R13_Retirement, All-weather, Solid companies
Доходность
Риск-скорректированная доходность
Дивиденды
Просадки
Волатильность
Диверсификация
R13_Retirement, All-weather, Solid companies
Последнее обновление 26 апр. 2025 г.
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.
Распределение активов
| Позиция | Категория/Сектор | Целевая доля |
|---|---|---|
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 | 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% |
Доходность
График доходности
График показывает рост $10,000 инвестированных в R13_Retirement, All-weather, Solid companies и сравнивает его с ростом индекса S&P 500 или другим бенчмарком. Цены представлены с поправкой на сплиты и дивиденды. Портфель перебалансируется каждые 3 месяца
R13_Retirement, All-weather, Solid companies
Benchmark (^GSPC)
Активы портфеля
Самые ранние данные для этого графика доступны с 6 авг. 2009 г., начальной даты AVGO
Доходность по периодам
R13_Retirement, All-weather, Solid companies на 26 апр. 2025 г. показал доходность в -6.34% с начала года и доходность в 18.96% в годовом выражении за последние 10 лет.
| С начала года | 1 месяц | 6 месяцев | 1 год | 5 лет | 10 лет | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -6.06% | -3.27% | -4.87% | 9.44% | 14.30% | 10.11% |
| R13_Retirement, All-weather, Solid companies | -6.34% | -0.15% | -2.24% | 17.30% | 26.82% | 18.96% |
| Активы портфеля: | ||||||
LMT Lockheed Martin Corporation | -0.98% | 7.29% | -13.89% | 5.46% | 7.46% | 12.43% |
O | 8.57% | 1.05% | -4.56% | 11.82% | 9.23% | 6.98% |
DRI Darden Restaurants, Inc. | 8.26% | -3.34% | 26.38% | 31.57% | 27.41% | 16.19% |
UNH | -16.89% | -19.21% | -25.24% | -13.88% | 9.14% | 15.32% |
GIS General Mills, Inc. | -10.12% | -3.97% | -16.08% | -18.25% | 1.83% | 3.51% |
BLK BlackRock, Inc. | -10.97% | -6.25% | -5.84% | 22.57% | 16.69% | 11.99% |
LNG | 8.77% | 0.31% | 26.69% | 47.79% | 42.11% | 12.39% |
ENB Enbridge Inc. | 10.49% | 3.75% | 16.27% | 35.94% | 17.44% | 4.51% |
NEE | -7.05% | -5.22% | -17.62% | 1.57% | 4.48% | 12.65% |
COST Costco Wholesale Corporation | 6.76% | 5.10% | 9.91% | 35.89% | 27.96% | 23.09% |
TMO | -18.38% | -17.41% | -23.35% | -25.58% | 5.50% | 13.12% |
NVO | -26.67% | -12.06% | -44.36% | -49.66% | 15.77% | 10.41% |
TYL | -9.02% | -9.13% | -13.41% | 14.53% | 10.79% | 15.26% |
TJX | 5.08% | 5.73% | 11.88% | 33.02% | 24.07% | 16.23% |
TDG | 8.75% | -1.14% | 1.72% | 15.79% | 38.56% | 25.27% |
CNI Canadian National Railway Company | -3.76% | -2.97% | -11.46% | -20.45% | 6.47% | 6.09% |
BRO Brown & Brown, Inc. | 12.33% | -6.02% | 10.37% | 39.88% | 27.87% | 22.86% |
AJG Arthur J. Gallagher & Co. | 13.76% | -4.29% | 14.34% | 37.16% | 35.44% | 23.18% |
ANSS ANSYS, Inc. | -4.94% | -0.82% | -0.66% | -1.94% | 4.34% | 14.00% |
CTRA Coterra Energy Inc. | 0.14% | -12.12% | 8.13% | -7.80% | 9.78% | 0.15% |
ODFL | -16.68% | -13.00% | -25.60% | -24.96% | 16.21% | 19.86% |
AVGO Broadcom Inc. | -16.80% | 7.27% | 11.80% | 50.38% | 52.66% | 35.79% |
MKC | -1.65% | -7.28% | -3.13% | 0.94% | 1.20% | 8.95% |
EW Edwards Lifesciences Corporation | 2.72% | 6.96% | 9.60% | -13.60% | 0.41% | 13.41% |
FICO Fair Isaac Corporation | -1.94% | 3.46% | -2.38% | 63.56% | 45.57% | 36.01% |
STRL | -9.91% | 20.86% | 0.72% | 48.48% | 76.86% | 42.42% |
DECK Deckers Outdoor Corporation | -46.24% | -7.59% | -35.05% | -18.77% | 36.77% | 24.41% |
VUSUX | 2.58% | -0.02% | -0.75% | 6.55% | -10.64% | -2.03% |
LLY Eli Lilly and Company | 14.78% | 6.99% | -0.58% | 22.82% | 42.11% | 31.13% |
ADM Archer-Daniels-Midland Company | -3.42% | 2.51% | -12.92% | -17.91% | 9.02% | 2.83% |
GD General Dynamics Corporation | 4.34% | 1.45% | -9.12% | -2.55% | 18.84% | 9.85% |
XLK | -10.19% | -2.35% | -9.17% | 6.24% | 19.71% | 18.47% |
BAESY BAE Systems PLC | 60.39% | 13.63% | 37.44% | 41.31% | 34.70% | 15.87% |
*Среднегодовая
Доходность по месяцам
Ниже представлена таблица с месячной доходностью R13_Retirement, All-weather, Solid companies, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.18% | -2.09% | -5.95% | 1.53% | -6.34% | ||||||||
| 2024 | 2.82% | 6.12% | 3.14% | -2.69% | 6.14% | 5.18% | 1.95% | 4.50% | 0.76% | -1.29% | 4.76% | 1.22% | 37.36% |
| 2023 | 3.19% | -0.17% | 4.25% | 1.77% | 1.80% | 7.22% | 2.05% | 2.18% | -4.15% | 0.90% | 8.93% | 4.53% | 37.00% |
| 2022 | -6.15% | 2.29% | 3.95% | -6.13% | -0.62% | -4.44% | 10.30% | -2.73% | -5.53% | 7.59% | 6.77% | -3.90% | -0.45% |
| 2021 | -2.22% | 3.19% | 2.37% | 4.47% | 1.72% | 2.98% | 3.43% | 1.62% | -2.66% | 8.83% | -0.64% | 7.09% | 33.92% |
| 2020 | 4.09% | -8.43% | -14.50% | 12.37% | 7.67% | 0.61% | 3.81% | 4.71% | -1.35% | -1.06% | 11.32% | 4.77% | 22.74% |
| 2019 | 8.08% | 3.98% | 4.22% | 2.18% | -4.85% | 7.01% | 1.08% | 2.83% | 0.00% | 2.79% | 5.00% | 1.71% | 39.03% |
| 2018 | 6.03% | -3.23% | -0.17% | 1.55% | 5.39% | 0.10% | 2.49% | 3.35% | 2.89% | -8.45% | 3.29% | -5.62% | 6.74% |
| 2017 | 3.07% | 4.32% | -0.83% | 2.86% | 4.42% | 0.25% | 0.71% | 1.16% | 1.32% | 2.77% | 4.73% | 0.40% | 28.05% |
| 2016 | -4.87% | 0.25% | 5.13% | 3.21% | 0.59% | 4.87% | 4.47% | -1.12% | 0.00% | -4.58% | 1.13% | 0.88% | 9.74% |
| 2015 | -0.56% | 7.97% | 1.02% | -2.30% | 2.18% | -2.25% | 2.73% | -4.94% | -4.37% | 4.47% | 0.40% | -2.57% | 1.01% |
| 2014 | 0.23% | 5.18% | 2.36% | 0.48% | 4.92% | 3.63% | -0.59% | 7.19% | 0.22% | 1.83% | 0.15% | 1.44% | 30.24% |
Комиссия
Комиссия R13_Retirement, All-weather, Solid companies составляет 0.01%, что ниже среднего уровня по рынку. Ниже вы найдете коэффициенты расходов позиций портфеля для легкого сравнения их относительной стоимости.
Портфель не содержит фондов, взимающих комиссии
Риск-скорректированная доходность
Ранг риск-скорректированной доходности
Текущий рейтинг R13_Retirement, All-weather, Solid companies составляет 72, что указывает на средний уровень результатов по сравнению с другими портфелей на нашем сайте. Ниже представлена разбивка по ключевым показателям эффективности.
Общий ранг
Ранг коэф-та Шарпа
Ранг коэф-та Сортино
Ранг коэф-та Омега
Ранг коэф-та Кальмара
Ранг коэф-та Мартина
Ранг риск-скорректированной доходности показывает позицию инструмента относительно рынка. Значение, ближе к 100, означает результат выше рынка, в то время как ранг, ближе к 0, указывает на значительное отставание выбранного показателя. Значения рассчитываются на основе доходности за последние 12 месяцев.
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.
Portfolio: 0.82
^GSPC: 0.46
Portfolio: 1.27
^GSPC: 0.77
Portfolio: 1.17
^GSPC: 1.11
Portfolio: 0.90
^GSPC: 0.47
Portfolio: 3.33
^GSPC: 1.94
Активы портфеля
| Коэффициент Шарпа | Коэффициент Сортино | Коэффициент Омега | Коэффициент Кальмара | Коэффициент Мартина | |
|---|---|---|---|---|---|
LMT Lockheed Martin Corporation | 0.29 | 0.52 | 1.08 | 0.21 | 0.43 |
O | 0.69 | 1.05 | 1.13 | 0.51 | 1.40 |
DRI Darden Restaurants, Inc. | 1.06 | 2.02 | 1.23 | 1.60 | 6.77 |
UNH | -0.34 | -0.19 | 0.97 | -0.39 | -1.06 |
GIS General Mills, Inc. | -0.81 | -1.03 | 0.88 | -0.53 | -1.40 |
BLK BlackRock, Inc. | 0.82 | 1.26 | 1.18 | 0.89 | 3.08 |
LNG | 1.66 | 2.12 | 1.31 | 2.19 | 7.02 |
ENB Enbridge Inc. | 2.38 | 3.08 | 1.42 | 2.44 | 12.67 |
NEE | 0.09 | 0.32 | 1.04 | 0.11 | 0.23 |
COST Costco Wholesale Corporation | 1.63 | 2.19 | 1.30 | 2.08 | 6.27 |
TMO | -1.04 | -1.49 | 0.82 | -0.71 | -2.06 |
NVO | -1.22 | -1.85 | 0.76 | -0.85 | -1.70 |
TYL | 0.93 | 1.61 | 1.20 | 1.05 | 4.27 |
TJX | 1.88 | 2.76 | 1.35 | 3.23 | 10.41 |
TDG | 0.63 | 0.99 | 1.13 | 1.34 | 2.76 |
CNI Canadian National Railway Company | -1.07 | -1.50 | 0.83 | -0.81 | -1.64 |
BRO Brown & Brown, Inc. | 1.91 | 2.45 | 1.35 | 3.42 | 9.51 |
AJG Arthur J. Gallagher & Co. | 1.71 | 2.18 | 1.30 | 2.98 | 8.47 |
ANSS ANSYS, Inc. | -0.07 | 0.08 | 1.01 | -0.05 | -0.24 |
CTRA Coterra Energy Inc. | -0.24 | -0.15 | 0.98 | -0.23 | -0.64 |
ODFL | -0.84 | -1.08 | 0.86 | -0.90 | -2.06 |
AVGO Broadcom Inc. | 0.89 | 1.62 | 1.21 | 1.36 | 3.89 |
MKC | 0.08 | 0.26 | 1.03 | 0.05 | 0.25 |
EW Edwards Lifesciences Corporation | -0.32 | -0.13 | 0.97 | -0.25 | -0.59 |
FICO Fair Isaac Corporation | 1.87 | 2.40 | 1.32 | 2.16 | 4.90 |
STRL | 0.77 | 1.39 | 1.19 | 1.04 | 2.40 |
DECK Deckers Outdoor Corporation | -0.43 | -0.32 | 0.96 | -0.38 | -0.91 |
VUSUX | 0.38 | 0.61 | 1.07 | 0.11 | 0.76 |
LLY Eli Lilly and Company | 0.54 | 1.01 | 1.13 | 0.79 | 1.61 |
ADM Archer-Daniels-Midland Company | -0.70 | -0.85 | 0.89 | -0.35 | -1.11 |
GD General Dynamics Corporation | -0.23 | -0.16 | 0.98 | -0.23 | -0.49 |
XLK | 0.22 | 0.51 | 1.07 | 0.25 | 0.83 |
BAESY BAE Systems PLC | 1.18 | 1.92 | 1.25 | 1.94 | 4.40 |
R13_Retirement, All-weather, Solid companies
Benchmark (^GSPC)
Активы портфеля
Дивиденды
Дивидендный доход
Дивидендная доходность R13_Retirement, All-weather, Solid companies за предыдущие двенадцать месяцев составила 2.10%.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Портфель | 2.10% | 2.03% | 2.05% | 1.93% | 1.84% | 1.94% | 2.15% | 2.06% | 2.16% | 2.18% | 1.92% | 2.17% |
| Активы портфеля: | ||||||||||||
LMT Lockheed Martin Corporation | 2.70% | 2.62% | 2.68% | 2.34% | 2.98% | 2.76% | 2.31% | 3.13% | 2.32% | 2.71% | 2.83% | 2.85% |
O | 5.56% | 5.37% | 5.33% | 4.68% | 6.95% | 4.65% | 3.69% | 4.19% | 4.45% | 4.19% | 4.42% | 4.59% |
DRI Darden Restaurants, Inc. | 2.81% | 2.90% | 3.07% | 3.34% | 2.29% | 0.99% | 2.99% | 2.76% | 2.48% | 2.92% | 3.10% | 3.75% |
UNH | 2.01% | 1.62% | 1.38% | 1.21% | 1.12% | 1.38% | 1.41% | 1.38% | 1.30% | 1.48% | 1.59% | 1.39% |
GIS General Mills, Inc. | 4.28% | 3.73% | 3.47% | 2.50% | 3.03% | 3.37% | 3.66% | 5.03% | 3.27% | 3.01% | 3.00% | 3.02% |
BLK BlackRock, Inc. | 2.26% | 1.99% | 2.46% | 2.75% | 1.80% | 2.01% | 2.63% | 3.06% | 1.95% | 2.41% | 2.56% | 2.16% |
LNG | 0.80% | 0.84% | 0.95% | 0.92% | 0.33% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ENB Enbridge Inc. | 5.76% | 6.28% | 7.29% | 6.79% | 6.86% | 7.56% | 5.57% | 6.69% | 4.73% | 3.78% | 4.41% | 2.47% |
NEE | 3.19% | 2.87% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% | 2.73% |
COST Costco Wholesale Corporation | 0.36% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% |
TMO | 0.38% | 0.30% | 0.26% | 0.22% | 0.16% | 0.19% | 0.23% | 0.30% | 0.32% | 0.43% | 0.42% | 0.48% |
NVO | 2.60% | 1.68% | 1.00% | 1.20% | 1.34% | 1.86% | 2.14% | 2.47% | 2.12% | 3.93% | 1.31% | 1.96% |
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 | 1.19% | 1.21% | 1.38% | 1.44% | 1.37% | 0.34% | 1.45% | 1.66% | 1.57% | 1.32% | 1.14% | 0.98% |
TDG | 5.44% | 5.92% | 3.46% | 2.94% | 0.00% | 0.00% | 11.16% | 0.00% | 8.01% | 9.64% | 0.00% | 12.73% |
CNI Canadian National Railway Company | 2.54% | 2.44% | 1.85% | 2.34% | 2.00% | 1.71% | 1.94% | 1.88% | 1.55% | 1.70% | 1.73% | 1.31% |
BRO Brown & Brown, Inc. | 0.49% | 0.53% | 0.67% | 0.74% | 0.54% | 0.73% | 0.82% | 1.11% | 1.08% | 1.12% | 1.41% | 1.25% |
AJG Arthur J. Gallagher & Co. | 0.76% | 0.85% | 0.98% | 1.08% | 1.13% | 1.46% | 1.81% | 2.23% | 2.47% | 2.93% | 3.62% | 3.06% |
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. | 3.35% | 3.29% | 4.58% | 10.13% | 5.89% | 2.46% | 2.01% | 1.12% | 0.59% | 0.34% | 0.45% | 0.27% |
ODFL | 0.72% | 0.59% | 0.39% | 0.42% | 0.22% | 0.31% | 0.36% | 0.74% | 0.30% | 0.00% | 0.00% | 0.00% |
AVGO Broadcom Inc. | 1.16% | 0.94% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% |
MKC | 2.33% | 2.24% | 2.32% | 1.81% | 1.44% | 1.33% | 1.37% | 1.53% | 1.89% | 1.89% | 1.91% | 2.03% |
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% | 0.00% | 0.01% | 0.07% | 0.08% | 0.11% |
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 | 4.17% | 4.16% | 3.42% | 3.03% | 1.97% | 2.10% | 2.63% | 2.92% | 2.74% | 2.96% | 2.99% | 2.96% |
LLY Eli Lilly and Company | 0.61% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.95% | 2.46% | 2.77% | 2.37% | 2.84% |
ADM Archer-Daniels-Midland Company | 4.17% | 3.96% | 2.49% | 1.72% | 2.19% | 2.86% | 3.02% | 3.27% | 3.19% | 2.63% | 3.05% | 1.85% |
GD General Dynamics Corporation | 2.12% | 2.12% | 2.01% | 2.00% | 2.24% | 2.90% | 2.26% | 2.31% | 1.61% | 1.72% | 2.46% | 1.76% |
XLK | 0.75% | 0.66% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% | 1.75% |
BAESY BAE Systems PLC | 1.87% | 2.77% | 2.45% | 3.16% | 4.45% | 7.23% | 3.75% | 5.11% | 3.49% | 3.94% | 4.36% | 4.62% |
Просадки
График просадок
На графике просадок отображаются убытки портфеля с любого максимума на всем периоде.
R13_Retirement, All-weather, Solid companies
Benchmark (^GSPC)
Активы портфеля
Максимальные просадки
R13_Retirement, All-weather, Solid companies показал максимальную просадку в 35.35%, зарегистрированную 23 мар. 2020 г.. Полное восстановление заняло 111 торговых сессий.
Текущая просадка R13_Retirement, All-weather, Solid companies составляет 10.49%.
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 |
|---|---|---|---|---|---|---|
| -35.35% | 20 февр. 2020 г. | 23 | 23 мар. 2020 г. | 111 | 28 авг. 2020 г. | 134 |
| -19.81% | 17 дек. 2024 г. | 74 | 4 апр. 2025 г. | — | — | — |
| -18.97% | 31 мар. 2015 г. | 218 | 9 февр. 2016 г. | 99 | 30 июн. 2016 г. | 317 |
| -18.31% | 8 июл. 2011 г. | 22 | 8 авг. 2011 г. | 58 | 28 окт. 2011 г. | 80 |
| -17.25% | 30 мар. 2022 г. | 55 | 16 июн. 2022 г. | 39 | 12 авг. 2022 г. | 94 |
Волатильность
График волатильности
Текущая волатильность R13_Retirement, All-weather, Solid companies составляет 13.44%, что отражает среднее процентное изменение стоимости инвестиций вверх или вниз за последний месяц. Ниже представлен график, показывающий скользящую волатильность за один месяц.
R13_Retirement, All-weather, Solid companies
Benchmark (^GSPC)
Активы портфеля
Диверсификация
Показатели диверсификации
Эффективное количество активов
Эффективные активы: 27.09
Количество позиций в портфеле равно 33, при этом эффективное количество активов равно 27.09, отражая степень диверсификации исходя из весов активов в портфеле. Такое эффективное количество активов указывает на то, что инвестиции в портфеле распределены между большим числом позиций, что может свидетельствовать о хорошей диверсификации. Однако реальный уровень диверсификации также зависит от корреляции между активами.
Таблица корреляции активов
Таблица ниже отображает коэффициенты корреляции между отдельными компонентами портфеля, всем портфелем и выбранным бенчмарком.
| ^GSPC | VUSUX | BAESY | GIS | CTRA | NVO | LNG | STRL | NEE | LLY | O | DECK | MKC | DRI | UNH | ENB | EW | LMT | AVGO | ADM | COST | TJX | ODFL | TYL | TDG | FICO | CNI | TMO | AJG | GD | BRO | ANSS | BLK | XLK | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.27 | 0.28 | 0.31 | 0.40 | 0.41 | 0.42 | 0.45 | 0.41 | 0.45 | 0.42 | 0.49 | 0.43 | 0.49 | 0.48 | 0.50 | 0.52 | 0.46 | 0.61 | 0.52 | 0.56 | 0.56 | 0.58 | 0.60 | 0.58 | 0.62 | 0.62 | 0.64 | 0.59 | 0.60 | 0.60 | 0.70 | 0.75 | 0.89 | 0.87 |
| VUSUX | -0.27 | 1.00 | -0.14 | -0.04 | -0.18 | -0.09 | -0.16 | -0.14 | 0.07 | -0.11 | 0.05 | -0.15 | -0.04 | -0.17 | -0.18 | -0.13 | -0.10 | -0.17 | -0.17 | -0.23 | -0.10 | -0.19 | -0.20 | -0.12 | -0.17 | -0.13 | -0.21 | -0.17 | -0.20 | -0.24 | -0.19 | -0.17 | -0.23 | -0.22 | -0.20 |
| BAESY | 0.28 | -0.14 | 1.00 | 0.12 | 0.12 | 0.18 | 0.15 | 0.16 | 0.14 | 0.15 | 0.13 | 0.14 | 0.14 | 0.15 | 0.18 | 0.24 | 0.16 | 0.26 | 0.17 | 0.22 | 0.15 | 0.17 | 0.17 | 0.15 | 0.26 | 0.20 | 0.28 | 0.19 | 0.22 | 0.30 | 0.21 | 0.20 | 0.26 | 0.23 | 0.29 |
| GIS | 0.31 | -0.04 | 0.12 | 1.00 | 0.15 | 0.17 | 0.11 | 0.10 | 0.36 | 0.24 | 0.31 | 0.11 | 0.59 | 0.22 | 0.28 | 0.23 | 0.19 | 0.31 | 0.10 | 0.36 | 0.32 | 0.24 | 0.17 | 0.20 | 0.17 | 0.20 | 0.23 | 0.27 | 0.29 | 0.30 | 0.28 | 0.18 | 0.24 | 0.20 | 0.29 |
| CTRA | 0.40 | -0.18 | 0.12 | 0.15 | 1.00 | 0.17 | 0.39 | 0.25 | 0.17 | 0.15 | 0.19 | 0.24 | 0.17 | 0.22 | 0.21 | 0.36 | 0.17 | 0.21 | 0.23 | 0.34 | 0.18 | 0.24 | 0.23 | 0.21 | 0.25 | 0.24 | 0.32 | 0.23 | 0.24 | 0.30 | 0.25 | 0.24 | 0.32 | 0.30 | 0.40 |
| NVO | 0.41 | -0.09 | 0.18 | 0.17 | 0.17 | 1.00 | 0.15 | 0.19 | 0.23 | 0.40 | 0.21 | 0.20 | 0.23 | 0.17 | 0.25 | 0.23 | 0.29 | 0.22 | 0.27 | 0.22 | 0.25 | 0.22 | 0.26 | 0.30 | 0.25 | 0.30 | 0.28 | 0.38 | 0.29 | 0.27 | 0.28 | 0.34 | 0.32 | 0.38 | 0.45 |
| LNG | 0.42 | -0.16 | 0.15 | 0.11 | 0.39 | 0.15 | 1.00 | 0.26 | 0.14 | 0.17 | 0.20 | 0.27 | 0.15 | 0.24 | 0.23 | 0.40 | 0.22 | 0.23 | 0.27 | 0.33 | 0.17 | 0.24 | 0.27 | 0.23 | 0.31 | 0.30 | 0.33 | 0.26 | 0.28 | 0.29 | 0.28 | 0.27 | 0.34 | 0.34 | 0.59 |
| STRL | 0.45 | -0.14 | 0.16 | 0.10 | 0.25 | 0.19 | 0.26 | 1.00 | 0.15 | 0.19 | 0.21 | 0.30 | 0.17 | 0.27 | 0.21 | 0.26 | 0.22 | 0.22 | 0.30 | 0.28 | 0.25 | 0.30 | 0.35 | 0.29 | 0.36 | 0.34 | 0.30 | 0.25 | 0.28 | 0.32 | 0.30 | 0.31 | 0.37 | 0.37 | 0.45 |
| NEE | 0.41 | 0.07 | 0.14 | 0.36 | 0.17 | 0.23 | 0.14 | 0.15 | 1.00 | 0.28 | 0.44 | 0.16 | 0.42 | 0.24 | 0.27 | 0.31 | 0.24 | 0.30 | 0.17 | 0.31 | 0.32 | 0.25 | 0.20 | 0.27 | 0.26 | 0.26 | 0.30 | 0.30 | 0.34 | 0.32 | 0.34 | 0.27 | 0.31 | 0.31 | 0.39 |
| LLY | 0.45 | -0.11 | 0.15 | 0.24 | 0.15 | 0.40 | 0.17 | 0.19 | 0.28 | 1.00 | 0.24 | 0.20 | 0.29 | 0.20 | 0.34 | 0.23 | 0.31 | 0.28 | 0.26 | 0.24 | 0.32 | 0.26 | 0.22 | 0.27 | 0.25 | 0.28 | 0.27 | 0.37 | 0.35 | 0.32 | 0.34 | 0.30 | 0.32 | 0.38 | 0.45 |
| O | 0.42 | 0.05 | 0.13 | 0.31 | 0.19 | 0.21 | 0.20 | 0.21 | 0.44 | 0.24 | 1.00 | 0.22 | 0.38 | 0.29 | 0.25 | 0.30 | 0.26 | 0.30 | 0.19 | 0.31 | 0.31 | 0.31 | 0.25 | 0.28 | 0.29 | 0.33 | 0.32 | 0.29 | 0.36 | 0.32 | 0.35 | 0.28 | 0.34 | 0.32 | 0.42 |
| DECK | 0.49 | -0.15 | 0.14 | 0.11 | 0.24 | 0.20 | 0.27 | 0.30 | 0.16 | 0.20 | 0.22 | 1.00 | 0.18 | 0.35 | 0.21 | 0.24 | 0.29 | 0.20 | 0.35 | 0.28 | 0.31 | 0.43 | 0.37 | 0.35 | 0.34 | 0.37 | 0.33 | 0.34 | 0.30 | 0.30 | 0.32 | 0.40 | 0.40 | 0.45 | 0.54 |
| MKC | 0.43 | -0.04 | 0.14 | 0.59 | 0.17 | 0.23 | 0.15 | 0.17 | 0.42 | 0.29 | 0.38 | 0.18 | 1.00 | 0.28 | 0.30 | 0.28 | 0.27 | 0.36 | 0.19 | 0.36 | 0.38 | 0.31 | 0.26 | 0.31 | 0.27 | 0.31 | 0.32 | 0.36 | 0.38 | 0.36 | 0.38 | 0.32 | 0.34 | 0.33 | 0.40 |
| DRI | 0.49 | -0.17 | 0.15 | 0.22 | 0.22 | 0.17 | 0.24 | 0.27 | 0.24 | 0.20 | 0.29 | 0.35 | 0.28 | 1.00 | 0.27 | 0.26 | 0.27 | 0.28 | 0.29 | 0.33 | 0.32 | 0.45 | 0.35 | 0.31 | 0.37 | 0.34 | 0.34 | 0.29 | 0.35 | 0.36 | 0.37 | 0.35 | 0.39 | 0.40 | 0.47 |
| UNH | 0.48 | -0.18 | 0.18 | 0.28 | 0.21 | 0.25 | 0.23 | 0.21 | 0.27 | 0.34 | 0.25 | 0.21 | 0.30 | 0.27 | 1.00 | 0.26 | 0.34 | 0.35 | 0.26 | 0.32 | 0.31 | 0.33 | 0.30 | 0.29 | 0.31 | 0.30 | 0.33 | 0.40 | 0.38 | 0.38 | 0.37 | 0.32 | 0.38 | 0.38 | 0.49 |
| ENB | 0.50 | -0.13 | 0.24 | 0.23 | 0.36 | 0.23 | 0.40 | 0.26 | 0.31 | 0.23 | 0.30 | 0.24 | 0.28 | 0.26 | 0.26 | 1.00 | 0.23 | 0.29 | 0.28 | 0.39 | 0.24 | 0.28 | 0.28 | 0.27 | 0.33 | 0.30 | 0.49 | 0.32 | 0.33 | 0.34 | 0.32 | 0.30 | 0.40 | 0.39 | 0.49 |
| EW | 0.52 | -0.10 | 0.16 | 0.19 | 0.17 | 0.29 | 0.22 | 0.22 | 0.24 | 0.31 | 0.26 | 0.29 | 0.27 | 0.27 | 0.34 | 0.23 | 1.00 | 0.27 | 0.34 | 0.23 | 0.33 | 0.32 | 0.32 | 0.41 | 0.36 | 0.38 | 0.31 | 0.45 | 0.37 | 0.31 | 0.38 | 0.45 | 0.40 | 0.48 | 0.53 |
| LMT | 0.46 | -0.17 | 0.26 | 0.31 | 0.21 | 0.22 | 0.23 | 0.22 | 0.30 | 0.28 | 0.30 | 0.20 | 0.36 | 0.28 | 0.35 | 0.29 | 0.27 | 1.00 | 0.23 | 0.37 | 0.31 | 0.33 | 0.29 | 0.27 | 0.43 | 0.30 | 0.35 | 0.34 | 0.40 | 0.67 | 0.38 | 0.30 | 0.37 | 0.35 | 0.48 |
| AVGO | 0.61 | -0.17 | 0.17 | 0.10 | 0.23 | 0.27 | 0.27 | 0.30 | 0.17 | 0.26 | 0.19 | 0.35 | 0.19 | 0.29 | 0.26 | 0.28 | 0.34 | 0.23 | 1.00 | 0.28 | 0.35 | 0.33 | 0.40 | 0.40 | 0.39 | 0.43 | 0.39 | 0.41 | 0.33 | 0.35 | 0.33 | 0.50 | 0.46 | 0.68 | 0.65 |
| ADM | 0.52 | -0.23 | 0.22 | 0.36 | 0.34 | 0.22 | 0.33 | 0.28 | 0.31 | 0.24 | 0.31 | 0.28 | 0.36 | 0.33 | 0.32 | 0.39 | 0.23 | 0.37 | 0.28 | 1.00 | 0.30 | 0.35 | 0.33 | 0.27 | 0.34 | 0.30 | 0.43 | 0.34 | 0.37 | 0.44 | 0.37 | 0.32 | 0.45 | 0.38 | 0.47 |
| COST | 0.56 | -0.10 | 0.15 | 0.32 | 0.18 | 0.25 | 0.17 | 0.25 | 0.32 | 0.32 | 0.31 | 0.31 | 0.38 | 0.32 | 0.31 | 0.24 | 0.33 | 0.31 | 0.35 | 0.30 | 1.00 | 0.45 | 0.38 | 0.37 | 0.32 | 0.39 | 0.34 | 0.41 | 0.38 | 0.35 | 0.38 | 0.43 | 0.42 | 0.50 | 0.53 |
| TJX | 0.56 | -0.19 | 0.17 | 0.24 | 0.24 | 0.22 | 0.24 | 0.30 | 0.25 | 0.26 | 0.31 | 0.43 | 0.31 | 0.45 | 0.33 | 0.28 | 0.32 | 0.33 | 0.33 | 0.35 | 0.45 | 1.00 | 0.39 | 0.36 | 0.37 | 0.38 | 0.38 | 0.35 | 0.40 | 0.40 | 0.40 | 0.40 | 0.45 | 0.46 | 0.54 |
| ODFL | 0.58 | -0.20 | 0.17 | 0.17 | 0.23 | 0.26 | 0.27 | 0.35 | 0.20 | 0.22 | 0.25 | 0.37 | 0.26 | 0.35 | 0.30 | 0.28 | 0.32 | 0.29 | 0.40 | 0.33 | 0.38 | 0.39 | 1.00 | 0.43 | 0.41 | 0.43 | 0.47 | 0.42 | 0.40 | 0.41 | 0.43 | 0.48 | 0.50 | 0.51 | 0.58 |
| TYL | 0.60 | -0.12 | 0.15 | 0.20 | 0.21 | 0.30 | 0.23 | 0.29 | 0.27 | 0.27 | 0.28 | 0.35 | 0.31 | 0.31 | 0.29 | 0.27 | 0.41 | 0.27 | 0.40 | 0.27 | 0.37 | 0.36 | 0.43 | 1.00 | 0.38 | 0.55 | 0.38 | 0.46 | 0.42 | 0.34 | 0.43 | 0.57 | 0.46 | 0.60 | 0.63 |
| TDG | 0.58 | -0.17 | 0.26 | 0.17 | 0.25 | 0.25 | 0.31 | 0.36 | 0.26 | 0.25 | 0.29 | 0.34 | 0.27 | 0.37 | 0.31 | 0.33 | 0.36 | 0.43 | 0.39 | 0.34 | 0.32 | 0.37 | 0.41 | 0.38 | 1.00 | 0.44 | 0.41 | 0.38 | 0.42 | 0.51 | 0.42 | 0.44 | 0.46 | 0.51 | 0.65 |
| FICO | 0.62 | -0.13 | 0.20 | 0.20 | 0.24 | 0.30 | 0.30 | 0.34 | 0.26 | 0.28 | 0.33 | 0.37 | 0.31 | 0.34 | 0.30 | 0.30 | 0.38 | 0.30 | 0.43 | 0.30 | 0.39 | 0.38 | 0.43 | 0.55 | 0.44 | 1.00 | 0.41 | 0.43 | 0.44 | 0.39 | 0.46 | 0.57 | 0.48 | 0.61 | 0.65 |
| CNI | 0.62 | -0.21 | 0.28 | 0.23 | 0.32 | 0.28 | 0.33 | 0.30 | 0.30 | 0.27 | 0.32 | 0.33 | 0.32 | 0.34 | 0.33 | 0.49 | 0.31 | 0.35 | 0.39 | 0.43 | 0.34 | 0.38 | 0.47 | 0.38 | 0.41 | 0.41 | 1.00 | 0.43 | 0.41 | 0.47 | 0.43 | 0.43 | 0.50 | 0.53 | 0.58 |
| TMO | 0.64 | -0.17 | 0.19 | 0.27 | 0.23 | 0.38 | 0.26 | 0.25 | 0.30 | 0.37 | 0.29 | 0.34 | 0.36 | 0.29 | 0.40 | 0.32 | 0.45 | 0.34 | 0.41 | 0.34 | 0.41 | 0.35 | 0.42 | 0.46 | 0.38 | 0.43 | 0.43 | 1.00 | 0.44 | 0.41 | 0.44 | 0.52 | 0.51 | 0.58 | 0.60 |
| AJG | 0.59 | -0.20 | 0.22 | 0.29 | 0.24 | 0.29 | 0.28 | 0.28 | 0.34 | 0.35 | 0.36 | 0.30 | 0.38 | 0.35 | 0.38 | 0.33 | 0.37 | 0.40 | 0.33 | 0.37 | 0.38 | 0.40 | 0.40 | 0.42 | 0.42 | 0.44 | 0.41 | 0.44 | 1.00 | 0.47 | 0.73 | 0.43 | 0.51 | 0.49 | 0.58 |
| GD | 0.60 | -0.24 | 0.30 | 0.30 | 0.30 | 0.27 | 0.29 | 0.32 | 0.32 | 0.32 | 0.32 | 0.30 | 0.36 | 0.36 | 0.38 | 0.34 | 0.31 | 0.67 | 0.35 | 0.44 | 0.35 | 0.40 | 0.41 | 0.34 | 0.51 | 0.39 | 0.47 | 0.41 | 0.47 | 1.00 | 0.46 | 0.37 | 0.50 | 0.46 | 0.58 |
| BRO | 0.60 | -0.19 | 0.21 | 0.28 | 0.25 | 0.28 | 0.28 | 0.30 | 0.34 | 0.34 | 0.35 | 0.32 | 0.38 | 0.37 | 0.37 | 0.32 | 0.38 | 0.38 | 0.33 | 0.37 | 0.38 | 0.40 | 0.43 | 0.43 | 0.42 | 0.46 | 0.43 | 0.44 | 0.73 | 0.46 | 1.00 | 0.45 | 0.52 | 0.49 | 0.59 |
| ANSS | 0.70 | -0.17 | 0.20 | 0.18 | 0.24 | 0.34 | 0.27 | 0.31 | 0.27 | 0.30 | 0.28 | 0.40 | 0.32 | 0.35 | 0.32 | 0.30 | 0.45 | 0.30 | 0.50 | 0.32 | 0.43 | 0.40 | 0.48 | 0.57 | 0.44 | 0.57 | 0.43 | 0.52 | 0.43 | 0.37 | 0.45 | 1.00 | 0.54 | 0.73 | 0.67 |
| BLK | 0.75 | -0.23 | 0.26 | 0.24 | 0.32 | 0.32 | 0.34 | 0.37 | 0.31 | 0.32 | 0.34 | 0.40 | 0.34 | 0.39 | 0.38 | 0.40 | 0.40 | 0.37 | 0.46 | 0.45 | 0.42 | 0.45 | 0.50 | 0.46 | 0.46 | 0.48 | 0.50 | 0.51 | 0.51 | 0.50 | 0.52 | 0.54 | 1.00 | 0.62 | 0.66 |
| XLK | 0.89 | -0.22 | 0.23 | 0.20 | 0.30 | 0.38 | 0.34 | 0.37 | 0.31 | 0.38 | 0.32 | 0.45 | 0.33 | 0.40 | 0.38 | 0.39 | 0.48 | 0.35 | 0.68 | 0.38 | 0.50 | 0.46 | 0.51 | 0.60 | 0.51 | 0.61 | 0.53 | 0.58 | 0.49 | 0.46 | 0.49 | 0.73 | 0.62 | 1.00 | 0.79 |
| Portfolio | 0.87 | -0.20 | 0.29 | 0.29 | 0.40 | 0.45 | 0.59 | 0.45 | 0.39 | 0.45 | 0.42 | 0.54 | 0.40 | 0.47 | 0.49 | 0.49 | 0.53 | 0.48 | 0.65 | 0.47 | 0.53 | 0.54 | 0.58 | 0.63 | 0.65 | 0.65 | 0.58 | 0.60 | 0.58 | 0.58 | 0.59 | 0.67 | 0.66 | 0.79 | 1.00 |
Результаты корреляции рассчитаны на основе ежедневных изменений цен, начиная с 7 авг. 2009 г.