No-PAC Large Cap Core

Campaign Contributions

This strategy tracks the performance of a portfolio of S&P 500 companies who do not contribute to, or have their own, political action committees. After the No-PAC screening criteria is applied, the holdings in the portfolio and the weightings are chosen to attempt to mirror the performance and risk of the entire S&P 500.

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Key Metrics

Return (1d)

-0.02%

Return (30d)

-0.11%

Return (1y)

-0.33%

CAGR (Total)

-0.32%

Max Drawdown

-13.77%

Beta

1.01

Alpha

0.07

Sharpe Ratio

0.730
Metrics Definitions
  • Alpha

    Measures a portfolio's risk-adjusted performance against that of its benchmark

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  • Annual Standard Deviation

    Measures how much the portfolio's total return varies from its mean or average.

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  • Annual Volatility

    A statistical measure of the dispersion of returns for the portfolio.

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  • Average Win

    The average return (%) for trades that resulted in a positive return.

  • Average Loss

    The average return (%) for trades that resulted in a negative return.

  • Beta

    A measure of the volatility of the portfolio compared to the market as a whole.

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  • CAGR

    CAGR (Compounded Annual Growth Rate), is the historical annualized rate of return for an investment strategy, throughout the backtest period.

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  • Information Ratio

    A measurement of portfolio returns beyond the returns of its benchmark compared to the volatility of those returns.

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  • Max Drawdown

    the maximum observed loss from a peak to a trough of a portfolio, before a new peak is attained.

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  • Sharpe Ratio

    The Sharpe Ratio is a measure of historical risk-adjusted return, which quantifies the amount of return that an investor received per unit of risk.

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  • Total Trades

    The total number of trades made by this strategy.

  • Treynor Ratio

    Attempts to measure how successful an investment is in providing compensation to investors for taking on investment risk.

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  • Win Rate

    The percentage of total trades that resulted in a positive return.

Portfolio Insight

Holdings

Ticker % of NAV
DHR 5.00%
COST 5.00%
AAPL 5.00%
ELV 3.00%
IBM 3.00%
ADP 2.75%
PGR 2.50%
MCO 2.50%
NVDA 2.25%
RJF 2.25%
ADI 2.00%
ITW 2.00%
FRC 1.75%
EOG 1.75%
SBUX 1.75%
FIS 1.50%
AJG 1.50%
AMCR 1.50%
TROW 1.50%
TJX 1.50%
SYK 1.50%
AMT 1.25%
APH 1.25%
SHW 1.25%
ROP 1.25%
PLD 1.25%
KDP 1.25%
CL 1.00%
SLB 1.00%
INCY 1.00%
IFF 1.00%
KMI 1.00%
ORLY 0.75%
PARA 0.75%
FTV 0.75%
MRNA 0.75%
ROST 0.75%
KLAC 0.75%
KMB 0.75%
MSCI 0.75%
LRCX 0.75%
ZBRA 0.75%
CBRE 0.75%
VRSK 0.75%
ATVI 0.75%
AVY 0.75%
BKNG 0.75%
BWA 0.75%
CARR 0.75%
EXPD 0.75%
CCI 0.75%
CDNS 0.75%
WTW 0.75%
CDW 0.75%
CMG 0.75%
SNPS 0.75%
EA 0.75%
EL 0.75%
NOW 0.75%
EQIX 0.75%
ANET 0.75%
WDC 0.50%
SBNY 0.50%
TTWO 0.50%
PSA 0.50%
NTAP 0.50%
A 0.50%
FTNT 0.50%
GPC 0.50%
ADSK 0.50%
AME 0.50%
BEN 0.50%
CTRA 0.50%
DG 0.50%
DHI 0.50%
FLT 0.50%
MNST 0.50%
IT 0.50%
KMX 0.50%
IQV 0.50%
MCHP 0.50%
CINF 0.25%
ON 0.25%
WELL 0.25%
ALGN 0.25%
ULTA 0.25%
LYV 0.25%
BKR 0.25%
ROK 0.25%
ILMN 0.25%
STX 0.25%
KEYS 0.25%
JBHT 0.25%
PWR 0.25%
SEDG 0.25%
RCL 0.25%
IDXX 0.25%
MTCH 0.25%