Average Performance/Volatility

Components Performance/Risk
Period Return
14.0%
Return Rank
Average
Risk Exposure
Below Average

Beta accounts for the differences in volatility (standard deviation) between the return series of each asset and the Total Market

Assets are moving in sync with the market if their beta is close to 1

 The midcap ($2bn - $10bn) and largecap ($10 bn) equities of the selection- in a range of 0.7< asset betas < 1.0 - are expected to be less volatile than the overall market

 

Screened for below average volatility, exposing the portfolio holder to moderate risk, the selection will, on average, be linked to moderate performance

 

Assets in the selection might enter consideration as potential investment if such assets are less volatile than current portfolio volatility

  • to fit the bill, an asset's expected return must be higher than the existing portfolio's expected return and feature a low beta to this portfolio
  • in simple terms, "new asset return (expected) > portfolio return (expected) * beta of new asset to existing porfolio
Theme Components
Name
Ticker
Sector
Industry
Cur. Price
Mkt. Cap
Performance
Momentum
Risk Rank
Risk Contrib
 
Dorman Products DORM Consumer DurablesAuto Parts & Tires136.014.1 B1.4% Neutral Below Average
Franklin Electric FELE Industrial GoodsEnergy & Fluid Control Systems/Pumps & Filters95.384.2 B2.7% Neutral Below Average
Donaldson Company DCI Industrial GoodsPollution Control Equipment82.9610 B0.5% Neutral Low Risk
Halliburton HAL Industrial GoodsOil&Gas Services/Equipment/Pipelines36.1730 B39.4% Neutral Below Average
Baker Hughes BKR Industrial GoodsOil&Gas Services/Equipment/Pipelines55.2355 B17.4% Neutral Below Average
Hexcel HXL Industrial GoodsAerospace/Defense - Engineered Systems77.845.9 B10.7% Weak Down Below Average
PPG Industries PPG Industrial GoodsChemicals - Coatings & Sealants119.5227 B27.7% Weak Up Below Average
Snap-On SNA Industrial GoodsMachine Tools, Motors & Parts355.6618 B11.1% Weak Down Low Risk
Fortive FTV Industrial GoodsPrecision, Measurement & Processing65.2320 B30.2% Weak Up Low Risk
First Merchants FRME FinanceCommercial Banks (National & Regional)40.592.6 B20.8% Neutral Low Risk
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