US LC High Beta Ex-Tech
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AXP American Express Company | Financial Services | 8.33% |
BAC Bank of America Corporation | Financial Services | 8.33% |
BX The Blackstone Group Inc. | Financial Services | 8.33% |
CAT Caterpillar Inc. | Industrials | 8.33% |
CVX Chevron Corporation | Energy | 8.33% |
GE General Electric Company | Industrials | 8.33% |
HD The Home Depot, Inc. | Consumer Cyclical | 8.33% |
ISRG Intuitive Surgical, Inc. | Healthcare | 8.33% |
JPM JPMorgan Chase & Co. | Financial Services | 8.33% |
MA Mastercard Inc | Financial Services | 8.33% |
MS Morgan Stanley | Financial Services | 8.33% |
WFC Wells Fargo & Company | Financial Services | 8.33% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in US LC High Beta Ex-Tech, 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.
The earliest data available for this chart is Jun 22, 2007, corresponding to the inception date of BX
Returns By Period
As of Jan 5, 2025, the US LC High Beta Ex-Tech returned 0.99% Year-To-Date and 18.81% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.03% | -2.37% | 6.74% | 26.74% | 12.96% | 11.51% |
| US LC High Beta Ex-Tech | 0.99% | -3.81% | 20.16% | 38.33% | 17.39% | 18.80% |
| Portfolio components: | ||||||
JPM JPMorgan Chase & Co. | 1.49% | -1.65% | 19.30% | 43.71% | 15.39% | 18.37% |
MA Mastercard Inc | -0.99% | -1.36% | 17.16% | 25.02% | 11.96% | 20.76% |
HD The Home Depot, Inc. | 0.05% | -9.78% | 15.90% | 16.26% | 14.69% | 16.76% |
BAC Bank of America Corporation | 1.96% | -4.15% | 11.65% | 33.46% | 7.76% | 12.55% |
CVX Chevron Corporation | 2.08% | -4.76% | -2.14% | 2.54% | 9.46% | 7.70% |
WFC Wells Fargo & Company | 1.52% | -4.06% | 22.47% | 46.62% | 9.09% | 6.10% |
GE General Electric Company | 3.10% | -1.90% | 5.66% | 71.74% | 24.30% | 5.70% |
AXP American Express Company | 2.36% | -0.06% | 29.88% | 62.09% | 20.99% | 14.57% |
CAT Caterpillar Inc. | 0.28% | -7.91% | 11.40% | 27.93% | 22.52% | 18.48% |
BX The Blackstone Group Inc. | 2.02% | -5.93% | 47.26% | 47.63% | 30.01% | 24.28% |
MS Morgan Stanley | 0.17% | -3.09% | 27.33% | 39.99% | 23.58% | 16.23% |
ISRG Intuitive Surgical, Inc. | 2.55% | -2.75% | 20.42% | 65.98% | 22.61% | 25.00% |
Monthly Returns
The table below presents the monthly returns of US LC High Beta Ex-Tech, 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 | 4.64% | 5.43% | 3.44% | -6.48% | 3.01% | 2.35% | 4.87% | 4.39% | 2.80% | 2.17% | 9.23% | -5.17% | 34.00% |
| 2023 | 4.70% | -4.73% | 0.84% | 6.23% | -2.77% | 9.28% | 2.29% | -0.28% | -4.25% | -7.90% | 13.14% | 8.49% | 25.37% |
| 2022 | -4.52% | -4.00% | 0.39% | -8.28% | 1.48% | -13.61% | 11.93% | -6.50% | -9.57% | 18.06% | 7.98% | -4.13% | -14.43% |
| 2021 | -5.45% | 6.74% | 4.64% | 9.16% | -0.91% | 2.12% | 5.34% | -0.18% | -2.22% | 6.83% | -4.36% | 6.55% | 30.56% |
| 2020 | 0.43% | -8.02% | -15.25% | 10.74% | 9.21% | -0.75% | 6.83% | 9.12% | -3.71% | -7.41% | 13.73% | 6.16% | 17.91% |
| 2019 | 9.46% | 3.99% | 2.96% | 2.86% | -5.75% | 9.00% | 1.96% | 0.32% | 1.34% | 2.94% | 3.88% | 1.58% | 39.46% |
| 2018 | 9.67% | -2.65% | -2.83% | 2.99% | 3.37% | 1.76% | 3.84% | 5.20% | 1.92% | -10.06% | 2.90% | -8.61% | 5.83% |
| 2017 | 3.15% | 4.28% | 0.14% | 4.04% | 2.15% | 2.34% | 1.58% | 2.10% | 5.83% | 4.26% | 3.59% | 0.75% | 39.93% |
| 2016 | -7.38% | -0.63% | 8.09% | 3.08% | -0.37% | -2.70% | 5.94% | 0.90% | 0.59% | -0.40% | 4.16% | 2.27% | 13.39% |
| 2015 | -5.73% | 6.40% | -1.48% | 2.18% | 1.57% | -0.61% | 2.45% | -4.99% | -4.55% | 8.17% | 2.10% | -0.59% | 3.98% |
| 2014 | -3.90% | 4.65% | -0.01% | -3.35% | 1.74% | 3.18% | 0.15% | 4.36% | -2.60% | 5.31% | 2.30% | 1.09% | 13.09% |
Expense Ratio
US LC High Beta Ex-Tech 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 89, US LC High Beta Ex-Tech 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
JPM JPMorgan Chase & Co. | 1.93 | 2.66 | 1.39 | 4.48 | 12.80 |
MA Mastercard Inc | 1.59 | 2.17 | 1.29 | 2.13 | 5.29 |
HD The Home Depot, Inc. | 0.88 | 1.32 | 1.16 | 1.01 | 2.12 |
BAC Bank of America Corporation | 1.63 | 2.48 | 1.30 | 1.15 | 6.49 |
CVX Chevron Corporation | 0.06 | 0.22 | 1.03 | 0.06 | 0.19 |
WFC Wells Fargo & Company | 1.75 | 2.59 | 1.34 | 2.90 | 8.07 |
GE General Electric Company | 2.46 | 2.97 | 1.43 | 2.44 | 13.94 |
AXP American Express Company | 2.69 | 3.53 | 1.49 | 6.06 | 21.58 |
CAT Caterpillar Inc. | 1.16 | 1.72 | 1.22 | 1.90 | 3.98 |
BX The Blackstone Group Inc. | 1.67 | 2.27 | 1.28 | 3.13 | 8.67 |
MS Morgan Stanley | 1.61 | 2.32 | 1.32 | 2.39 | 8.51 |
ISRG Intuitive Surgical, Inc. | 2.50 | 3.96 | 1.49 | 5.63 | 24.52 |
Dividends
Dividend yield
US LC High Beta Ex-Tech provided a 1.74% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.74% | 1.80% | 2.00% | 2.35% | 1.69% | 2.26% | 2.07% | 2.93% | 2.39% | 2.53% | 2.85% | 2.14% |
| Portfolio components: | ||||||||||||
JPM JPMorgan Chase & Co. | 1.46% | 1.92% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% |
MA Mastercard Inc | 0.51% | 0.50% | 0.53% | 0.56% | 0.49% | 0.45% | 0.44% | 0.53% | 0.58% | 0.74% | 0.66% | 0.51% |
HD The Home Depot, Inc. | 2.31% | 2.31% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% | 1.79% |
BAC Bank of America Corporation | 2.23% | 2.28% | 2.73% | 2.60% | 1.75% | 2.38% | 1.87% | 2.19% | 1.32% | 1.13% | 1.19% | 0.67% |
CVX Chevron Corporation | 4.41% | 4.50% | 4.05% | 3.16% | 4.52% | 6.11% | 3.95% | 4.12% | 3.45% | 3.64% | 4.76% | 3.75% |
WFC Wells Fargo & Company | 2.10% | 2.14% | 2.64% | 2.66% | 1.25% | 4.04% | 3.57% | 3.56% | 2.54% | 2.75% | 2.71% | 2.46% |
GE General Electric Company | 0.65% | 0.67% | 0.25% | 0.38% | 0.34% | 0.37% | 0.36% | 4.89% | 4.81% | 2.94% | 2.95% | 3.52% |
AXP American Express Company | 0.92% | 0.91% | 1.24% | 1.35% | 1.05% | 1.42% | 1.29% | 1.51% | 1.32% | 1.61% | 1.58% | 1.05% |
CAT Caterpillar Inc. | 1.49% | 1.49% | 1.69% | 1.93% | 2.07% | 2.26% | 2.56% | 2.58% | 1.97% | 3.32% | 4.33% | 2.84% |
BX The Blackstone Group Inc. | 1.96% | 2.00% | 2.54% | 6.66% | 2.76% | 2.95% | 3.43% | 8.12% | 7.25% | 8.44% | 9.92% | 5.68% |
MS Morgan Stanley | 2.82% | 2.82% | 3.49% | 3.47% | 2.14% | 2.04% | 2.54% | 2.77% | 1.72% | 1.66% | 1.73% | 0.90% |
ISRG Intuitive Surgical, 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% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the US LC High Beta Ex-Tech. 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 US LC High Beta Ex-Tech was 65.29%, occurring on Mar 5, 2009. Recovery took 526 trading sessions.
The current US LC High Beta Ex-Tech drawdown is 4.23%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -65.29% | Nov 1, 2007 | 337 | Mar 5, 2009 | 526 | Apr 5, 2011 | 863 |
| -40.92% | Feb 21, 2020 | 22 | Mar 23, 2020 | 110 | Aug 27, 2020 | 132 |
| -31.54% | Nov 17, 2021 | 216 | Sep 27, 2022 | 305 | Dec 13, 2023 | 521 |
| -22.35% | Sep 26, 2018 | 62 | Dec 24, 2018 | 66 | Apr 1, 2019 | 128 |
| -20.01% | Jul 22, 2011 | 51 | Oct 3, 2011 | 63 | Jan 3, 2012 | 114 |
Volatility
Volatility Chart
The current US LC High Beta Ex-Tech volatility is 4.70%, 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.
Diversification
Asset Correlations Table
| ISRG | HD | CVX | BX | MA | GE | CAT | WFC | AXP | MS | BAC | JPM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ISRG | 1.00 | 0.41 | 0.33 | 0.40 | 0.49 | 0.35 | 0.40 | 0.34 | 0.42 | 0.37 | 0.35 | 0.37 |
| HD | 0.41 | 1.00 | 0.35 | 0.43 | 0.45 | 0.40 | 0.44 | 0.43 | 0.49 | 0.45 | 0.43 | 0.46 |
| CVX | 0.33 | 0.35 | 1.00 | 0.38 | 0.38 | 0.47 | 0.57 | 0.47 | 0.46 | 0.47 | 0.46 | 0.49 |
| BX | 0.40 | 0.43 | 0.38 | 1.00 | 0.44 | 0.43 | 0.47 | 0.46 | 0.50 | 0.53 | 0.47 | 0.49 |
| MA | 0.49 | 0.45 | 0.38 | 0.44 | 1.00 | 0.40 | 0.46 | 0.44 | 0.56 | 0.48 | 0.44 | 0.48 |
| GE | 0.35 | 0.40 | 0.47 | 0.43 | 0.40 | 1.00 | 0.55 | 0.53 | 0.54 | 0.52 | 0.54 | 0.56 |
| CAT | 0.40 | 0.44 | 0.57 | 0.47 | 0.46 | 0.55 | 1.00 | 0.50 | 0.56 | 0.54 | 0.53 | 0.55 |
| WFC | 0.34 | 0.43 | 0.47 | 0.46 | 0.44 | 0.53 | 0.50 | 1.00 | 0.66 | 0.68 | 0.77 | 0.78 |
| AXP | 0.42 | 0.49 | 0.46 | 0.50 | 0.56 | 0.54 | 0.56 | 0.66 | 1.00 | 0.64 | 0.65 | 0.68 |
| MS | 0.37 | 0.45 | 0.47 | 0.53 | 0.48 | 0.52 | 0.54 | 0.68 | 0.64 | 1.00 | 0.75 | 0.75 |
| BAC | 0.35 | 0.43 | 0.46 | 0.47 | 0.44 | 0.54 | 0.53 | 0.77 | 0.65 | 0.75 | 1.00 | 0.82 |
| JPM | 0.37 | 0.46 | 0.49 | 0.49 | 0.48 | 0.56 | 0.55 | 0.78 | 0.68 | 0.75 | 0.82 | 1.00 |