JVV Current IRA Proposed Optimisation 19 Aug 2024
This is JVV's current IRA after 5 August selloff. THIS IS DRAFT OF THE PORTFOLIO NOT THE REAL ONE. Optimized 19 Aug 24 to max Sharpe ratio with keeping Max at 4.5%. In the portfolio below, kept all the negative positions as-is close to whole number ( I.e. ADM keep at 2.17% while optimizer recommends 2.0%) except removed ANSS and CNI since they have small negative balance. The optimizer recommends selling ANSS, CNI, DRI, SBSW, and Cash. Some positions were kept at 2-3%. At the end to balance to 100%, decreased UHS form 4.5 to 4.0, PHM from 4.5 to 4.0 and TYL from 4.5 to 4.05.
Распределение активов
Позиция | Категория/Сектор | Вес |
---|---|---|
Archer-Daniels-Midland Company | Consumer Defensive | 2.17% |
Arthur J. Gallagher & Co. | Financial Services | 3.12% |
Aramark | Consumer Cyclical | 3.69% |
BAE Systems PLC | Industrials | 3.69% |
Brown & Brown, Inc. | Financial Services | 4.50% |
Cboe Global Markets, Inc. | Financial Services | 3% |
Costco Wholesale Corporation | Consumer Defensive | 4.36% |
Coterra Energy Inc. | Energy | 1.66% |
Cognizant Technology Solutions Corporation | Technology | 0.80% |
EMCOR Group, Inc. | Industrials | 2.63% |
Enbridge Inc. | Energy | 2.20% |
Edwards Lifesciences Corporation | Healthcare | 1% |
Diamondback Energy, Inc. | Energy | 3.50% |
General Dynamics Corporation | 2.74% | |
General Mills, Inc. | Consumer Defensive | 3% |
Hilton Worldwide Holdings Inc. | Consumer Cyclical | 3.30% |
Itochu Corp ADR | Industrials | 2.48% |
Lockheed Martin Corporation | Industrials | 4.38% |
Cheniere Energy, Inc. | Energy | 2.03% |
McKesson Corporation | Healthcare | 2.88% |
0.48% | ||
3.68% | ||
2.03% | ||
3% | ||
1.97% | ||
4% | ||
0.48% | ||
2.70% | ||
0.95% | ||
2% | ||
3% | ||
4.09% | ||
2.67% | ||
1.17% | ||
4.05% | ||
4% | ||
2.60% |
Доходность
График доходности
График показывает рост $10,000 инвестированных в JVV Current IRA Proposed Optimisation 19 Aug 2024 и сравнивает его с ростом индекса S&P 500 или другим бенчмарком. Цены представлены с поправкой на сплиты и дивиденды. Портфель ребалансируется раз в квартал
Самые ранние данные для этого графика доступны с 12 дек. 2013 г., начальной даты ARMK
Доходность по периодам
С начала года | 1 месяц | 6 месяцев | 1 год | 5 лет (среднегодовая) | 10 лет (среднегодовая) | |
---|---|---|---|---|---|---|
S&P 500 | 19.79% | 2.08% | 9.01% | 29.79% | 13.85% | 11.12% |
JVV Current IRA Proposed Optimisation 19 Aug 2024 | 27.03% | 2.68% | 14.69% | 40.21% | 21.46% | N/A |
Активы портфеля: | ||||||
Archer-Daniels-Midland Company | -11.24% | 5.45% | 2.42% | -18.23% | 11.80% | 4.85% |
Arthur J. Gallagher & Co. | 26.35% | -2.33% | 14.98% | 22.26% | 27.72% | 22.71% |
BAE Systems PLC | 20.31% | -0.39% | -0.36% | 36.64% | 24.25% | 12.82% |
Brown & Brown, Inc. | 43.32% | -1.94% | 18.31% | 41.09% | 23.82% | 21.30% |
Costco Wholesale Corporation | 37.07% | 2.19% | 22.95% | 67.02% | 28.00% | 24.41% |
Coterra Energy Inc. | -5.37% | -1.50% | -12.21% | -6.79% | 10.80% | -0.45% |
Enbridge Inc. | 18.47% | 3.56% | 17.99% | 26.85% | 10.01% | 3.63% |
Edwards Lifesciences Corporation | -11.79% | -4.04% | -28.29% | -4.16% | -1.69% | 14.55% |
General Dynamics Corporation | 19.15% | 3.62% | 9.46% | 40.29% | 12.96% | 11.56% |
General Mills, Inc. | 18.16% | 6.05% | 10.37% | 18.67% | 10.19% | 7.56% |
Lockheed Martin Corporation | 27.17% | 2.63% | 28.32% | 39.02% | 10.75% | 15.29% |
Cheniere Energy, Inc. | 7.50% | 0.12% | 14.59% | 15.82% | 23.02% | 8.88% |
23.21% | 5.77% | 20.38% | 10.23% | 2.60% | N/A | |
38.50% | 4.00% | 34.93% | 26.75% | 10.40% | N/A | |
9.80% | 0.04% | 19.90% | 23.53% | 0.87% | N/A | |
-22.10% | -7.03% | -7.03% | -35.52% | 0.37% | N/A | |
2.92% | 4.44% | 8.28% | 6.72% | 3.65% | N/A | |
37.39% | 5.80% | 12.89% | 70.97% | 24.41% | N/A | |
27.44% | -1.61% | 19.77% | 34.57% | 18.24% | N/A | |
17.09% | 1.72% | 6.51% | 23.98% | 16.24% | N/A | |
38.78% | -0.16% | 38.39% | 51.00% | 17.61% | N/A | |
16.57% | -0.87% | 6.72% | 37.07% | 23.92% | N/A | |
41.15% | 12.95% | 24.90% | 97.54% | 33.91% | N/A | |
Diamondback Energy, Inc. | 21.73% | -4.97% | -4.65% | 27.42% | 18.47% | 11.98% |
2.38% | 0.87% | -16.04% | 22.39% | 34.70% | N/A | |
36.00% | 8.02% | 24.19% | 64.72% | 11.54% | N/A | |
-13.19% | 0.31% | -6.37% | -20.04% | 2.04% | N/A | |
3.71% | 0.93% | 7.72% | 14.07% | -4.00% | N/A | |
Aramark | 39.68% | 8.99% | 26.39% | 48.37% | 6.36% | 8.34% |
Cboe Global Markets, Inc. | 16.94% | 0.31% | 15.09% | 34.85% | 14.08% | 15.88% |
Cognizant Technology Solutions Corporation | 0.77% | -1.85% | 5.45% | 10.44% | 5.57% | 6.44% |
Hilton Worldwide Holdings Inc. | 24.13% | 4.28% | 6.89% | 53.16% | 19.17% | 16.70% |
Itochu Corp ADR | 33.55% | 11.47% | 24.27% | 44.13% | 21.04% | 18.72% |
McKesson Corporation | 10.15% | -8.85% | -4.36% | 16.53% | 29.24% | 10.98% |
56.48% | 4.47% | 32.00% | 88.68% | 10.19% | N/A | |
EMCOR Group, Inc. | 100.06% | 15.25% | 23.75% | 106.49% | 38.76% | 26.75% |
31.55% | -0.06% | 5.15% | 49.07% | 38.85% | N/A |
Доходность по месяцам
Ниже представлена таблица с месячной доходностью JVV Current IRA Proposed Optimisation 19 Aug 2024, с цветовой градацией от худшего до лучшего месяца, для легкого выявления сезонных факторов. Значения учитывают дивиденды.
янв. | февр. | март | апр. | май | июнь | июль | авг. | сент. | окт. | нояб. | дек. | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 1.72% | 4.97% | 5.30% | -1.80% | 5.06% | -0.28% | 5.00% | 4.00% | 27.03% | ||||
2023 | 4.81% | -2.54% | 1.93% | 3.68% | -3.42% | 7.64% | 1.80% | -0.38% | -3.92% | 0.73% | 6.74% | 3.93% | 22.17% |
2022 | -2.93% | 4.55% | 2.86% | -4.84% | 0.48% | -7.27% | 9.08% | -1.29% | -7.39% | 11.22% | 6.43% | -3.10% | 5.86% |
2021 | -2.96% | 5.51% | 4.87% | 5.86% | 1.64% | 0.71% | 2.29% | 1.41% | -1.91% | 5.73% | -1.29% | 6.95% | 32.16% |
2020 | 1.86% | -7.92% | -17.33% | 12.64% | 5.38% | -1.94% | 5.43% | 6.20% | -2.71% | -2.20% | 14.58% | 4.39% | 15.01% |
2019 | 9.15% | 3.47% | 1.54% | 3.76% | -2.85% | 6.29% | 2.11% | 2.52% | 1.19% | 1.54% | 2.45% | 2.07% | 38.19% |
2018 | 4.38% | -4.60% | 0.03% | 0.39% | 1.00% | -0.17% | 2.73% | 1.68% | 0.89% | -5.93% | 1.92% | -8.26% | -6.55% |
Комиссия
Комиссия JVV Current IRA Proposed Optimisation 19 Aug 2024 составляет 0.00%. Ниже вы найдете коэффициенты расходов позиций портфеля для легкого сравнения их относительной стоимости.
Риск-скорректированная доходность
Ранг риск-скорректированной доходности
Текущий ранг JVV Current IRA Proposed Optimisation 19 Aug 2024 среди портфелей на нашем сайте составляет 96, что соответствует топ 4% по показателям риск-скорректированной доходности. Этот ранг определяется совокупными значениями показателей, перечисленных ниже.
Показатели риск-скорректированной доходности
В таблице представлено сравнение показателей доходности скорректированной на риск для позиций. Риск-скорректированные показатели оценивают доходность инвестиций с учетом их рискованности, что позволяет более точно сравнивать различные активы между собой.
Коэффициент Шарпа | Коэффициент Сортино | Коэффициент Омега | Коэффициент Кальмара | Коэффициент Мартина | |
---|---|---|---|---|---|
Archer-Daniels-Midland Company | -0.56 | -0.50 | 0.91 | -0.40 | -0.92 |
Arthur J. Gallagher & Co. | 1.15 | 1.53 | 1.22 | 1.63 | 4.50 |
BAE Systems PLC | 1.58 | 2.08 | 1.27 | 2.83 | 7.48 |
Brown & Brown, Inc. | 2.05 | 2.90 | 1.38 | 3.83 | 10.94 |
Costco Wholesale Corporation | 3.28 | 3.87 | 1.58 | 6.26 | 16.44 |
Coterra Energy Inc. | -0.51 | -0.61 | 0.93 | -0.39 | -1.04 |
Enbridge Inc. | 1.56 | 2.22 | 1.27 | 0.86 | 6.11 |
Edwards Lifesciences Corporation | -0.19 | 0.05 | 1.01 | -0.15 | -0.58 |
General Dynamics Corporation | 2.22 | 3.56 | 1.44 | 2.99 | 20.13 |
General Mills, Inc. | 0.93 | 1.38 | 1.17 | 0.58 | 3.88 |
Lockheed Martin Corporation | 2.17 | 3.71 | 1.47 | 1.85 | 11.20 |
Cheniere Energy, Inc. | 0.70 | 1.13 | 1.13 | 0.87 | 1.57 |
0.34 | 0.65 | 1.09 | 0.20 | 0.74 | |
0.83 | 1.22 | 1.17 | 0.57 | 2.30 | |
0.97 | 1.44 | 1.18 | 0.55 | 2.70 | |
-0.57 | -0.55 | 0.94 | -0.44 | -1.21 | |
0.11 | 0.51 | 1.07 | 0.11 | 0.25 | |
2.87 | 3.78 | 1.48 | 5.57 | 17.78 | |
1.85 | 2.64 | 1.34 | 3.69 | 11.00 | |
1.06 | 1.57 | 1.20 | 0.63 | 4.41 | |
1.93 | 3.20 | 1.40 | 1.40 | 14.24 | |
1.52 | 2.05 | 1.27 | 1.94 | 6.96 | |
2.88 | 3.70 | 1.46 | 4.73 | 17.01 | |
Diamondback Energy, Inc. | 0.95 | 1.50 | 1.18 | 1.26 | 3.78 |
0.80 | 1.29 | 1.15 | 0.83 | 2.03 | |
2.02 | 2.65 | 1.32 | 1.37 | 10.47 | |
-0.72 | -0.93 | 0.90 | -0.36 | -1.36 | |
0.77 | 1.15 | 1.14 | 0.25 | 2.16 | |
Aramark | 1.88 | 2.50 | 1.32 | 1.82 | 14.41 |
Cboe Global Markets, Inc. | 1.71 | 2.50 | 1.29 | 2.37 | 5.51 |
Cognizant Technology Solutions Corporation | 0.46 | 0.80 | 1.09 | 0.30 | 1.03 |
Hilton Worldwide Holdings Inc. | 2.48 | 3.25 | 1.40 | 4.21 | 12.34 |
Itochu Corp ADR | 1.41 | 2.10 | 1.26 | 2.30 | 8.24 |
McKesson Corporation | 0.80 | 1.01 | 1.19 | 0.91 | 3.28 |
3.44 | 4.42 | 1.57 | 3.80 | 23.55 | |
EMCOR Group, Inc. | 3.18 | 3.67 | 1.53 | 6.56 | 20.22 |
1.48 | 2.18 | 1.27 | 2.42 | 8.18 |
Дивиденды
Дивидендный доход
Дивидендная доходность JVV Current IRA Proposed Optimisation 19 Aug 2024 за предыдущие двенадцать месяцев составила 1.76%.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
JVV Current IRA Proposed Optimisation 19 Aug 2024 | 1.76% | 1.97% | 1.93% | 1.61% | 1.90% | 2.03% | 1.87% | 1.90% | 1.92% | 1.70% | 1.91% | 1.90% |
Активы портфеля: | ||||||||||||
Archer-Daniels-Midland Company | 3.12% | 2.49% | 1.72% | 2.19% | 2.86% | 3.02% | 3.27% | 3.19% | 2.63% | 3.05% | 1.85% | 1.75% |
Arthur J. Gallagher & Co. | 0.83% | 0.98% | 1.08% | 1.13% | 1.46% | 1.81% | 2.23% | 2.47% | 2.93% | 3.62% | 3.06% | 2.98% |
BAE Systems PLC | 2.22% | 2.39% | 3.08% | 4.42% | 7.12% | 3.71% | 5.10% | 3.47% | 3.97% | 4.36% | 4.67% | 4.12% |
Brown & Brown, Inc. | 0.51% | 0.67% | 0.74% | 0.54% | 0.73% | 0.82% | 1.11% | 1.08% | 1.12% | 1.41% | 1.25% | 1.18% |
Costco Wholesale Corporation | 2.15% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% | 1.01% |
Coterra Energy Inc. | 3.52% | 4.58% | 10.13% | 5.89% | 2.46% | 1.87% | 1.00% | 0.53% | 0.31% | 0.41% | 0.24% | 0.14% |
Enbridge Inc. | 6.60% | 7.29% | 6.78% | 6.86% | 7.54% | 5.57% | 6.69% | 4.73% | 3.78% | 4.41% | 2.47% | 2.82% |
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% |
General Dynamics Corporation | 1.80% | 2.01% | 2.00% | 2.24% | 2.90% | 2.26% | 2.31% | 1.61% | 1.72% | 2.46% | 1.76% | 1.76% |
General Mills, Inc. | 3.16% | 3.47% | 2.50% | 3.03% | 3.37% | 3.66% | 5.03% | 3.27% | 3.01% | 3.00% | 3.02% | 2.85% |
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% |
Cheniere Energy, Inc. | 0.96% | 0.95% | 0.92% | 0.33% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
1.98% | 2.32% | 1.81% | 1.44% | 1.33% | 1.37% | 1.53% | 1.89% | 1.89% | 1.91% | 2.03% | 2.02% | |
2.45% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% | 2.73% | 3.08% | |
5.11% | 5.33% | 4.68% | 3.87% | 4.50% | 3.69% | 4.18% | 4.45% | 4.18% | 4.41% | 4.59% | 5.83% | |
0.00% | 6.95% | 7.68% | 13.31% | 0.75% | 0.00% | 0.00% | 3.76% | 10.25% | 6.12% | 9.44% | 4.88% | |
2.35% | 2.25% | 2.02% | 1.57% | 1.57% | 1.69% | 2.05% | 1.83% | 1.53% | 0.87% | 0.00% | 0.00% | |
2.52% | 3.46% | 2.94% | 0.00% | 0.00% | 11.16% | 0.00% | 8.01% | 9.64% | 0.00% | 12.73% | 13.66% | |
1.20% | 1.38% | 1.44% | 1.37% | 0.34% | 1.45% | 1.66% | 1.57% | 1.32% | 1.14% | 0.98% | 0.86% | |
0.25% | 0.26% | 0.22% | 0.16% | 0.19% | 0.23% | 0.30% | 0.32% | 0.43% | 0.42% | 0.48% | 0.54% | |
0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |
0.52% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% | 1.75% | 1.70% | |
0.55% | 0.66% | 1.34% | 1.00% | 1.16% | 1.16% | 1.46% | 1.08% | 1.96% | 1.85% | 1.07% | 0.74% | |
Diamondback Energy, Inc. | 5.92% | 5.15% | 6.55% | 1.62% | 3.10% | 0.74% | 0.40% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
1.47% | 1.44% | 1.39% | 1.68% | 2.71% | 2.82% | 2.50% | 1.44% | 1.57% | 3.08% | 2.33% | 2.25% | |
1.96% | 2.51% | 2.74% | 1.90% | 2.54% | 2.39% | 3.07% | 1.45% | 0.72% | 0.00% | 0.00% | 0.00% | |
4.47% | 3.76% | 2.63% | 2.45% | 3.74% | 3.67% | 3.47% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |
3.51% | 3.24% | 2.75% | 1.68% | 1.71% | 2.45% | 2.69% | 2.53% | 2.56% | 2.60% | 2.63% | 2.98% | |
Aramark | 0.98% | 1.20% | 1.08% | 1.21% | 1.16% | 1.03% | 1.49% | 0.98% | 1.10% | 1.11% | 1.01% | 0.00% |
Cboe Global Markets, Inc. | 1.10% | 1.18% | 1.56% | 1.38% | 1.68% | 1.12% | 1.19% | 0.83% | 1.30% | 1.36% | 1.23% | 2.22% |
Cognizant Technology Solutions Corporation | 1.58% | 1.54% | 1.89% | 1.08% | 1.07% | 1.29% | 1.26% | 0.63% | 0.00% | 0.00% | 0.00% | 0.00% |
Hilton Worldwide Holdings Inc. | 0.27% | 0.33% | 0.36% | 0.00% | 0.13% | 0.54% | 0.84% | 0.75% | 1.03% | 0.65% | 0.00% | 0.00% |
Itochu Corp ADR | 0.00% | 0.00% | 0.00% | 2.65% | 2.83% | 3.53% | 3.93% | 2.83% | 3.68% | 3.30% | 4.09% | 3.26% |
McKesson Corporation | 0.51% | 0.50% | 0.54% | 0.72% | 0.95% | 1.16% | 1.32% | 0.80% | 0.80% | 0.53% | 0.46% | 0.55% |
0.34% | 0.52% | 0.57% | 0.62% | 0.15% | 0.42% | 0.34% | 0.35% | 0.38% | 0.33% | 0.27% | 0.25% | |
EMCOR Group, Inc. | 0.20% | 0.32% | 0.36% | 0.41% | 0.35% | 0.37% | 0.54% | 0.39% | 0.45% | 0.67% | 0.72% | 0.42% |
0.76% | 0.71% | 0.84% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Просадки
График просадок
На графике просадок отображаются убытки портфеля с любого максимума на всем периоде.
Максимальные просадки
JVV Current IRA Proposed Optimisation 19 Aug 2024 показал максимальную просадку в 37.95%, зарегистрированную 23 мар. 2020 г.. Полное восстановление заняло 162 торговые сессии.
В таблице ниже показаны максимальные просадки. Максимальная просадка - показатель риска. Он показывает снижение стоимости портфеля от максимума после серии убыточных торгов.
Глубина | Начало | Падение | Дно | Восстановление | Окончание | Всего |
---|---|---|---|---|---|---|
-37.95% | 21 февр. 2020 г. | 22 | 23 мар. 2020 г. | 162 | 10 нояб. 2020 г. | 184 |
-17.43% | 21 апр. 2022 г. | 41 | 17 июн. 2022 г. | 110 | 23 нояб. 2022 г. | 151 |
-17.26% | 24 сент. 2018 г. | 64 | 24 дек. 2018 г. | 59 | 21 мар. 2019 г. | 123 |
-9.89% | 29 янв. 2018 г. | 9 | 8 февр. 2018 г. | 150 | 13 сент. 2018 г. | 159 |
-7.01% | 26 июл. 2023 г. | 49 | 3 окт. 2023 г. | 28 | 10 нояб. 2023 г. | 77 |
Волатильность
График волатильности
Текущая волатильность JVV Current IRA Proposed Optimisation 19 Aug 2024 составляет 2.92%, что отражает среднее процентное изменение стоимости инвестиций вверх или вниз за последний месяц. Ниже представлен график, показывающий скользящую волатильность за один месяц.
Диверсификация
Таблица корреляции активов
SPTL | SBSW | GIS | NVO | CBOE | ITOCY | CTRA | MKC | BAESY | NEE | LNG | MCK | FANG | O | LMT | TYL | NTR | COST | TMO | EW | PHM | STLD | ENB | UHS | HLT | TJX | ADM | SBUX | ARMK | SYF | AJG | EME | TDG | GD | CTSH | BRO | XLK | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPTL | 1.00 | 0.07 | 0.07 | 0.00 | -0.08 | -0.04 | -0.17 | 0.09 | -0.09 | 0.17 | -0.11 | -0.17 | -0.22 | 0.12 | -0.13 | 0.03 | -0.17 | 0.00 | -0.02 | -0.01 | 0.12 | -0.19 | -0.05 | -0.10 | -0.16 | -0.13 | -0.19 | -0.05 | -0.09 | -0.20 | -0.10 | -0.13 | -0.09 | -0.18 | -0.10 | -0.08 | -0.08 |
SBSW | 0.07 | 1.00 | 0.06 | 0.12 | 0.08 | 0.18 | 0.16 | 0.09 | 0.18 | 0.21 | 0.17 | 0.07 | 0.20 | 0.16 | 0.11 | 0.16 | 0.25 | 0.14 | 0.18 | 0.16 | 0.20 | 0.19 | 0.26 | 0.16 | 0.17 | 0.14 | 0.19 | 0.18 | 0.18 | 0.24 | 0.14 | 0.18 | 0.20 | 0.14 | 0.20 | 0.15 | 0.21 |
GIS | 0.07 | 0.06 | 1.00 | 0.10 | 0.16 | 0.06 | 0.15 | 0.55 | 0.10 | 0.32 | 0.08 | 0.28 | 0.03 | 0.30 | 0.30 | 0.12 | 0.08 | 0.23 | 0.19 | 0.15 | 0.13 | 0.05 | 0.21 | 0.18 | 0.03 | 0.15 | 0.29 | 0.20 | 0.11 | 0.10 | 0.25 | 0.10 | 0.07 | 0.25 | 0.14 | 0.26 | 0.08 |
NVO | 0.00 | 0.12 | 0.10 | 1.00 | 0.14 | 0.16 | 0.12 | 0.17 | 0.22 | 0.23 | 0.07 | 0.26 | 0.08 | 0.17 | 0.14 | 0.28 | 0.11 | 0.28 | 0.36 | 0.32 | 0.18 | 0.14 | 0.15 | 0.19 | 0.15 | 0.18 | 0.14 | 0.24 | 0.17 | 0.12 | 0.26 | 0.18 | 0.20 | 0.19 | 0.23 | 0.28 | 0.36 |
CBOE | -0.08 | 0.08 | 0.16 | 0.14 | 1.00 | 0.11 | 0.12 | 0.23 | 0.17 | 0.24 | 0.11 | 0.23 | 0.13 | 0.22 | 0.21 | 0.24 | 0.14 | 0.21 | 0.21 | 0.23 | 0.17 | 0.15 | 0.17 | 0.19 | 0.18 | 0.25 | 0.18 | 0.25 | 0.20 | 0.22 | 0.36 | 0.20 | 0.22 | 0.26 | 0.25 | 0.33 | 0.23 |
ITOCY | -0.04 | 0.18 | 0.06 | 0.16 | 0.11 | 1.00 | 0.15 | 0.15 | 0.23 | 0.16 | 0.21 | 0.19 | 0.20 | 0.17 | 0.18 | 0.25 | 0.27 | 0.27 | 0.24 | 0.25 | 0.27 | 0.26 | 0.28 | 0.26 | 0.30 | 0.23 | 0.26 | 0.27 | 0.26 | 0.30 | 0.25 | 0.30 | 0.31 | 0.27 | 0.32 | 0.24 | 0.36 |
CTRA | -0.17 | 0.16 | 0.15 | 0.12 | 0.12 | 0.15 | 1.00 | 0.12 | 0.18 | 0.14 | 0.39 | 0.24 | 0.55 | 0.18 | 0.24 | 0.13 | 0.39 | 0.16 | 0.16 | 0.15 | 0.20 | 0.32 | 0.37 | 0.27 | 0.25 | 0.24 | 0.39 | 0.17 | 0.28 | 0.33 | 0.18 | 0.29 | 0.23 | 0.33 | 0.26 | 0.20 | 0.23 |
MKC | 0.09 | 0.09 | 0.55 | 0.17 | 0.23 | 0.15 | 0.12 | 1.00 | 0.11 | 0.41 | 0.08 | 0.26 | 0.05 | 0.38 | 0.30 | 0.25 | 0.16 | 0.35 | 0.32 | 0.26 | 0.26 | 0.11 | 0.27 | 0.25 | 0.13 | 0.24 | 0.29 | 0.31 | 0.18 | 0.17 | 0.34 | 0.19 | 0.19 | 0.28 | 0.27 | 0.37 | 0.26 |
BAESY | -0.09 | 0.18 | 0.10 | 0.22 | 0.17 | 0.23 | 0.18 | 0.11 | 1.00 | 0.19 | 0.20 | 0.23 | 0.27 | 0.17 | 0.32 | 0.18 | 0.28 | 0.19 | 0.15 | 0.21 | 0.23 | 0.28 | 0.30 | 0.29 | 0.27 | 0.25 | 0.30 | 0.26 | 0.29 | 0.27 | 0.24 | 0.31 | 0.34 | 0.37 | 0.29 | 0.25 | 0.27 |
NEE | 0.17 | 0.21 | 0.32 | 0.23 | 0.24 | 0.16 | 0.14 | 0.41 | 0.19 | 1.00 | 0.11 | 0.19 | 0.07 | 0.46 | 0.26 | 0.29 | 0.15 | 0.32 | 0.32 | 0.30 | 0.28 | 0.11 | 0.31 | 0.22 | 0.14 | 0.23 | 0.26 | 0.33 | 0.22 | 0.18 | 0.36 | 0.20 | 0.26 | 0.29 | 0.29 | 0.38 | 0.30 |
LNG | -0.11 | 0.17 | 0.08 | 0.07 | 0.11 | 0.21 | 0.39 | 0.08 | 0.20 | 0.11 | 1.00 | 0.21 | 0.51 | 0.19 | 0.27 | 0.17 | 0.40 | 0.13 | 0.18 | 0.22 | 0.20 | 0.37 | 0.44 | 0.25 | 0.34 | 0.25 | 0.40 | 0.25 | 0.30 | 0.33 | 0.26 | 0.29 | 0.35 | 0.33 | 0.29 | 0.26 | 0.30 |
MCK | -0.17 | 0.07 | 0.28 | 0.26 | 0.23 | 0.19 | 0.24 | 0.26 | 0.23 | 0.19 | 0.21 | 1.00 | 0.23 | 0.24 | 0.31 | 0.18 | 0.21 | 0.30 | 0.24 | 0.27 | 0.21 | 0.29 | 0.29 | 0.38 | 0.22 | 0.31 | 0.35 | 0.27 | 0.29 | 0.26 | 0.34 | 0.32 | 0.29 | 0.37 | 0.31 | 0.35 | 0.27 |
FANG | -0.22 | 0.20 | 0.03 | 0.08 | 0.13 | 0.20 | 0.55 | 0.05 | 0.27 | 0.07 | 0.51 | 0.23 | 1.00 | 0.17 | 0.26 | 0.14 | 0.46 | 0.12 | 0.13 | 0.17 | 0.22 | 0.44 | 0.47 | 0.30 | 0.36 | 0.31 | 0.42 | 0.20 | 0.36 | 0.45 | 0.22 | 0.41 | 0.39 | 0.37 | 0.29 | 0.22 | 0.27 |
O | 0.12 | 0.16 | 0.30 | 0.17 | 0.22 | 0.17 | 0.18 | 0.38 | 0.17 | 0.46 | 0.19 | 0.24 | 0.17 | 1.00 | 0.27 | 0.26 | 0.22 | 0.29 | 0.29 | 0.31 | 0.36 | 0.20 | 0.36 | 0.34 | 0.24 | 0.30 | 0.33 | 0.39 | 0.36 | 0.31 | 0.36 | 0.27 | 0.31 | 0.31 | 0.34 | 0.38 | 0.30 |
LMT | -0.13 | 0.11 | 0.30 | 0.14 | 0.21 | 0.18 | 0.24 | 0.30 | 0.32 | 0.26 | 0.27 | 0.31 | 0.26 | 0.27 | 1.00 | 0.18 | 0.28 | 0.25 | 0.25 | 0.23 | 0.21 | 0.28 | 0.34 | 0.31 | 0.25 | 0.29 | 0.38 | 0.27 | 0.31 | 0.29 | 0.38 | 0.33 | 0.41 | 0.66 | 0.29 | 0.38 | 0.24 |
TYL | 0.03 | 0.16 | 0.12 | 0.28 | 0.24 | 0.25 | 0.13 | 0.25 | 0.18 | 0.29 | 0.17 | 0.18 | 0.14 | 0.26 | 0.18 | 1.00 | 0.18 | 0.40 | 0.48 | 0.49 | 0.32 | 0.23 | 0.25 | 0.25 | 0.36 | 0.34 | 0.20 | 0.39 | 0.31 | 0.26 | 0.41 | 0.30 | 0.37 | 0.26 | 0.45 | 0.46 | 0.63 |
NTR | -0.17 | 0.25 | 0.08 | 0.11 | 0.14 | 0.27 | 0.39 | 0.16 | 0.28 | 0.15 | 0.40 | 0.21 | 0.46 | 0.22 | 0.28 | 0.18 | 1.00 | 0.20 | 0.24 | 0.20 | 0.27 | 0.47 | 0.45 | 0.30 | 0.37 | 0.30 | 0.52 | 0.28 | 0.35 | 0.41 | 0.26 | 0.38 | 0.36 | 0.38 | 0.35 | 0.27 | 0.31 |
COST | 0.00 | 0.14 | 0.23 | 0.28 | 0.21 | 0.27 | 0.16 | 0.35 | 0.19 | 0.32 | 0.13 | 0.30 | 0.12 | 0.29 | 0.25 | 0.40 | 0.20 | 1.00 | 0.43 | 0.41 | 0.32 | 0.24 | 0.24 | 0.29 | 0.29 | 0.41 | 0.27 | 0.41 | 0.27 | 0.25 | 0.40 | 0.33 | 0.32 | 0.33 | 0.38 | 0.44 | 0.56 |
TMO | -0.02 | 0.18 | 0.19 | 0.36 | 0.21 | 0.24 | 0.16 | 0.32 | 0.15 | 0.32 | 0.18 | 0.24 | 0.13 | 0.29 | 0.25 | 0.48 | 0.24 | 0.43 | 1.00 | 0.50 | 0.32 | 0.25 | 0.29 | 0.28 | 0.28 | 0.28 | 0.28 | 0.41 | 0.27 | 0.26 | 0.43 | 0.28 | 0.33 | 0.30 | 0.47 | 0.46 | 0.56 |
EW | -0.01 | 0.16 | 0.15 | 0.32 | 0.23 | 0.25 | 0.15 | 0.26 | 0.21 | 0.30 | 0.22 | 0.27 | 0.17 | 0.31 | 0.23 | 0.49 | 0.20 | 0.41 | 0.50 | 1.00 | 0.31 | 0.24 | 0.27 | 0.36 | 0.36 | 0.34 | 0.25 | 0.44 | 0.32 | 0.29 | 0.40 | 0.32 | 0.38 | 0.30 | 0.44 | 0.45 | 0.55 |
PHM | 0.12 | 0.20 | 0.13 | 0.18 | 0.17 | 0.27 | 0.20 | 0.26 | 0.23 | 0.28 | 0.20 | 0.21 | 0.22 | 0.36 | 0.21 | 0.32 | 0.27 | 0.32 | 0.32 | 0.31 | 1.00 | 0.35 | 0.33 | 0.38 | 0.39 | 0.39 | 0.28 | 0.37 | 0.39 | 0.43 | 0.34 | 0.46 | 0.42 | 0.32 | 0.41 | 0.40 | 0.44 |
STLD | -0.19 | 0.19 | 0.05 | 0.14 | 0.15 | 0.26 | 0.32 | 0.11 | 0.28 | 0.11 | 0.37 | 0.29 | 0.44 | 0.20 | 0.28 | 0.23 | 0.47 | 0.24 | 0.25 | 0.24 | 0.35 | 1.00 | 0.34 | 0.41 | 0.41 | 0.38 | 0.47 | 0.31 | 0.41 | 0.51 | 0.33 | 0.51 | 0.42 | 0.43 | 0.41 | 0.36 | 0.39 |
ENB | -0.05 | 0.26 | 0.21 | 0.15 | 0.17 | 0.28 | 0.37 | 0.27 | 0.30 | 0.31 | 0.44 | 0.29 | 0.47 | 0.36 | 0.34 | 0.25 | 0.45 | 0.24 | 0.29 | 0.27 | 0.33 | 0.34 | 1.00 | 0.35 | 0.35 | 0.30 | 0.42 | 0.34 | 0.39 | 0.40 | 0.33 | 0.35 | 0.39 | 0.38 | 0.39 | 0.33 | 0.35 |
UHS | -0.10 | 0.16 | 0.18 | 0.19 | 0.19 | 0.26 | 0.27 | 0.25 | 0.29 | 0.22 | 0.25 | 0.38 | 0.30 | 0.34 | 0.31 | 0.25 | 0.30 | 0.29 | 0.28 | 0.36 | 0.38 | 0.41 | 0.35 | 1.00 | 0.38 | 0.43 | 0.40 | 0.40 | 0.45 | 0.44 | 0.36 | 0.49 | 0.43 | 0.42 | 0.43 | 0.40 | 0.34 |
HLT | -0.16 | 0.17 | 0.03 | 0.15 | 0.18 | 0.30 | 0.25 | 0.13 | 0.27 | 0.14 | 0.34 | 0.22 | 0.36 | 0.24 | 0.25 | 0.36 | 0.37 | 0.29 | 0.28 | 0.36 | 0.39 | 0.41 | 0.35 | 0.38 | 1.00 | 0.50 | 0.36 | 0.46 | 0.57 | 0.54 | 0.37 | 0.50 | 0.58 | 0.39 | 0.44 | 0.39 | 0.49 |
TJX | -0.13 | 0.14 | 0.15 | 0.18 | 0.25 | 0.23 | 0.24 | 0.24 | 0.25 | 0.23 | 0.25 | 0.31 | 0.31 | 0.30 | 0.29 | 0.34 | 0.30 | 0.41 | 0.28 | 0.34 | 0.39 | 0.38 | 0.30 | 0.43 | 0.50 | 1.00 | 0.37 | 0.47 | 0.45 | 0.47 | 0.40 | 0.48 | 0.45 | 0.42 | 0.43 | 0.44 | 0.45 |
ADM | -0.19 | 0.19 | 0.29 | 0.14 | 0.18 | 0.26 | 0.39 | 0.29 | 0.30 | 0.26 | 0.40 | 0.35 | 0.42 | 0.33 | 0.38 | 0.20 | 0.52 | 0.27 | 0.28 | 0.25 | 0.28 | 0.47 | 0.42 | 0.40 | 0.36 | 0.37 | 1.00 | 0.32 | 0.39 | 0.47 | 0.35 | 0.43 | 0.36 | 0.47 | 0.42 | 0.36 | 0.32 |
SBUX | -0.05 | 0.18 | 0.20 | 0.24 | 0.25 | 0.27 | 0.17 | 0.31 | 0.26 | 0.33 | 0.25 | 0.27 | 0.20 | 0.39 | 0.27 | 0.39 | 0.28 | 0.41 | 0.41 | 0.44 | 0.37 | 0.31 | 0.34 | 0.40 | 0.46 | 0.47 | 0.32 | 1.00 | 0.43 | 0.40 | 0.43 | 0.38 | 0.45 | 0.36 | 0.47 | 0.46 | 0.54 |
ARMK | -0.09 | 0.18 | 0.11 | 0.17 | 0.20 | 0.26 | 0.28 | 0.18 | 0.29 | 0.22 | 0.30 | 0.29 | 0.36 | 0.36 | 0.31 | 0.31 | 0.35 | 0.27 | 0.27 | 0.32 | 0.39 | 0.41 | 0.39 | 0.45 | 0.57 | 0.45 | 0.39 | 0.43 | 1.00 | 0.53 | 0.37 | 0.49 | 0.50 | 0.42 | 0.44 | 0.40 | 0.42 |
SYF | -0.20 | 0.24 | 0.10 | 0.12 | 0.22 | 0.30 | 0.33 | 0.17 | 0.27 | 0.18 | 0.33 | 0.26 | 0.45 | 0.31 | 0.29 | 0.26 | 0.41 | 0.25 | 0.26 | 0.29 | 0.43 | 0.51 | 0.40 | 0.44 | 0.54 | 0.47 | 0.47 | 0.40 | 0.53 | 1.00 | 0.36 | 0.51 | 0.49 | 0.45 | 0.45 | 0.39 | 0.43 |
AJG | -0.10 | 0.14 | 0.25 | 0.26 | 0.36 | 0.25 | 0.18 | 0.34 | 0.24 | 0.36 | 0.26 | 0.34 | 0.22 | 0.36 | 0.38 | 0.41 | 0.26 | 0.40 | 0.43 | 0.40 | 0.34 | 0.33 | 0.33 | 0.36 | 0.37 | 0.40 | 0.35 | 0.43 | 0.37 | 0.36 | 1.00 | 0.39 | 0.44 | 0.46 | 0.44 | 0.78 | 0.47 |
EME | -0.13 | 0.18 | 0.10 | 0.18 | 0.20 | 0.30 | 0.29 | 0.19 | 0.31 | 0.20 | 0.29 | 0.32 | 0.41 | 0.27 | 0.33 | 0.30 | 0.38 | 0.33 | 0.28 | 0.32 | 0.46 | 0.51 | 0.35 | 0.49 | 0.50 | 0.48 | 0.43 | 0.38 | 0.49 | 0.51 | 0.39 | 1.00 | 0.53 | 0.50 | 0.42 | 0.44 | 0.46 |
TDG | -0.09 | 0.20 | 0.07 | 0.20 | 0.22 | 0.31 | 0.23 | 0.19 | 0.34 | 0.26 | 0.35 | 0.29 | 0.39 | 0.31 | 0.41 | 0.37 | 0.36 | 0.32 | 0.33 | 0.38 | 0.42 | 0.42 | 0.39 | 0.43 | 0.58 | 0.45 | 0.36 | 0.45 | 0.50 | 0.49 | 0.44 | 0.53 | 1.00 | 0.51 | 0.45 | 0.45 | 0.51 |
GD | -0.18 | 0.14 | 0.25 | 0.19 | 0.26 | 0.27 | 0.33 | 0.28 | 0.37 | 0.29 | 0.33 | 0.37 | 0.37 | 0.31 | 0.66 | 0.26 | 0.38 | 0.33 | 0.30 | 0.30 | 0.32 | 0.43 | 0.38 | 0.42 | 0.39 | 0.42 | 0.47 | 0.36 | 0.42 | 0.45 | 0.46 | 0.50 | 0.51 | 1.00 | 0.43 | 0.49 | 0.37 |
CTSH | -0.10 | 0.20 | 0.14 | 0.23 | 0.25 | 0.32 | 0.26 | 0.27 | 0.29 | 0.29 | 0.29 | 0.31 | 0.29 | 0.34 | 0.29 | 0.45 | 0.35 | 0.38 | 0.47 | 0.44 | 0.41 | 0.41 | 0.39 | 0.43 | 0.44 | 0.43 | 0.42 | 0.47 | 0.44 | 0.45 | 0.44 | 0.42 | 0.45 | 0.43 | 1.00 | 0.47 | 0.60 |
BRO | -0.08 | 0.15 | 0.26 | 0.28 | 0.33 | 0.24 | 0.20 | 0.37 | 0.25 | 0.38 | 0.26 | 0.35 | 0.22 | 0.38 | 0.38 | 0.46 | 0.27 | 0.44 | 0.46 | 0.45 | 0.40 | 0.36 | 0.33 | 0.40 | 0.39 | 0.44 | 0.36 | 0.46 | 0.40 | 0.39 | 0.78 | 0.44 | 0.45 | 0.49 | 0.47 | 1.00 | 0.50 |
XLK | -0.08 | 0.21 | 0.08 | 0.36 | 0.23 | 0.36 | 0.23 | 0.26 | 0.27 | 0.30 | 0.30 | 0.27 | 0.27 | 0.30 | 0.24 | 0.63 | 0.31 | 0.56 | 0.56 | 0.55 | 0.44 | 0.39 | 0.35 | 0.34 | 0.49 | 0.45 | 0.32 | 0.54 | 0.42 | 0.43 | 0.47 | 0.46 | 0.51 | 0.37 | 0.60 | 0.50 | 1.00 |