No-PAC Large Cap Core
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.
Key Metrics
Return (1d)
-0.02%Return (30d)
-0.11%Return (1y)
-0.33%CAGR (Total)
-0.32%Max Drawdown
-13.77%Beta
1.01Alpha
0.07Sharpe Ratio
0.730Metrics Definitions
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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.
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Average Loss
The average return (%) for trades that resulted in a negative return.
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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.
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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% |