US LC High Beta Ex-Tech

Asset Allocation

Position	Category/Sector	Target Weight
JPM JPMorgan Chase & Co.	Financial Services	8.33%
MA Mastercard Incorporated	Financial Services	8.33%
HD The Home Depot, Inc.	Consumer Cyclical	8.33%
BAC Bank of America Corporation	Financial Services	8.33%
CVX Chevron Corporation	Energy	8.33%
WFC Wells Fargo & Company	Financial Services	8.33%
GE General Electric Company	Industrials	8.33%
AXP American Express Company	Financial Services	8.33%
CAT Caterpillar Inc.	Industrials	8.33%
BX Blackstone Inc.	Financial Services	8.33%
MS Morgan Stanley	Financial Services	8.33%
ISRG Intuitive Surgical, Inc.	Healthcare	8.33%

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 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.

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Returns By Period

As of Jun 9, 2026, the US LC High Beta Ex-Tech returned 0.57% Year-To-Date and 20.24% of annualized return in the last 10 years.

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 US LC High Beta Ex-Tech	-0.32%	1.84%	0.57%	2.27%	19.86%	27.82%	18.00%	20.24%
Portfolio components:
AXP American Express Company	0.53%	-1.18%	-15.13%	-13.33%	4.33%	23.52%	15.12%	18.65%
BAC Bank of America Corporation	-0.37%	5.06%	-1.43%	0.58%	21.86%	25.47%	7.45%	17.09%
BX Blackstone Inc.	-1.01%	-7.74%	-24.36%	-22.98%	-15.74%	12.42%	7.53%	21.22%
CAT Caterpillar Inc.	1.26%	2.03%	60.51%	54.15%	161.94%	59.74%	33.67%	31.20%
CVX Chevron Corporation	1.03%	5.15%	26.53%	29.68%	40.62%	10.57%	16.60%	10.98%
GE General Electric Company	-1.82%	8.38%	4.70%	12.43%	26.65%	56.82%	36.95%	9.67%
HD The Home Depot, Inc.	-0.34%	-1.71%	-8.71%	-10.23%	-13.44%	3.97%	2.68%	11.84%
ISRG Intuitive Surgical, Inc.	-0.82%	-6.99%	-26.09%	-26.16%	-24.86%	10.20%	8.37%	19.37%
JPM JPMorgan Chase & Co.	-0.40%	2.98%	-2.52%	-0.35%	19.35%	33.18%	16.72%	20.32%
MA Mastercard Incorporated	-1.10%	-1.98%	-14.65%	-9.84%	-17.21%	10.21%	6.59%	18.40%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 25, 2007, US LC High Beta Ex-Tech's average daily return is +0.07%, while the average monthly return is +1.36%. At this rate, an investment would double in approximately 4.3 years.

Historically, 61% of months were positive and 39% were negative. The best month was Apr 2009 with a return of +29.2%, while the worst month was Oct 2008 at -21.0%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.

On a daily basis, US LC High Beta Ex-Tech closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +15.6%, while the worst single day was Mar 16, 2020 at -14.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	0.31%	-2.00%	-3.57%	6.32%	-1.46%	1.26%							0.57%
2025	8.26%	-1.35%	-7.17%	-2.69%	8.71%	5.53%	2.39%	3.71%	2.18%	3.48%	0.14%	2.32%	27.34%
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%

Benchmark Metrics

US LC High Beta Ex-Tech has an annualized alpha of 4.56%, beta of 1.28, and R2 of 0.82 versus S&P 500 Index. Calculated based on daily prices since June 25, 2007.

This portfolio captured 141.59% of S&P 500 Index gains and 112.47% of its losses - amplifying both gains and losses, but participating more in upside than downside.
This portfolio generated an annualized alpha of 4.56% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 4.56%

Beta: 1.28

R²: 0.82

Upside Capture: 141.59%

Downside Capture: 112.47%

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.

Return for Risk

Risk / Return Rank

US LC High Beta Ex-Tech ranks 17 for risk / return — in the bottom 17% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

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 US LC High Beta Ex-Tech and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.28	1.94	-0.66
Sortino ratioReturn per unit of downside risk	1.85	2.63	-0.77
Omega ratioGain probability vs. loss probability	1.22	1.35	-0.13
Calmar ratioReturn relative to maximum drawdown	1.73	2.59	-0.86
Martin ratioReturn relative to average drawdown	4.86	11.84	-6.98
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
AXP American Express Company	44	0.17	0.40	1.05	0.18	0.40
BAC Bank of America Corporation	68	1.02	1.45	1.19	1.22	3.15
BX Blackstone Inc.	25	-0.46	-0.45	0.95	-0.35	-0.66
CAT Caterpillar Inc.	98	4.76	5.44	1.69	11.74	38.95
CVX Chevron Corporation	84	1.86	2.45	1.32	2.92	7.37
GE General Electric Company	66	0.85	1.32	1.17	1.28	3.45
HD The Home Depot, Inc.	20	-0.58	-0.72	0.92	-0.47	-0.96
ISRG Intuitive Surgical, Inc.	9	-0.81	-1.14	0.87	-0.78	-1.60
JPM JPMorgan Chase & Co.	66	0.90	1.30	1.17	1.26	2.98
MA Mastercard Incorporated	9	-0.78	-0.97	0.88	-0.83	-1.68

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.

US LC High Beta Ex-Tech Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 1.28
5-Year: 0.88
10-Year: 0.87
All Time: 0.53

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 1.60 to 2.48, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

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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Dividends

Dividend yield

US LC High Beta Ex-Tech provided a 1.84% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.84%	1.73%	1.80%	2.00%	2.35%	1.69%	2.26%	2.39%	2.93%	2.39%	2.34%	3.00%
Portfolio components:
AXP American Express Company	1.09%	0.85%	0.91%	1.24%	1.35%	1.05%	1.42%	1.29%	1.51%	1.32%	1.61%	1.58%
BAC Bank of America Corporation	2.09%	1.96%	2.28%	2.73%	2.60%	1.75%	2.38%	1.87%	2.19%	1.32%	1.13%	1.19%
BX Blackstone Inc.	4.35%	3.04%	2.00%	2.54%	6.66%	2.76%	2.95%	3.43%	8.12%	7.25%	6.14%	11.76%
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%
CVX Chevron Corporation	3.69%	4.49%	4.50%	4.05%	3.16%	4.52%	6.11%	3.95%	4.12%	3.45%	3.64%	4.76%
GE General Electric Company	0.48%	0.47%	0.67%	0.25%	0.38%	0.34%	0.37%	4.12%	4.89%	4.81%	2.94%	2.95%
HD The Home Depot, Inc.	2.99%	2.67%	2.31%	2.41%	2.41%	1.59%	2.26%	2.49%	2.40%	1.88%	2.06%	1.78%
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%
JPM JPMorgan Chase & Co.	1.90%	1.72%	1.92%	2.38%	2.98%	2.34%	2.83%	2.37%	2.54%	1.91%	2.13%	2.54%
MA Mastercard Incorporated	0.67%	0.53%	0.50%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%

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 64.36%, occurring on Mar 5, 2009. Recovery took 276 trading sessions.

The current US LC High Beta Ex-Tech drawdown is 3.65%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-64.36%Mar 2009	1y 4mo	1y 1mo	2y 6moOct 2007 - Apr 2010
COVID crash2020	-44.11%Mar 2020	1mo 4d	8mo 16d	9mo 20dFeb 2020 - Dec 2020
2011 bear market2011	-27.21%Oct 2011	5mo 29d	4mo 3d	10mo 2dApr 2011 - Feb 2012
Bear market2022	-27.19%Sep 2022	7mo 22d	9mo 15d	1y 5moFeb 2022 - Jul 2023
Rate-hike selloffLate 2018	-24.04%Dec 2018	3mo 1d	5mo 28d	8mo 29dSep 2018 - Jun 2019

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. 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	10Y	All Time
Diversification Ratio	1.70	1.45	1.40	1.32	1.32

The portfolio has a diversification ratio of 1.32, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

US LC High Beta Ex-Tech correlation to the S&P 500 Index

US LC High Beta Ex-Tech has a 0.72 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	0.72
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.81
Correlation (All Time) Calculated using the full available price history since Jun 25, 2007	0.86

Benchmark Correlations

Correlation vs. S&P 500 Index. AXP has the highest benchmark correlation at 0.70, while CVX has the lowest at 0.55.

CVX

0.55

0.61

0.62

ISRG

0.62

WFC

0.63

BAC

0.64

0.65

CAT

0.67

JPM

0.68

AXP

0.70

Portfolio Correlations

Correlation vs. US LC High Beta Ex-Tech. JPM has the highest portfolio correlation at 0.83, while ISRG has the lowest at 0.57.

ISRG

0.57

CVX

0.59

0.61

0.64

0.68

0.69

CAT

0.72

WFC

0.79

AXP

0.80

0.81

BAC

0.81

JPM

0.83

Asset Correlations Table

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

	ISRG	CVX	HD	MA	BX	GE	CAT	WFC	AXP	BAC	MS	JPM
ISRG	1.00	0.30	0.41	0.48	0.40	0.35	0.39	0.34	0.43	0.35	0.38	0.37
CVX	0.30	1.00	0.33	0.35	0.36	0.43	0.54	0.44	0.44	0.44	0.44	0.46
HD	0.41	0.33	1.00	0.44	0.43	0.39	0.43	0.43	0.48	0.43	0.44	0.45
MA	0.48	0.35	0.44	1.00	0.44	0.39	0.43	0.44	0.56	0.44	0.47	0.47
BX	0.40	0.36	0.43	0.44	1.00	0.42	0.47	0.46	0.51	0.47	0.54	0.48
GE	0.35	0.43	0.39	0.39	0.42	1.00	0.54	0.53	0.52	0.53	0.52	0.55
CAT	0.39	0.54	0.43	0.43	0.47	0.54	1.00	0.50	0.55	0.52	0.54	0.54
WFC	0.34	0.44	0.43	0.44	0.46	0.53	0.50	1.00	0.65	0.77	0.68	0.78
AXP	0.43	0.44	0.48	0.56	0.51	0.52	0.55	0.65	1.00	0.65	0.64	0.68
BAC	0.35	0.44	0.43	0.44	0.47	0.53	0.52	0.77	0.65	1.00	0.74	0.81
MS	0.38	0.44	0.44	0.47	0.54	0.52	0.54	0.68	0.64	0.74	1.00	0.75
JPM	0.37	0.46	0.45	0.47	0.48	0.55	0.54	0.78	0.68	0.81	0.75	1.00

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

Diversification Analysis

Find what US LC High Beta Ex-Tech is missing

See which holdings overlap, where US LC High Beta Ex-Tech is concentrated, and which low-correlation assets could fill the gaps.

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