R13_Retirement, All-weather, Solid companies
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification
R13_Retirement, All-weather, Solid companies
Last updated Nov 13, 2024
My future retirement buy and hold portfolio. The goal to provide money for retirement in the form of capital appreciation. Initial modeling done with Portfoliovisualizer with backfill of AVGO with CSCO and TDM with LMT to prolong track record to 2001.
Portfolio created from established, solid, profitable companies with at least 20 years of track record so no TSLA and the likes; kept weight between ~1% and 5% except Lockheed Martin at 9% (for geopolitical reasons). Didn't chase dividends. Contains some long-term Treasury bonds. Tried to keep it diversified and with at least some international exposure. Also tried to minimize volativity.
This portfolio is a work in progress, all comments and suggestions are welcome.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ADM Archer-Daniels-Midland Company | Consumer Defensive | 1.50% |
AJG Arthur J. Gallagher & Co. | Financial Services | 2% |
ANSS ANSYS, Inc. | Technology | 2.50% |
AVGO Broadcom Inc. | Technology | 3% |
BAESY BAE Systems PLC | Industrials | 2% |
BLK BlackRock, Inc. | Financial Services | 1.31% |
BRO Brown & Brown, Inc. | Financial Services | 3% |
CNI Canadian National Railway Company | Industrials | 1.20% |
COST Costco Wholesale Corporation | Consumer Defensive | 4% |
CTRA Coterra Energy Inc. | Energy | 1.50% |
DECK Deckers Outdoor Corporation | Consumer Cyclical | 3% |
DRI Darden Restaurants, Inc. | Consumer Cyclical | 1.78% |
ENB Enbridge Inc. | Energy | 3.74% |
EW Edwards Lifesciences Corporation | Healthcare | 2% |
FICO Fair Isaac Corporation | Technology | 1.50% |
GD General Dynamics Corporation | 2.40% | |
GIS General Mills, Inc. | Consumer Defensive | 4% |
LLY Eli Lilly and Company | Healthcare | 4% |
LMT Lockheed Martin Corporation | Industrials | 8.50% |
LNG Cheniere Energy, Inc. | Energy | 3.70% |
MKC | 2% | |
NEE | 4% | |
NVO | 5% | |
O | 5% | |
ODFL | 2% | |
STRL | 3% | |
TDG | 3.50% | |
TJX | 3% | |
TMO | 2.37% | |
TYL | 4% | |
UNH | 4% | |
VUSUX | 2.50% | |
XLK | 3% |
Quarterly
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in R13_Retirement, All-weather, Solid companies, 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 Quarterly
R13_Retirement, All-weather, Solid companies
Benchmark (^GSPC)
Portfolio components
The earliest data available for this chart is Aug 6, 2009, corresponding to the inception date of AVGO
Returns By Period
As of Nov 13, 2024, the R13_Retirement, All-weather, Solid companies returned 27.01% Year-To-Date and 19.82% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.45% | 2.91% | 14.05% | 35.64% | 14.13% | 11.39% |
| R13_Retirement, All-weather, Solid companies | 27.01% | -0.48% | 12.24% | 34.39% | 22.24% | 19.82% |
| Portfolio components: | ||||||
LMT Lockheed Martin Corporation | 27.34% | -7.35% | 23.46% | 30.85% | 10.49% | 14.82% |
O | 4.03% | -7.79% | 6.34% | 15.62% | -0.74% | 7.34% |
DRI Darden Restaurants, Inc. | 5.34% | 6.46% | 12.18% | 11.81% | 11.30% | 16.18% |
UNH | 18.13% | 1.53% | 19.69% | 15.46% | 19.77% | 22.41% |
GIS General Mills, Inc. | 2.23% | -9.28% | -6.31% | 2.21% | 7.56% | 5.91% |
BLK BlackRock, Inc. | 30.07% | 4.50% | 28.64% | 52.42% | 19.18% | 14.44% |
LNG Cheniere Energy, Inc. | 26.71% | 13.69% | 37.80% | 25.60% | 29.36% | 11.93% |
ENB Enbridge Inc. | 23.72% | 2.50% | 15.99% | 33.94% | 8.96% | 5.12% |
NEE | 24.98% | -10.43% | -2.37% | 32.98% | 7.62% | 14.21% |
COST Costco Wholesale Corporation | 42.08% | 4.93% | 18.79% | 62.35% | 27.41% | 23.64% |
TMO | 2.08% | -10.44% | -9.61% | 18.06% | 12.32% | 16.76% |
NVO | 4.63% | -10.62% | -20.20% | 9.11% | 32.41% | 19.52% |
TYL | 48.07% | 3.24% | 26.57% | 47.57% | 16.87% | 18.85% |
TJX | 29.12% | 4.00% | 22.12% | 30.95% | 16.42% | 16.03% |
TDG | 41.46% | -3.98% | 11.00% | 48.85% | 23.69% | 26.62% |
CNI Canadian National Railway Company | -9.85% | -3.42% | -10.11% | -0.71% | 5.75% | 6.68% |
BRO Brown & Brown, Inc. | 59.04% | 6.26% | 27.08% | 54.50% | 25.30% | 22.77% |
AJG Arthur J. Gallagher & Co. | 32.21% | 1.92% | 17.79% | 22.05% | 28.04% | 22.48% |
ANSS ANSYS, Inc. | -5.07% | 2.73% | 4.43% | 15.62% | 7.97% | 15.78% |
CTRA Coterra Energy Inc. | 1.21% | 3.28% | -8.55% | -4.37% | 12.05% | -0.12% |
ODFL | 12.12% | 11.79% | 23.40% | 12.37% | 29.26% | 24.80% |
AVGO Broadcom Inc. | 59.57% | -3.34% | 23.50% | 83.91% | 45.78% | 38.41% |
MKC | 13.82% | -5.50% | 3.78% | 18.17% | 0.63% | 9.74% |
EW Edwards Lifesciences Corporation | -13.69% | -5.49% | -27.01% | 0.03% | -4.29% | 12.26% |
FICO Fair Isaac Corporation | 101.73% | 13.49% | 71.62% | 128.60% | 46.71% | 41.93% |
STRL | 117.79% | 19.93% | 41.28% | 185.82% | 67.14% | 38.82% |
DECK Deckers Outdoor Corporation | 59.45% | 10.51% | 17.94% | 69.13% | 45.02% | 27.85% |
VUSUX | -4.23% | -2.54% | 0.90% | 6.03% | -6.96% | -1.62% |
LLY Eli Lilly and Company | 41.16% | -11.90% | 4.19% | 34.71% | 50.68% | 30.90% |
ADM Archer-Daniels-Midland Company | -26.91% | -11.19% | -13.67% | -28.53% | 6.53% | 2.85% |
GD General Dynamics Corporation | 22.60% | 3.38% | 6.97% | 28.44% | 13.53% | 10.62% |
XLK | 23.33% | 1.00% | 11.25% | 30.69% | 23.29% | 20.54% |
BAESY BAE Systems PLC | 27.96% | 5.23% | 3.57% | 35.52% | 24.12% | 13.93% |
Monthly Returns
The table below presents the monthly returns of R13_Retirement, All-weather, Solid companies, 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 | 0.45% | 4.74% | 4.40% | -2.39% | 5.54% | 1.08% | 3.79% | 4.75% | 0.75% | -2.55% | 27.01% | ||
| 2023 | 2.30% | -1.03% | 4.44% | 2.16% | -0.45% | 5.81% | 1.45% | 1.47% | -5.13% | 0.82% | 6.19% | 4.84% | 24.73% |
| 2022 | -3.79% | 2.73% | 3.66% | -5.03% | 0.08% | -3.53% | 8.56% | -2.86% | -6.89% | 9.13% | 6.84% | -2.52% | 4.85% |
| 2021 | -1.21% | 2.37% | 3.31% | 4.47% | 1.51% | 2.52% | 2.77% | 2.42% | -2.96% | 7.35% | -0.40% | 6.22% | 31.76% |
| 2020 | 3.80% | -7.29% | -10.81% | 10.76% | 5.63% | 0.75% | 4.42% | 4.89% | -1.38% | -2.56% | 9.57% | 4.06% | 21.42% |
| 2019 | 8.25% | 4.43% | 3.01% | 2.42% | -3.61% | 6.13% | 0.46% | 2.45% | 1.04% | 3.25% | 3.40% | 1.57% | 37.59% |
| 2018 | 4.31% | -3.37% | -0.67% | 0.66% | 3.85% | 1.36% | 3.81% | 3.20% | 1.13% | -6.32% | 3.69% | -6.44% | 4.46% |
| 2017 | 2.26% | 3.66% | -0.17% | 2.75% | 3.65% | 0.82% | 0.99% | 1.30% | 2.42% | 1.74% | 4.29% | 0.88% | 27.42% |
| 2016 | -2.47% | 1.52% | 5.43% | 1.81% | 0.99% | 4.18% | 4.30% | -1.44% | 0.24% | -3.91% | 2.26% | 1.07% | 14.44% |
| 2015 | -1.98% | 4.83% | 2.99% | -2.33% | 1.41% | -0.90% | 4.17% | -4.60% | -1.59% | 4.36% | 0.67% | -0.28% | 6.45% |
| 2014 | -0.15% | 4.51% | 0.86% | 0.38% | 2.19% | 2.44% | -0.55% | 5.19% | -0.14% | 4.20% | 2.52% | 0.37% | 23.89% |
| 2013 | 4.60% | 2.39% | 6.76% | 1.54% | 0.69% | -1.20% | 6.52% | -1.95% | 4.05% | 4.12% | 3.42% | 2.68% | 38.78% |
Expense Ratio
R13_Retirement, All-weather, Solid companies has an expense ratio of 0.01%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
The portfolio doesn't hold funds that charge fees
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of R13_Retirement, All-weather, Solid companies is 95, placing it in the top 5% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
Combined Rank
Sharpe Ratio Rank
Sortino Ratio Rank
Omega Ratio Rank
Calmar Ratio Rank
Martin Ratio Rank
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.
R13_Retirement, All-weather, Solid companies
Portfolio components
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
LMT Lockheed Martin Corporation | 1.93 | 2.69 | 1.40 | 2.06 | 7.97 |
O | 1.13 | 1.67 | 1.21 | 0.71 | 2.98 |
DRI Darden Restaurants, Inc. | 0.68 | 1.18 | 1.14 | 0.76 | 1.56 |
UNH | 0.63 | 1.02 | 1.14 | 0.77 | 2.02 |
GIS General Mills, Inc. | 0.11 | 0.27 | 1.03 | 0.07 | 0.38 |
BLK BlackRock, Inc. | 3.16 | 4.19 | 1.53 | 2.13 | 13.91 |
LNG Cheniere Energy, Inc. | 1.32 | 1.99 | 1.24 | 1.64 | 2.95 |
ENB Enbridge Inc. | 2.51 | 3.56 | 1.43 | 1.54 | 11.66 |
NEE | 1.47 | 1.96 | 1.26 | 0.99 | 6.88 |
COST Costco Wholesale Corporation | 3.37 | 4.00 | 1.60 | 6.44 | 16.66 |
TMO | 1.03 | 1.61 | 1.19 | 0.63 | 4.41 |
NVO | 0.23 | 0.56 | 1.07 | 0.25 | 0.71 |
TYL | 2.12 | 3.43 | 1.43 | 1.73 | 15.20 |
TJX | 1.90 | 2.66 | 1.34 | 3.80 | 10.15 |
TDG | 2.32 | 2.93 | 1.37 | 4.21 | 13.23 |
CNI Canadian National Railway Company | 0.11 | 0.27 | 1.03 | 0.11 | 0.22 |
BRO Brown & Brown, Inc. | 2.95 | 3.89 | 1.53 | 6.62 | 18.81 |
AJG Arthur J. Gallagher & Co. | 1.08 | 1.44 | 1.20 | 1.57 | 4.09 |
ANSS ANSYS, Inc. | 0.63 | 1.29 | 1.16 | 0.57 | 1.91 |
CTRA Coterra Energy Inc. | -0.15 | -0.06 | 0.99 | -0.12 | -0.36 |
ODFL | 0.47 | 0.85 | 1.11 | 0.64 | 1.30 |
AVGO Broadcom Inc. | 1.90 | 2.53 | 1.32 | 3.44 | 10.50 |
MKC | 0.93 | 1.56 | 1.19 | 0.57 | 3.98 |
EW Edwards Lifesciences Corporation | 0.06 | 0.35 | 1.07 | 0.05 | 0.14 |
FICO Fair Isaac Corporation | 4.52 | 4.59 | 1.67 | 8.08 | 27.07 |
STRL | 3.60 | 3.88 | 1.52 | 7.58 | 17.99 |
DECK Deckers Outdoor Corporation | 1.77 | 2.67 | 1.33 | 2.97 | 6.49 |
VUSUX | 0.59 | 0.92 | 1.11 | 0.17 | 1.55 |
LLY Eli Lilly and Company | 1.29 | 1.90 | 1.26 | 1.98 | 6.53 |
ADM Archer-Daniels-Midland Company | -0.79 | -0.83 | 0.85 | -0.58 | -1.34 |
GD General Dynamics Corporation | 1.92 | 2.76 | 1.36 | 4.77 | 14.94 |
XLK | 1.50 | 2.02 | 1.27 | 1.92 | 6.63 |
BAESY BAE Systems PLC | 1.64 | 2.19 | 1.29 | 3.49 | 7.81 |
R13_Retirement, All-weather, Solid companies
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
R13_Retirement, All-weather, Solid companies provided a 2.00% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.00% | 2.05% | 1.93% | 1.69% | 1.93% | 2.15% | 2.06% | 2.16% | 2.18% | 1.92% | 2.17% | 2.36% |
| Portfolio components: | ||||||||||||
LMT Lockheed Martin Corporation | 2.23% | 2.68% | 2.34% | 2.98% | 2.76% | 2.31% | 3.13% | 2.32% | 2.71% | 2.83% | 2.85% | 3.22% |
O | 5.47% | 5.33% | 4.68% | 3.87% | 4.50% | 3.69% | 4.18% | 4.45% | 4.18% | 4.41% | 4.59% | 5.83% |
DRI Darden Restaurants, Inc. | 3.24% | 3.07% | 3.34% | 2.29% | 0.99% | 2.99% | 2.76% | 2.48% | 2.92% | 3.09% | 3.75% | 3.86% |
UNH | 1.30% | 1.38% | 1.21% | 1.12% | 1.38% | 1.41% | 1.38% | 1.30% | 1.48% | 1.59% | 1.39% | 1.40% |
GIS General Mills, Inc. | 3.70% | 3.47% | 2.50% | 3.03% | 3.37% | 3.66% | 5.03% | 3.27% | 3.01% | 3.00% | 3.02% | 2.85% |
BLK BlackRock, Inc. | 1.96% | 2.46% | 2.75% | 1.80% | 2.01% | 2.63% | 3.06% | 1.95% | 2.41% | 2.56% | 2.16% | 2.12% |
LNG Cheniere Energy, Inc. | 0.84% | 0.95% | 0.92% | 0.33% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ENB Enbridge Inc. | 4.77% | 7.29% | 6.79% | 6.86% | 7.56% | 5.57% | 6.70% | 4.72% | 3.79% | 4.42% | 2.47% | 2.82% |
NEE | 2.71% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% | 2.73% | 3.08% |
COST Costco Wholesale Corporation | 2.09% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% | 1.01% |
TMO | 0.28% | 0.26% | 0.22% | 0.16% | 0.19% | 0.23% | 0.30% | 0.32% | 0.43% | 0.42% | 0.48% | 0.54% |
NVO | 1.35% | 1.00% | 1.20% | 1.34% | 1.86% | 2.14% | 2.47% | 2.12% | 3.93% | 1.31% | 1.96% | 1.72% |
TYL | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TJX | 0.90% | 1.38% | 1.44% | 1.37% | 0.34% | 1.45% | 1.66% | 1.57% | 1.32% | 1.14% | 0.98% | 0.86% |
TDG | 8.12% | 3.46% | 2.94% | 0.00% | 0.00% | 11.16% | 0.00% | 8.01% | 9.64% | 0.00% | 12.73% | 13.66% |
CNI Canadian National Railway Company | 2.19% | 1.85% | 2.34% | 2.00% | 1.71% | 1.94% | 1.88% | 1.55% | 1.70% | 1.73% | 1.31% | 1.44% |
BRO Brown & Brown, Inc. | 0.48% | 0.67% | 0.74% | 0.54% | 0.73% | 0.82% | 1.11% | 1.08% | 1.12% | 1.41% | 1.25% | 1.18% |
AJG Arthur J. Gallagher & Co. | 0.80% | 0.98% | 1.08% | 1.13% | 1.46% | 1.81% | 2.23% | 2.47% | 2.93% | 3.62% | 3.06% | 2.98% |
ANSS ANSYS, 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% |
CTRA Coterra Energy Inc. | 3.29% | 4.58% | 10.13% | 5.89% | 2.46% | 2.01% | 1.12% | 0.59% | 0.34% | 0.45% | 0.27% | 0.15% |
ODFL | 0.43% | 0.39% | 0.42% | 0.22% | 0.31% | 0.36% | 0.74% | 0.30% | 0.00% | 0.00% | 0.00% | 0.00% |
AVGO Broadcom Inc. | 1.19% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
MKC | 2.19% | 2.32% | 1.81% | 1.44% | 1.33% | 1.37% | 1.53% | 1.89% | 1.89% | 1.91% | 2.03% | 2.02% |
EW Edwards Lifesciences Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FICO Fair Isaac Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.01% | 0.07% | 0.08% | 0.11% | 0.13% |
STRL | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DECK Deckers Outdoor Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VUSUX | 3.98% | 3.42% | 3.03% | 1.97% | 2.10% | 2.63% | 2.92% | 2.74% | 2.96% | 2.99% | 2.96% | 3.53% |
LLY Eli Lilly and Company | 0.48% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.95% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
ADM Archer-Daniels-Midland Company | 2.92% | 2.49% | 1.72% | 2.19% | 2.86% | 3.02% | 3.27% | 3.19% | 2.63% | 3.05% | 1.85% | 1.75% |
GD General Dynamics Corporation | 1.79% | 2.01% | 2.00% | 2.24% | 2.90% | 2.26% | 2.31% | 1.61% | 1.72% | 2.46% | 1.76% | 1.76% |
XLK | 0.66% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% | 1.75% | 1.70% |
BAESY BAE Systems PLC | 2.26% | 2.45% | 3.16% | 4.45% | 7.23% | 3.75% | 5.11% | 3.49% | 3.94% | 4.36% | 4.62% | 4.20% |
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.
R13_Retirement, All-weather, Solid companies
Benchmark (^GSPC)
Portfolio components
Worst Drawdowns
The table below displays the maximum drawdowns of the R13_Retirement, All-weather, Solid companies. 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 R13_Retirement, All-weather, Solid companies was 32.55%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.
The current R13_Retirement, All-weather, Solid companies drawdown is 0.79%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.55% | Feb 20, 2020 | 23 | Mar 23, 2020 | 94 | Aug 5, 2020 | 117 |
| -17.24% | Jul 8, 2011 | 22 | Aug 8, 2011 | 57 | Oct 27, 2011 | 79 |
| -14.87% | Apr 8, 2022 | 48 | Jun 16, 2022 | 39 | Aug 12, 2022 | 87 |
| -14.33% | Oct 1, 2018 | 60 | Dec 24, 2018 | 28 | Feb 5, 2019 | 88 |
| -12.38% | Aug 17, 2022 | 42 | Oct 14, 2022 | 28 | Nov 23, 2022 | 70 |
Volatility
Volatility Chart
The current R13_Retirement, All-weather, Solid companies volatility is 3.27%, 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.
R13_Retirement, All-weather, Solid companies
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.
| VUSUX | BAESY | GIS | CTRA | LNG | NVO | STRL | NEE | LLY | O | DECK | DRI | MKC | ENB | UNH | EW | LMT | AVGO | COST | ADM | TJX | ODFL | TYL | TDG | FICO | TMO | CNI | AJG | GD | BRO | ANSS | BLK | XLK | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| VUSUX | 1.00 | -0.14 | -0.05 | -0.19 | -0.17 | -0.10 | -0.15 | 0.06 | -0.12 | 0.04 | -0.16 | -0.18 | -0.05 | -0.14 | -0.19 | -0.11 | -0.18 | -0.18 | -0.11 | -0.24 | -0.20 | -0.21 | -0.13 | -0.17 | -0.14 | -0.18 | -0.21 | -0.21 | -0.26 | -0.20 | -0.17 | -0.24 | -0.23 |
| BAESY | -0.14 | 1.00 | 0.12 | 0.13 | 0.16 | 0.18 | 0.16 | 0.14 | 0.15 | 0.13 | 0.15 | 0.15 | 0.14 | 0.24 | 0.19 | 0.16 | 0.26 | 0.18 | 0.15 | 0.23 | 0.17 | 0.18 | 0.15 | 0.26 | 0.20 | 0.19 | 0.29 | 0.21 | 0.30 | 0.21 | 0.20 | 0.27 | 0.23 |
| GIS | -0.05 | 0.12 | 1.00 | 0.16 | 0.12 | 0.17 | 0.11 | 0.36 | 0.25 | 0.31 | 0.11 | 0.21 | 0.59 | 0.24 | 0.28 | 0.20 | 0.31 | 0.11 | 0.32 | 0.35 | 0.24 | 0.16 | 0.20 | 0.17 | 0.21 | 0.27 | 0.23 | 0.30 | 0.30 | 0.28 | 0.19 | 0.25 | 0.21 |
| CTRA | -0.19 | 0.13 | 0.16 | 1.00 | 0.39 | 0.17 | 0.25 | 0.17 | 0.16 | 0.19 | 0.24 | 0.22 | 0.17 | 0.36 | 0.22 | 0.17 | 0.22 | 0.23 | 0.18 | 0.34 | 0.25 | 0.24 | 0.21 | 0.26 | 0.24 | 0.23 | 0.32 | 0.24 | 0.30 | 0.25 | 0.24 | 0.32 | 0.30 |
| LNG | -0.17 | 0.16 | 0.12 | 0.39 | 1.00 | 0.15 | 0.25 | 0.14 | 0.17 | 0.20 | 0.27 | 0.24 | 0.15 | 0.40 | 0.23 | 0.22 | 0.23 | 0.27 | 0.17 | 0.34 | 0.24 | 0.27 | 0.23 | 0.31 | 0.30 | 0.26 | 0.33 | 0.29 | 0.30 | 0.28 | 0.27 | 0.34 | 0.34 |
| NVO | -0.10 | 0.18 | 0.17 | 0.17 | 0.15 | 1.00 | 0.19 | 0.24 | 0.39 | 0.21 | 0.20 | 0.17 | 0.23 | 0.23 | 0.26 | 0.29 | 0.22 | 0.27 | 0.25 | 0.22 | 0.22 | 0.26 | 0.30 | 0.25 | 0.30 | 0.38 | 0.28 | 0.29 | 0.27 | 0.28 | 0.34 | 0.32 | 0.39 |
| STRL | -0.15 | 0.16 | 0.11 | 0.25 | 0.25 | 0.19 | 1.00 | 0.16 | 0.19 | 0.22 | 0.30 | 0.27 | 0.18 | 0.26 | 0.22 | 0.21 | 0.22 | 0.29 | 0.24 | 0.29 | 0.31 | 0.36 | 0.29 | 0.36 | 0.33 | 0.26 | 0.31 | 0.28 | 0.33 | 0.31 | 0.31 | 0.37 | 0.36 |
| NEE | 0.06 | 0.14 | 0.36 | 0.17 | 0.14 | 0.24 | 0.16 | 1.00 | 0.29 | 0.44 | 0.17 | 0.23 | 0.42 | 0.31 | 0.27 | 0.25 | 0.30 | 0.18 | 0.32 | 0.31 | 0.25 | 0.20 | 0.27 | 0.27 | 0.27 | 0.30 | 0.30 | 0.34 | 0.33 | 0.34 | 0.28 | 0.31 | 0.32 |
| LLY | -0.12 | 0.15 | 0.25 | 0.16 | 0.17 | 0.39 | 0.19 | 0.29 | 1.00 | 0.24 | 0.20 | 0.20 | 0.29 | 0.22 | 0.35 | 0.32 | 0.29 | 0.26 | 0.32 | 0.25 | 0.26 | 0.22 | 0.27 | 0.24 | 0.28 | 0.37 | 0.27 | 0.35 | 0.32 | 0.34 | 0.29 | 0.32 | 0.38 |
| O | 0.04 | 0.13 | 0.31 | 0.19 | 0.20 | 0.21 | 0.22 | 0.44 | 0.24 | 1.00 | 0.23 | 0.29 | 0.37 | 0.30 | 0.25 | 0.26 | 0.30 | 0.19 | 0.31 | 0.31 | 0.31 | 0.25 | 0.28 | 0.29 | 0.33 | 0.29 | 0.32 | 0.36 | 0.31 | 0.34 | 0.28 | 0.34 | 0.33 |
| DECK | -0.16 | 0.15 | 0.11 | 0.24 | 0.27 | 0.20 | 0.30 | 0.17 | 0.20 | 0.23 | 1.00 | 0.35 | 0.18 | 0.25 | 0.22 | 0.29 | 0.21 | 0.35 | 0.31 | 0.29 | 0.43 | 0.37 | 0.35 | 0.35 | 0.37 | 0.34 | 0.33 | 0.31 | 0.30 | 0.32 | 0.40 | 0.40 | 0.44 |
| DRI | -0.18 | 0.15 | 0.21 | 0.22 | 0.24 | 0.17 | 0.27 | 0.23 | 0.20 | 0.29 | 0.35 | 1.00 | 0.27 | 0.26 | 0.27 | 0.27 | 0.28 | 0.30 | 0.32 | 0.33 | 0.45 | 0.35 | 0.31 | 0.36 | 0.34 | 0.28 | 0.34 | 0.34 | 0.36 | 0.36 | 0.35 | 0.39 | 0.40 |
| MKC | -0.05 | 0.14 | 0.59 | 0.17 | 0.15 | 0.23 | 0.18 | 0.42 | 0.29 | 0.37 | 0.18 | 0.27 | 1.00 | 0.28 | 0.30 | 0.28 | 0.36 | 0.20 | 0.39 | 0.36 | 0.31 | 0.25 | 0.31 | 0.26 | 0.32 | 0.36 | 0.33 | 0.38 | 0.36 | 0.37 | 0.33 | 0.35 | 0.35 |
| ENB | -0.14 | 0.24 | 0.24 | 0.36 | 0.40 | 0.23 | 0.26 | 0.31 | 0.22 | 0.30 | 0.25 | 0.26 | 0.28 | 1.00 | 0.27 | 0.23 | 0.29 | 0.28 | 0.24 | 0.39 | 0.28 | 0.29 | 0.27 | 0.33 | 0.30 | 0.32 | 0.50 | 0.33 | 0.35 | 0.32 | 0.30 | 0.40 | 0.39 |
| UNH | -0.19 | 0.19 | 0.28 | 0.22 | 0.23 | 0.26 | 0.22 | 0.27 | 0.35 | 0.25 | 0.22 | 0.27 | 0.30 | 0.27 | 1.00 | 0.35 | 0.35 | 0.27 | 0.32 | 0.33 | 0.34 | 0.30 | 0.30 | 0.31 | 0.31 | 0.40 | 0.33 | 0.38 | 0.38 | 0.37 | 0.33 | 0.39 | 0.39 |
| EW | -0.11 | 0.16 | 0.20 | 0.17 | 0.22 | 0.29 | 0.21 | 0.25 | 0.32 | 0.26 | 0.29 | 0.27 | 0.28 | 0.23 | 0.35 | 1.00 | 0.27 | 0.34 | 0.33 | 0.24 | 0.32 | 0.32 | 0.41 | 0.37 | 0.38 | 0.46 | 0.32 | 0.37 | 0.32 | 0.38 | 0.45 | 0.40 | 0.48 |
| LMT | -0.18 | 0.26 | 0.31 | 0.22 | 0.23 | 0.22 | 0.22 | 0.30 | 0.29 | 0.30 | 0.21 | 0.28 | 0.36 | 0.29 | 0.35 | 0.27 | 1.00 | 0.24 | 0.31 | 0.37 | 0.33 | 0.30 | 0.28 | 0.43 | 0.31 | 0.34 | 0.36 | 0.40 | 0.67 | 0.38 | 0.31 | 0.38 | 0.37 |
| AVGO | -0.18 | 0.18 | 0.11 | 0.23 | 0.27 | 0.27 | 0.29 | 0.18 | 0.26 | 0.19 | 0.35 | 0.30 | 0.20 | 0.28 | 0.27 | 0.34 | 0.24 | 1.00 | 0.35 | 0.30 | 0.33 | 0.41 | 0.41 | 0.39 | 0.43 | 0.41 | 0.40 | 0.35 | 0.36 | 0.34 | 0.50 | 0.46 | 0.67 |
| COST | -0.11 | 0.15 | 0.32 | 0.18 | 0.17 | 0.25 | 0.24 | 0.32 | 0.32 | 0.31 | 0.31 | 0.32 | 0.39 | 0.24 | 0.32 | 0.33 | 0.31 | 0.35 | 1.00 | 0.31 | 0.45 | 0.37 | 0.37 | 0.32 | 0.38 | 0.41 | 0.35 | 0.38 | 0.36 | 0.38 | 0.43 | 0.42 | 0.51 |
| ADM | -0.24 | 0.23 | 0.35 | 0.34 | 0.34 | 0.22 | 0.29 | 0.31 | 0.25 | 0.31 | 0.29 | 0.33 | 0.36 | 0.39 | 0.33 | 0.24 | 0.37 | 0.30 | 0.31 | 1.00 | 0.35 | 0.33 | 0.28 | 0.34 | 0.31 | 0.35 | 0.43 | 0.38 | 0.44 | 0.37 | 0.33 | 0.45 | 0.39 |
| TJX | -0.20 | 0.17 | 0.24 | 0.25 | 0.24 | 0.22 | 0.31 | 0.25 | 0.26 | 0.31 | 0.43 | 0.45 | 0.31 | 0.28 | 0.34 | 0.32 | 0.33 | 0.33 | 0.45 | 0.35 | 1.00 | 0.39 | 0.36 | 0.37 | 0.38 | 0.35 | 0.38 | 0.40 | 0.40 | 0.40 | 0.40 | 0.45 | 0.46 |
| ODFL | -0.21 | 0.18 | 0.16 | 0.24 | 0.27 | 0.26 | 0.36 | 0.20 | 0.22 | 0.25 | 0.37 | 0.35 | 0.25 | 0.29 | 0.30 | 0.32 | 0.30 | 0.41 | 0.37 | 0.33 | 0.39 | 1.00 | 0.43 | 0.41 | 0.44 | 0.42 | 0.47 | 0.41 | 0.41 | 0.44 | 0.48 | 0.50 | 0.52 |
| TYL | -0.13 | 0.15 | 0.20 | 0.21 | 0.23 | 0.30 | 0.29 | 0.27 | 0.27 | 0.28 | 0.35 | 0.31 | 0.31 | 0.27 | 0.30 | 0.41 | 0.28 | 0.41 | 0.37 | 0.28 | 0.36 | 0.43 | 1.00 | 0.38 | 0.55 | 0.46 | 0.38 | 0.42 | 0.34 | 0.43 | 0.57 | 0.46 | 0.60 |
| TDG | -0.17 | 0.26 | 0.17 | 0.26 | 0.31 | 0.25 | 0.36 | 0.27 | 0.24 | 0.29 | 0.35 | 0.36 | 0.26 | 0.33 | 0.31 | 0.37 | 0.43 | 0.39 | 0.32 | 0.34 | 0.37 | 0.41 | 0.38 | 1.00 | 0.44 | 0.38 | 0.41 | 0.43 | 0.51 | 0.42 | 0.44 | 0.47 | 0.51 |
| FICO | -0.14 | 0.20 | 0.21 | 0.24 | 0.30 | 0.30 | 0.33 | 0.27 | 0.28 | 0.33 | 0.37 | 0.34 | 0.32 | 0.30 | 0.31 | 0.38 | 0.31 | 0.43 | 0.38 | 0.31 | 0.38 | 0.44 | 0.55 | 0.44 | 1.00 | 0.44 | 0.42 | 0.45 | 0.39 | 0.46 | 0.57 | 0.48 | 0.61 |
| TMO | -0.18 | 0.19 | 0.27 | 0.23 | 0.26 | 0.38 | 0.26 | 0.30 | 0.37 | 0.29 | 0.34 | 0.28 | 0.36 | 0.32 | 0.40 | 0.46 | 0.34 | 0.41 | 0.41 | 0.35 | 0.35 | 0.42 | 0.46 | 0.38 | 0.44 | 1.00 | 0.43 | 0.45 | 0.41 | 0.45 | 0.52 | 0.52 | 0.59 |
| CNI | -0.21 | 0.29 | 0.23 | 0.32 | 0.33 | 0.28 | 0.31 | 0.30 | 0.27 | 0.32 | 0.33 | 0.34 | 0.33 | 0.50 | 0.33 | 0.32 | 0.36 | 0.40 | 0.35 | 0.43 | 0.38 | 0.47 | 0.38 | 0.41 | 0.42 | 0.43 | 1.00 | 0.42 | 0.47 | 0.43 | 0.44 | 0.50 | 0.53 |
| AJG | -0.21 | 0.21 | 0.30 | 0.24 | 0.29 | 0.29 | 0.28 | 0.34 | 0.35 | 0.36 | 0.31 | 0.34 | 0.38 | 0.33 | 0.38 | 0.37 | 0.40 | 0.35 | 0.38 | 0.38 | 0.40 | 0.41 | 0.42 | 0.43 | 0.45 | 0.45 | 0.42 | 1.00 | 0.47 | 0.73 | 0.44 | 0.52 | 0.50 |
| GD | -0.26 | 0.30 | 0.30 | 0.30 | 0.30 | 0.27 | 0.33 | 0.33 | 0.32 | 0.31 | 0.30 | 0.36 | 0.36 | 0.35 | 0.38 | 0.32 | 0.67 | 0.36 | 0.36 | 0.44 | 0.40 | 0.41 | 0.34 | 0.51 | 0.39 | 0.41 | 0.47 | 0.47 | 1.00 | 0.46 | 0.38 | 0.51 | 0.48 |
| BRO | -0.20 | 0.21 | 0.28 | 0.25 | 0.28 | 0.28 | 0.31 | 0.34 | 0.34 | 0.34 | 0.32 | 0.36 | 0.37 | 0.32 | 0.37 | 0.38 | 0.38 | 0.34 | 0.38 | 0.37 | 0.40 | 0.44 | 0.43 | 0.42 | 0.46 | 0.45 | 0.43 | 0.73 | 0.46 | 1.00 | 0.46 | 0.53 | 0.51 |
| ANSS | -0.17 | 0.20 | 0.19 | 0.24 | 0.27 | 0.34 | 0.31 | 0.28 | 0.29 | 0.28 | 0.40 | 0.35 | 0.33 | 0.30 | 0.33 | 0.45 | 0.31 | 0.50 | 0.43 | 0.33 | 0.40 | 0.48 | 0.57 | 0.44 | 0.57 | 0.52 | 0.44 | 0.44 | 0.38 | 0.46 | 1.00 | 0.54 | 0.73 |
| BLK | -0.24 | 0.27 | 0.25 | 0.32 | 0.34 | 0.32 | 0.37 | 0.31 | 0.32 | 0.34 | 0.40 | 0.39 | 0.35 | 0.40 | 0.39 | 0.40 | 0.38 | 0.46 | 0.42 | 0.45 | 0.45 | 0.50 | 0.46 | 0.47 | 0.48 | 0.52 | 0.50 | 0.52 | 0.51 | 0.53 | 0.54 | 1.00 | 0.63 |
| XLK | -0.23 | 0.23 | 0.21 | 0.30 | 0.34 | 0.39 | 0.36 | 0.32 | 0.38 | 0.33 | 0.44 | 0.40 | 0.35 | 0.39 | 0.39 | 0.48 | 0.37 | 0.67 | 0.51 | 0.39 | 0.46 | 0.52 | 0.60 | 0.51 | 0.61 | 0.59 | 0.53 | 0.50 | 0.48 | 0.51 | 0.73 | 0.63 | 1.00 |
The correlation results are calculated based on daily price changes starting from Aug 7, 2009