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%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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

Returns By Period

As of Apr 2, 2026, the US LC High Beta Ex-Tech returned -4.87% Year-To-Date and 19.73% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.72%	-3.54%	-3.95%	-2.09%	15.95%	16.96%	10.34%	12.24%
Portfolio US LC High Beta Ex-Tech	0.34%	-2.45%	-4.87%	2.10%	20.62%	27.83%	18.76%	19.73%
Portfolio components:
JPM JPMorgan Chase & Co.	0.41%	-0.73%	-7.92%	-4.04%	23.71%	34.51%	16.89%	20.50%
MA Mastercard Inc	-1.60%	-5.63%	-13.75%	-14.07%	-9.85%	11.25%	6.85%	18.46%
HD The Home Depot, Inc.	0.20%	-10.53%	-3.59%	-15.90%	-7.56%	6.40%	3.89%	12.00%
BAC Bank of America Corporation	1.07%	-0.52%	-9.91%	-1.72%	21.42%	23.03%	7.09%	16.31%
CVX Chevron Corporation	-4.59%	4.12%	30.79%	30.40%	22.42%	11.16%	18.11%	12.35%
WFC Wells Fargo & Company	1.21%	-2.43%	-13.13%	0.65%	15.44%	32.53%	17.97%	8.20%
GE General Electric Company	3.14%	-15.22%	-4.84%	-2.47%	44.38%	57.37%	35.26%	7.96%
AXP American Express Company	-0.34%	-1.95%	-18.34%	-7.81%	12.64%	23.74%	17.17%	18.98%
CAT Caterpillar Inc.	3.09%	-2.92%	27.78%	52.68%	123.97%	49.64%	28.03%	28.24%
BX The Blackstone Group Inc.	-0.57%	-0.87%	-24.97%	-30.59%	-17.21%	12.62%	12.52%	20.32%

*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 +1.35%. At this rate, your 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%	0.34%									-4.87%
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 5.11%, beta of 1.28, and R² of 0.83 versus S&P 500 Index. Calculated based on daily prices since June 25, 2007.

This portfolio captured 145.56% of S&P 500 Index gains and 113.33% of its losses — amplifying both gains and losses, but participating more in upside than downside.
This portfolio generated an annualized alpha of 5.11% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 5.11%

Beta: 1.28

R²: 0.83

Upside Capture: 145.56%

Downside Capture: 113.33%

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 27 for risk / return — below 27% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.01	0.92	+0.09
Sortino ratio Return per unit of downside risk	1.46	1.41	+0.04
Omega ratio Gain probability vs. loss probability	1.22	1.21	+0.01
Calmar ratio Return relative to maximum drawdown	1.52	1.41	+0.11
Martin ratio Return relative to average drawdown	5.25	6.61	-1.37
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
JPM JPMorgan Chase & Co.	68	0.94	1.34	1.19	1.48	4.00
MA Mastercard Inc	20	-0.41	-0.41	0.95	-0.52	-1.26
HD The Home Depot, Inc.	26	-0.33	-0.33	0.96	-0.34	-0.76
BAC Bank of America Corporation	64	0.80	1.14	1.17	1.16	3.13
CVX Chevron Corporation	64	0.89	1.26	1.18	1.13	2.44
WFC Wells Fargo & Company	56	0.53	0.87	1.12	0.64	1.99
GE General Electric Company	79	1.37	1.84	1.26	2.25	8.02
AXP American Express Company	53	0.39	0.75	1.11	0.55	1.58
CAT Caterpillar Inc.	97	3.59	4.17	1.56	6.86	24.22
BX The Blackstone Group Inc.	24	-0.44	-0.39	0.95	-0.34	-0.81

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 Apr 2, 2026 (values are recalculated daily):

1-Year: 1.01
5-Year: 0.92
10-Year: 0.85
All Time: 0.52

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 1.00 to 1.70, 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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Dividends

Dividend yield

US LC High Beta Ex-Tech provided a 1.85% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.85%	1.73%	1.80%	2.00%	2.35%	1.69%	2.26%	2.39%	2.93%	2.39%	2.34%	3.00%
Portfolio components:
JPM JPMorgan Chase & Co.	1.96%	1.72%	1.92%	2.38%	2.98%	2.34%	2.83%	2.37%	2.54%	1.91%	2.13%	2.54%
MA Mastercard Inc	0.64%	0.53%	0.50%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%
HD The Home Depot, Inc.	2.80%	2.67%	2.31%	2.41%	2.41%	1.59%	2.26%	2.49%	2.40%	1.88%	2.06%	1.78%
BAC Bank of America Corporation	2.23%	1.96%	2.28%	2.73%	2.60%	1.75%	2.38%	1.87%	2.19%	1.32%	1.13%	1.19%
CVX Chevron Corporation	3.50%	4.49%	4.50%	4.05%	3.16%	4.52%	6.11%	3.95%	4.12%	3.45%	3.64%	4.76%
WFC Wells Fargo & Company	2.17%	1.82%	2.14%	2.64%	2.66%	1.25%	4.04%	3.57%	3.56%	2.54%	2.75%	2.71%
GE General Electric Company	0.53%	0.47%	0.67%	0.25%	0.38%	0.34%	0.37%	4.12%	4.89%	4.81%	2.94%	2.95%
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%
CAT Caterpillar Inc.	0.81%	1.02%	1.49%	1.69%	1.93%	2.07%	2.26%	2.56%	2.58%	1.97%	3.32%	4.33%
BX The Blackstone Group Inc.	4.15%	3.04%	2.00%	2.54%	6.66%	2.76%	2.95%	3.43%	8.12%	7.25%	6.14%	11.76%

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 8.87%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-64.36%	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
-27.21%	Apr 7, 2011	124	Oct 3, 2011	85	Feb 3, 2012	209
-27.19%	Feb 10, 2022	161	Sep 30, 2022	194	Jul 12, 2023	355
-24.04%	Sep 24, 2018	64	Dec 24, 2018	122	Jun 20, 2019	186

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.

	Benchmark	ISRG	CVX	HD	MA	BX	GE	CAT	WFC	BAC	AXP	MS	JPM	Portfolio
Benchmark	1.00	0.62	0.56	0.62	0.65	0.62	0.61	0.67	0.64	0.64	0.70	0.68	0.69	0.86
ISRG	0.62	1.00	0.31	0.41	0.48	0.40	0.35	0.40	0.34	0.35	0.43	0.38	0.38	0.57
CVX	0.56	0.31	1.00	0.34	0.36	0.37	0.44	0.55	0.44	0.44	0.44	0.45	0.47	0.60
HD	0.62	0.41	0.34	1.00	0.45	0.43	0.39	0.44	0.43	0.43	0.48	0.44	0.45	0.61
MA	0.65	0.48	0.36	0.45	1.00	0.44	0.40	0.44	0.44	0.44	0.56	0.47	0.48	0.64
BX	0.62	0.40	0.37	0.43	0.44	1.00	0.42	0.47	0.46	0.47	0.50	0.54	0.49	0.68
GE	0.61	0.35	0.44	0.39	0.40	0.42	1.00	0.54	0.53	0.53	0.53	0.52	0.56	0.69
CAT	0.67	0.40	0.55	0.44	0.44	0.47	0.54	1.00	0.50	0.52	0.55	0.54	0.55	0.72
WFC	0.64	0.34	0.44	0.43	0.44	0.46	0.53	0.50	1.00	0.77	0.66	0.68	0.78	0.79
BAC	0.64	0.35	0.44	0.43	0.44	0.47	0.53	0.52	0.77	1.00	0.65	0.75	0.82	0.81
AXP	0.70	0.43	0.44	0.48	0.56	0.50	0.53	0.55	0.66	0.65	1.00	0.64	0.68	0.80
MS	0.68	0.38	0.45	0.44	0.47	0.54	0.52	0.54	0.68	0.75	0.64	1.00	0.75	0.81
JPM	0.69	0.38	0.47	0.45	0.48	0.49	0.56	0.55	0.78	0.82	0.68	0.75	1.00	0.83
Portfolio	0.86	0.57	0.60	0.61	0.64	0.68	0.69	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

US LC High Beta Ex-Tech

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table