 0.42 | 0.46 | 0.48 | 0.59 | 0.55 | 0.60 |
| ADSK | 0.68 | 0.10 | 0.15 | 0.22 | 0.30 | 0.29 | 0.25 | 0.26 | 0.25 | 0.21 | 0.26 | 0.27 | 0.23 | 0.29 | 0.31 | 0.29 | 0.44 | 0.39 | 0.53 | 0.58 | 0.34 | 0.44 | 0.40 | 0.47 | 1.00 | 0.68 | 0.39 | 0.41 | 0.32 | 0.36 | 0.40 | 0.49 | 0.56 | 0.69 | 0.53 | 0.65 |
| ANSS | 0.71 | 0.08 | 0.16 | 0.26 | 0.28 | 0.28 | 0.23 | 0.25 | 0.24 | 0.20 | 0.25 | 0.27 | 0.27 | 0.24 | 0.31 | 0.26 | 0.42 | 0.39 | 0.56 | 0.62 | 0.33 | 0.44 | 0.41 | 0.47 | 0.68 | 1.00 | 0.42 | 0.45 | 0.34 | 0.35 | 0.41 | 0.47 | 0.57 | 0.72 | 0.53 | 0.62 |
| AJG | 0.57 | 0.03 | 0.18 | 0.29 | 0.23 | 0.34 | 0.25 | 0.24 | 0.31 | 0.33 | 0.35 | 0.36 | 0.39 | 0.29 | 0.34 | 0.39 | 0.34 | 0.39 | 0.33 | 0.40 | 0.35 | 0.39 | 0.42 | 0.46 | 0.39 | 0.42 | 1.00 | 0.74 | 0.46 | 0.44 | 0.45 | 0.48 | 0.48 | 0.57 | 0.58 | 0.61 |
| BRO | 0.59 | 0.04 | 0.19 | 0.31 | 0.26 | 0.31 | 0.25 | 0.24 | 0.31 | 0.33 | 0.35 | 0.35 | 0.38 | 0.29 | 0.34 | 0.36 | 0.37 | 0.38 | 0.35 | 0.39 | 0.38 | 0.42 | 0.45 | 0.47 | 0.41 | 0.45 | 0.74 | 1.00 | 0.47 | 0.44 | 0.46 | 0.53 | 0.48 | 0.59 | 0.60 | 0.63 |
| GD | 0.55 | 0.03 | 0.27 | 0.30 | 0.30 | 0.31 | 0.36 | 0.34 | 0.31 | 0.36 | 0.37 | 0.34 | 0.66 | 0.34 | 0.35 | 0.40 | 0.33 | 0.36 | 0.32 | 0.33 | 0.46 | 0.38 | 0.39 | 0.41 | 0.32 | 0.34 | 0.46 | 0.47 | 1.00 | 0.64 | 0.41 | 0.54 | 0.49 | 0.55 | 0.64 | 0.64 |
| RTX | 0.58 | 0.06 | 0.27 | 0.27 | 0.32 | 0.31 | 0.37 | 0.37 | 0.33 | 0.37 | 0.35 | 0.33 | 0.57 | 0.38 | 0.35 | 0.39 | 0.36 | 0.39 | 0.36 | 0.34 | 0.48 | 0.37 | 0.40 | 0.41 | 0.36 | 0.35 | 0.44 | 0.44 | 0.64 | 1.00 | 0.40 | 0.56 | 0.53 | 0.58 | 0.66 | 0.65 |
| VNQ | 0.60 | 0.18 | 0.16 | 0.25 | 0.27 | 0.33 | 0.26 | 0.25 | 0.42 | 0.40 | 0.30 | 0.77 | 0.34 | 0.36 | 0.63 | 0.34 | 0.34 | 0.39 | 0.34 | 0.39 | 0.34 | 0.46 | 0.46 | 0.42 | 0.40 | 0.41 | 0.45 | 0.46 | 0.41 | 0.40 | 1.00 | 0.61 | 0.54 | 0.61 | 0.63 | 0.64 |
| SMLV | 0.71 | 0.06 | 0.25 | 0.30 | 0.48 | 0.33 | 0.43 | 0.40 | 0.37 | 0.42 | 0.35 | 0.47 | 0.38 | 0.45 | 0.47 | 0.43 | 0.47 | 0.50 | 0.46 | 0.39 | 0.57 | 0.51 | 0.46 | 0.46 | 0.49 | 0.47 | 0.48 | 0.53 | 0.54 | 0.56 | 0.61 | 1.00 | 0.65 | 0.75 | 0.78 | 0.76 |
| VEA | 0.81 | 0.21 | 0.35 | 0.29 | 0.36 | 0.37 | 0.41 | 0.50 | 0.50 | 0.40 | 0.35 | 0.39 | 0.36 | 0.45 | 0.43 | 0.40 | 0.49 | 0.50 | 0.56 | 0.54 | 0.49 | 0.50 | 0.50 | 0.48 | 0.56 | 0.57 | 0.48 | 0.48 | 0.49 | 0.53 | 0.54 | 0.65 | 1.00 | 0.81 | 0.77 | 0.79 |
| VTI | 0.99 | 0.11 | 0.23 | 0.37 | 0.43 | 0.43 | 0.43 | 0.45 | 0.41 | 0.41 | 0.43 | 0.42 | 0.41 | 0.47 | 0.49 | 0.46 | 0.57 | 0.56 | 0.66 | 0.70 | 0.55 | 0.60 | 0.57 | 0.59 | 0.69 | 0.72 | 0.57 | 0.59 | 0.55 | 0.58 | 0.61 | 0.75 | 0.81 | 1.00 | 0.87 | 0.90 |
| VYM | 0.87 | 0.11 | 0.26 | 0.37 | 0.42 | 0.49 | 0.51 | 0.50 | 0.48 | 0.55 | 0.46 | 0.48 | 0.50 | 0.54 | 0.51 | 0.52 | 0.53 | 0.55 | 0.54 | 0.52 | 0.61 | 0.57 | 0.58 | 0.55 | 0.53 | 0.53 | 0.58 | 0.60 | 0.64 | 0.66 | 0.63 | 0.78 | 0.77 | 0.87 | 1.00 | 0.89 |
| Portfolio | 0.89 | 0.17 | 0.29 | 0.41 | 0.51 | 0.49 | 0.50 | 0.50 | 0.46 | 0.47 | 0.54 | 0.48 | 0.51 | 0.55 | 0.54 | 0.58 | 0.63 | 0.56 | 0.61 | 0.59 | 0.59 | 0.59 | 0.58 | 0.60 | 0.65 | 0.62 | 0.61 | 0.63 | 0.64 | 0.65 | 0.64 | 0.76 | 0.79 | 0.90 | 0.89 | 1.00 |
The correlation results are calculated based on daily price changes starting from Feb 22, 2013