The credit and deposit canary. NII sensitivity, CRE exposure, and funding costs make this the first equity complex to crack when rates or credit turn — and the highest-torque recovery trade when they ease. March 2023 is the case study.
Follow the theme against the wider market.
Series before each basket's creation date are a backtest of the membership as of creation; live tracking starts at creation.
| Return | 1 day | 5 days | 20 days | 60 days | MTD | YTD | 1 year |
|---|---|---|---|---|---|---|---|
| Basket | +0.8% | +4.4% | +1.8% | -9.1% | +2.9% | +8.0% | +23.5% |
| vs S&P 500 | +0.2% | +3.8% | +1.0% | -13.1% | +1.3% | -5.0% | +6.6% |
1y · 2025-10-21 – 2026-10-21 · 252 / 252 sessions
Basket total returns · Annualized using 252 trading sessions · 0% risk-free rate and downside target. As of 2026-10-21 · close.
Sharpe: average daily simple return divided by its sample standard deviation, multiplied by √252. The risk-free rate is assumed to be 0%; this is not a cash-adjusted ratio.
Sortino: average daily simple return divided by downside deviation, multiplied by √252. Downside deviation is the square root of the average squared shortfall below 0%, counting all sessions, including zeros for gains.
Historical volatility: √(252 × average squared daily log return), matching the Vol page’s realized-volatility convention. This differs from the sample standard deviation used in Sharpe.
Each period requires complete history and at least 5 sessions. MTD and YTD follow the calendar; 1y is 252 sessions. Missing data or an undefined ratio displays — with a reason. Short periods can produce unstable ratios; intraday snapshots include a partial session. History before this basket’s creation is backtested. If a new basket has no stored daily return series yet, estimates from its rounded published chart levels are marked ≈.
Current members and the reasoning behind each inclusion. Returns are for individual holdings.
| Why it’s included | Added | |||||
|---|---|---|---|---|---|---|
| KEYKeyCorp | Rate-sensitivity case study of 2023 | +1.1% | +6.3% | +3.9% | +4.9% | 2026-06-11 |
| FITB | Midwest commercial lending | +0.8% | +6.4% | +3.0% | +15.6% | 2026-06-11 |
| RFRegions Financial Corporation | Southeast deposits franchise | +0.7% | +4.3% | +2.4% | +6.6% | 2026-06-11 |
| HBANHuntington Bancshares | Ohio-centered retail/commercial | +1.2% | +4.1% | +2.2% | -6.7% | 2026-06-11 |
| USBU.S. Bancorp | Scale regional, payments mix | -0.1% | +5.0% | +1.9% | +13.8% | 2026-06-11 |
| TFCTruist Financial | Southeast footprint | +0.8% | +4.7% | +1.6% | -0.0% | 2026-06-11 |
| CFGCitizens Financial Group | Northeast consumer/commercial | +1.0% | +3.7% | +0.4% | +13.4% | 2026-06-11 |
| PNCPNC Financial Services | Super-regional bellwether | +0.9% | +3.3% | +0.4% | +10.3% | 2026-06-11 |
| MTBM&T Bank | CRE-heavy book — the exposure to watch | +0.5% | +1.6% | -0.0% | +11.2% | 2026-06-11 |
Equal-weighted; monthly rebalance, buy-and-hold between rebalances; dated membership changes reset the target weights.
Tracked since 2026-06-11. Membership decisions are documented below.
Read the methodology →Basket returns include dividends. “vs S&P 500” compares the basket’s compounded growth with the benchmark’s. Green means positive; red means negative.
Cross-checked against KRE. Daily return correlation: 0.96 across 1710 sessions. KRE is dominated by mid-cap banks — the FW 3000 version includes that tier; the S&P version is the large-cap end
FW 3000 pass: added WAL, EWBC, WBS, PNFP, SSB, CFR, PB, ZION, FHN, BOKF — names outside the S&P 500 but inside our broad universe; they count only in the FW 3000 version of this basket. Effective-dated to creation so the broad backtest covers the full set. The S&P 500 basket is unchanged.
Widening pass: the remaining nine are every S&P 500 regional/super-regional; GICS now files PNC, USB and TFC under diversified banks but their deposit and credit economics keep them here. Reference pinned to KRE.
ZION removed — no longer in the S&P 500 universe (flagged by the widening pass’s constituent check).
Initial composition: ten S&P 500 regionals.