US LC High Beta Ex-Tech

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

US LC High Beta Ex-Tech

Currency in USD · Last updated Jun 2, 2025

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%

Benchmark

S&P 500

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Performance

Performance Chart

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The earliest data available for this chart is Jun 22, 2007, corresponding to the inception date of BX

Returns By Period

As of Jun 2, 2025, the US LC High Beta Ex-Tech returned 4.89% Year-To-Date and 17.29% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.51%	3.96%	-2.00%	12.02%	14.19%	10.85%
US LC High Beta Ex-Tech	4.89%	5.38%	-2.03%	23.93%	26.01%	17.29%
Portfolio components:
JPM JPMorgan Chase & Co.	11.38%	4.55%	6.92%	33.31%	25.54%	18.06%
MA Mastercard Inc	11.55%	4.69%	10.22%	31.76%	14.89%	20.91%
HD The Home Depot, Inc.	-4.72%	1.03%	-13.63%	11.94%	10.82%	15.30%
BAC Bank of America Corporation	1.04%	7.45%	-6.01%	13.08%	15.68%	12.55%
CVX Chevron Corporation	-3.41%	-0.10%	-13.60%	-11.95%	13.17%	7.44%
WFC Wells Fargo & Company	7.58%	1.88%	-0.80%	27.80%	25.89%	5.87%
GE General Electric Company	47.71%	18.40%	35.47%	49.90%	50.36%	8.05%
AXP American Express Company	-0.36%	6.21%	-2.94%	23.91%	26.99%	15.58%
CAT Caterpillar Inc.	-3.23%	7.52%	-13.56%	4.50%	26.26%	18.00%
BX The Blackstone Group Inc.	-18.26%	0.98%	-26.25%	18.24%	23.79%	18.12%
MS Morgan Stanley	3.34%	6.50%	-1.29%	35.04%	27.75%	15.95%
ISRG Intuitive Surgical, Inc.	5.82%	4.33%	1.91%	37.36%	23.36%	25.84%

*Annualized

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
2025	8.26%	-1.35%	-7.17%	-2.69%	8.71%								4.89%
2024	2.28%	6.84%	5.86%	-2.58%	3.51%	-0.04%	5.46%	1.91%	2.68%	3.17%	11.16%	-6.59%	37.84%
2023	9.76%	-2.47%	-3.44%	3.93%	-3.32%	8.48%	5.59%	-2.73%	-2.92%	-7.48%	12.94%	10.17%	29.31%
2022	1.06%	-2.15%	-0.11%	-9.45%	4.42%	-15.14%	11.50%	-3.57%	-9.74%	18.29%	7.49%	-5.71%	-7.78%
2021	-1.65%	12.44%	6.23%	7.07%	3.21%	-0.11%	2.14%	2.12%	-1.72%	8.15%	-4.92%	3.21%	41.06%
2020	-1.01%	-10.44%	-19.15%	9.05%	5.03%	0.50%	1.53%	5.59%	-3.65%	-1.84%	21.02%	5.94%	7.25%
2019	10.96%	3.17%	0.47%	5.81%	-7.84%	9.76%	2.16%	-4.13%	3.25%	4.87%	4.92%	2.22%	40.00%
2018	6.73%	-4.11%	-4.05%	1.96%	1.54%	-0.50%	4.85%	1.60%	-0.53%	-8.40%	1.59%	-9.75%	-9.97%
2017	2.39%	4.11%	-1.53%	2.61%	-0.15%	3.83%	1.39%	0.10%	5.54%	2.79%	2.24%	2.57%	28.94%
2016	-9.65%	-1.11%	8.18%	3.92%	-0.35%	-2.97%	5.92%	3.05%	-1.02%	0.81%	10.44%	3.06%	20.38%
2015	-7.15%	6.00%	-1.42%	3.57%	1.61%	-0.69%	0.77%	-5.85%	-4.88%	8.14%	1.93%	-1.72%	-0.88%
2014	-2.67%	4.00%	1.37%	-2.93%	1.12%	3.65%	-0.90%	4.50%	-1.81%	3.09%	1.74%	1.53%	13.04%

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

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

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

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of US LC High Beta Ex-Tech is 73, indicating average performance compared to other portfolios on our website. Here’s 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
JPM JPMorgan Chase & Co.	1.26	1.82	1.26	1.45	4.83
MA Mastercard Inc	1.58	2.07	1.30	1.93	8.31
HD The Home Depot, Inc.	0.61	1.06	1.12	0.68	1.69
BAC Bank of America Corporation	0.59	0.88	1.13	0.55	1.62
CVX Chevron Corporation	-0.39	-0.38	0.95	-0.46	-1.10
WFC Wells Fargo & Company	0.87	1.35	1.19	1.16	3.36
GE General Electric Company	1.50	1.82	1.28	2.19	6.96
AXP American Express Company	0.79	1.27	1.18	0.88	2.76
CAT Caterpillar Inc.	0.14	0.33	1.04	0.06	0.16
BX The Blackstone Group Inc.	0.51	0.89	1.12	0.45	1.08
MS Morgan Stanley	1.05	1.52	1.22	1.16	3.63
ISRG Intuitive Surgical, Inc.	1.10	1.80	1.25	1.45	4.45

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.

US LC High Beta Ex-Tech Sharpe ratios as of Jun 2, 2025 (values are recalculated daily):

1-Year: 1.07
5-Year: 1.17
10-Year: 0.73
All Time: 0.50

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 0.59 to 1.12, 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 US LC High Beta Ex-Tech compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

US LC High Beta Ex-Tech provided a 1.87% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	1.87%	1.80%	2.00%	2.35%	1.69%	2.26%	2.07%	2.93%	2.39%	2.53%	2.83%	2.13%
Portfolio components:
JPM JPMorgan Chase & Co.	1.91%	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	0.48%	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.	1.85%	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	2.31%	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	4.89%	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	2.14%	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	0.49%	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	0.99%	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.	1.62%	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.	2.92%	2.00%	2.54%	6.66%	2.76%	2.95%	3.43%	8.12%	7.25%	8.44%	9.76%	5.57%
MS Morgan Stanley	2.89%	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.

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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 64.46%, occurring on Mar 5, 2009. Recovery took 276 trading sessions.

The current US LC High Beta Ex-Tech drawdown is 4.62%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-64.46%	Oct 10, 2007	353	Mar 5, 2009	276	Apr 9, 2010	629
-44.11%	Feb 18, 2020	25	Mar 23, 2020	179	Dec 4, 2020	204
-27.19%	Feb 10, 2022	161	Sep 30, 2022	194	Jul 12, 2023	355
-27.18%	Apr 7, 2011	124	Oct 3, 2011	85	Feb 3, 2012	209
-24.04%	Sep 24, 2018	64	Dec 24, 2018	122	Jun 20, 2019	186

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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 12 assets, with an effective number of assets of 12.00, 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	ISRG	CVX	HD	MA	BX	GE	CAT	WFC	BAC	AXP	MS	JPM	Portfolio
^GSPC	1.00	0.63	0.59	0.64	0.66	0.62	0.62	0.67	0.64	0.65	0.71	0.68	0.69	0.87
ISRG	0.63	1.00	0.33	0.42	0.49	0.40	0.36	0.40	0.35	0.36	0.43	0.38	0.38	0.58
CVX	0.59	0.33	1.00	0.35	0.38	0.38	0.47	0.57	0.46	0.46	0.46	0.47	0.48	0.62
HD	0.64	0.42	0.35	1.00	0.45	0.44	0.40	0.45	0.44	0.43	0.49	0.45	0.46	0.61
MA	0.66	0.49	0.38	0.45	1.00	0.44	0.41	0.46	0.44	0.44	0.56	0.48	0.48	0.65
BX	0.62	0.40	0.38	0.44	0.44	1.00	0.43	0.48	0.47	0.48	0.50	0.54	0.49	0.68
GE	0.62	0.36	0.47	0.40	0.41	0.43	1.00	0.54	0.54	0.54	0.54	0.53	0.56	0.70
CAT	0.67	0.40	0.57	0.45	0.46	0.48	0.54	1.00	0.50	0.53	0.56	0.54	0.55	0.72
WFC	0.64	0.35	0.46	0.44	0.44	0.47	0.54	0.50	1.00	0.77	0.66	0.68	0.78	0.79
BAC	0.65	0.36	0.46	0.43	0.44	0.48	0.54	0.53	0.77	1.00	0.65	0.75	0.82	0.81
AXP	0.71	0.43	0.46	0.49	0.56	0.50	0.54	0.56	0.66	0.65	1.00	0.65	0.69	0.80
MS	0.68	0.38	0.47	0.45	0.48	0.54	0.53	0.54	0.68	0.75	0.65	1.00	0.76	0.81
JPM	0.69	0.38	0.48	0.46	0.48	0.49	0.56	0.55	0.78	0.82	0.69	0.76	1.00	0.83
Portfolio	0.87	0.58	0.62	0.61	0.65	0.68	0.70	0.72	0.79	0.81	0.80	0.81	0.83	1.00

The correlation results are calculated based on daily price changes starting from Jun 25, 2007

Go to the full Correlations tool for more customization options

Performance Analysis

Risk Analysis

Optimization

Factor Model

US LC High Beta Ex-Tech

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

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