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US LC High Beta Ex-Tech
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


JPM 8.33%MA 8.33%HD 8.33%BAC 8.33%CVX 8.33%WFC 8.33%GE 8.33%AXP 8.33%CAT 8.33%BX 8.33%MS 8.33%ISRG 8.33%EquityEquity
PositionCategory/SectorTarget 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.


200.00%400.00%600.00%800.00%1,000.00%NovemberDecember2025FebruaryMarchApril
950.67%
259.16%
US LC High Beta Ex-Tech
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Apr 3, 2025, the US LC High Beta Ex-Tech returned 0.43% Year-To-Date and 17.41% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-8.25%-6.60%-5.32%3.55%16.80%10.02%
US LC High Beta Ex-Tech-2.72%-4.51%3.65%16.80%23.61%18.07%
JPM
JPMorgan Chase & Co.
-4.10%-8.62%12.69%17.96%25.52%17.36%
MA
Mastercard Inc
0.91%-4.42%7.49%11.76%18.20%20.54%
HD
The Home Depot, Inc.
-4.05%-2.21%-8.84%5.62%18.59%15.12%
BAC
Bank of America Corporation
-4.18%-1.30%7.89%14.54%18.84%12.82%
CVX
Chevron Corporation
16.21%9.52%12.42%8.25%22.63%9.11%
WFC
Wells Fargo & Company
3.38%-1.42%32.84%29.56%25.70%5.94%
GE
General Electric Company
20.00%0.69%9.02%38.35%43.67%6.71%
AXP
American Express Company
-7.04%-2.90%2.99%22.80%31.90%14.86%
CAT
Caterpillar Inc.
-7.41%2.42%-13.81%-9.60%26.63%18.26%
BX
The Blackstone Group Inc.
-13.63%-2.04%-1.00%19.76%33.41%20.47%
MS
Morgan Stanley
-4.50%-2.01%15.72%32.51%32.96%15.92%
ISRG
Intuitive Surgical, Inc.
-2.86%-9.12%5.72%32.24%26.96%24.44%
*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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20257.10%-0.76%-8.58%0.11%-2.72%
20244.64%5.43%3.44%-6.48%3.01%2.35%4.87%4.39%2.80%2.17%9.23%-5.17%34.00%
20234.71%-4.73%0.84%6.23%-2.78%9.28%2.29%-0.28%-4.25%-7.90%13.14%8.49%25.38%
2022-4.51%-4.00%0.39%-8.28%1.48%-13.62%11.93%-6.50%-9.57%18.06%7.97%-4.14%-14.43%
2021-5.45%6.74%4.64%9.16%-0.90%2.12%5.34%-0.18%-2.22%6.83%-4.35%6.54%30.57%
20200.43%-8.02%-15.25%10.74%9.21%-0.75%6.83%9.12%-3.71%-7.41%13.73%6.16%17.91%
20199.46%3.99%2.96%2.86%-5.75%9.00%1.96%0.32%1.34%2.95%3.88%1.58%39.47%
20189.67%-2.65%-2.83%2.99%3.37%1.76%3.84%5.20%1.92%-10.06%2.90%-8.61%5.83%
20173.15%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%-0.60%3.98%
2014-3.90%4.65%-0.01%-3.35%1.74%3.18%0.14%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%, 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

With an overall rank of 77, US LC High Beta Ex-Tech is among the top 23% 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.


The Risk-Adjusted Performance Rank of US LC High Beta Ex-Tech is 7777
Overall Rank
The Sharpe Ratio Rank of US LC High Beta Ex-Tech is 7878
Sharpe Ratio Rank
The Sortino Ratio Rank of US LC High Beta Ex-Tech is 7979
Sortino Ratio Rank
The Omega Ratio Rank of US LC High Beta Ex-Tech is 8080
Omega Ratio Rank
The Calmar Ratio Rank of US LC High Beta Ex-Tech is 7070
Calmar Ratio Rank
The Martin Ratio Rank of US LC High Beta Ex-Tech is 7676
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.


Sharpe ratio
The chart of Sharpe ratio for Portfolio, currently valued at 1.03, compared to the broader market-6.00-4.00-2.000.002.00
Portfolio: 1.03
^GSPC: 0.25
The chart of Sortino ratio for Portfolio, currently valued at 1.50, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 1.50
^GSPC: 0.41
The chart of Omega ratio for Portfolio, currently valued at 1.19, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.19
^GSPC: 1.06
The chart of Calmar ratio for Portfolio, currently valued at 1.13, compared to the broader market0.002.004.006.00
Portfolio: 1.13
^GSPC: 0.30
The chart of Martin ratio for Portfolio, currently valued at 4.19, compared to the broader market0.005.0010.0015.0020.0025.00
Portfolio: 4.19
^GSPC: 1.15

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JPM
JPMorgan Chase & Co.
0.681.081.160.923.08
MA
Mastercard Inc
0.681.021.130.992.74
HD
The Home Depot, Inc.
0.260.521.060.300.81
BAC
Bank of America Corporation
0.601.041.130.572.13
CVX
Chevron Corporation
0.420.671.090.391.23
WFC
Wells Fargo & Company
0.981.591.211.684.06
GE
General Electric Company
1.231.751.242.176.44
AXP
American Express Company
0.891.361.171.053.62
CAT
Caterpillar Inc.
-0.36-0.340.96-0.45-0.89
BX
The Blackstone Group Inc.
0.631.051.130.641.76
MS
Morgan Stanley
1.121.661.231.564.90
ISRG
Intuitive Surgical, Inc.
1.141.791.231.475.35

The current US LC High Beta Ex-Tech Sharpe ratio is 1.15. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 0.46 to 1.11, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of US LC High Beta Ex-Tech with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.00NovemberDecember2025FebruaryMarchApril
1.03
0.25
US LC High Beta Ex-Tech
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

US LC High Beta Ex-Tech provided a 1.94% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio1.94%1.80%2.00%2.35%1.69%2.26%2.07%2.93%2.39%2.53%2.84%2.14%
JPM
JPMorgan Chase & Co.
2.71%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
0.52%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.
2.44%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
2.44%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
3.96%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
2.15%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
0.74%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
1.02%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.
1.65%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.
2.68%2.00%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.82%5.68%
MS
Morgan Stanley
3.04%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-10.85%
-12.17%
US LC High Beta Ex-Tech
Benchmark (^GSPC)
Portfolio components

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 8.68%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-65.29%Nov 1, 2007337Mar 5, 2009526Apr 5, 2011863
-40.92%Feb 21, 202022Mar 23, 2020110Aug 27, 2020132
-31.54%Nov 17, 2021216Sep 27, 2022305Dec 13, 2023521
-22.35%Sep 26, 201862Dec 24, 201866Apr 1, 2019128
-20.01%Jul 22, 201151Oct 3, 201163Jan 3, 2012114

Volatility

Volatility Chart

The current US LC High Beta Ex-Tech volatility is 7.10%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2025FebruaryMarchApril
7.10%
7.38%
US LC High Beta Ex-Tech
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.

ISRGHDCVXMABXGECATWFCAXPBACMSJPM
ISRG1.000.410.320.490.400.350.400.340.420.350.370.37
HD0.411.000.350.450.430.400.440.430.490.430.450.46
CVX0.320.351.000.380.380.470.570.460.460.460.470.48
MA0.490.450.381.000.440.410.450.440.560.440.480.48
BX0.400.430.380.441.000.430.480.470.500.470.540.49
GE0.350.400.470.410.431.000.540.530.540.530.520.56
CAT0.400.440.570.450.480.541.000.500.560.530.540.55
WFC0.340.430.460.440.470.530.501.000.660.770.680.78
AXP0.420.490.460.560.500.540.560.661.000.650.640.68
BAC0.350.430.460.440.470.530.530.770.651.000.750.82
MS0.370.450.470.480.540.520.540.680.640.751.000.75
JPM0.370.460.480.480.490.560.550.780.680.820.751.00
The correlation results are calculated based on daily price changes starting from Jun 25, 2007
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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