Systematic factor / S&P 500
High beta
Stocks whose daily returns have been most sensitive to market moves.
1 day vs S&P 500+1.7%relative return
20 days vs S&P 500-0.1%relative return
5-day z-score+0.47σrelative move vs trailing history
Year to date+28.3%long portfolio return
Performance
High beta vs S&P 500
Daily long-portfolio return minus the benchmark return, compounded over the selected period. Positive means the factor led the market.
| Return | 1 day | 5 days | 20 days | 60 days | MTD | YTD | 1 year |
|---|---|---|---|---|---|---|---|
| Long portfolio | +1.3% | +1.7% | -0.5% | +3.9% | +1.4% | +28.3% | +41.2% |
| vs S&P 500 | +1.7% | +1.6% | -0.1% | -1.7% | +0.9% | +14.8% | +20.1% |
| Q5 − Q1 spread | +2.4% | +1.2% | -2.5% | +0.5% | +1.1% | +20.9% | +32.6% |
Inside the factor
Rebalanced 2026-08-31 · 4% of the long book is new.
Top quintile: the highest-scoring stocks. Weights below are for the cap-weighted long portfolio.
| AMZNAmazon | Consumer Cyclical | 5.00% | 0.94 | 2022-04-29 | -0.1% | -3.0% | -5.8% | +8.6% | -0.5% | +12.0% | +9.7% |
|---|---|---|---|---|---|---|---|---|---|---|---|
| AVGOBroadcom | Technology | 5.00% | 1.87 | 2021-05-28 | +0.2% | -2.9% | -16.3% | -3.7% | -3.4% | +3.8% | +17.8% |
| GOOGLAlphabet Inc. (Class A) | Communication Services | 5.00% | 0.87 | 2026-06-30 | -1.1% | -2.3% | -4.4% | -5.0% | -0.2% | +8.3% | +46.2% |
| METAMeta Platforms | Communication Services | 5.00% | 0.90 | 2022-01-31 | +1.0% | +6.7% | +4.2% | +8.1% | +7.8% | -6.4% | -17.3% |
| MUMicron Technology | Technology | 5.00% | 2.75 | 2024-02-29 | +6.1% | +9.0% | +15.8% | +14.0% | +6.0% | +256.4% | +719.8% |
| NVDANvidia | Technology | 5.00% | 1.56 | 2021-04-30 | +0.8% | +5.9% | +2.9% | +14.9% | +4.3% | +23.7% | +34.4% |
| TSLATesla, Inc. | Consumer Cyclical | 5.00% | 1.96 | 2021-03-31 | -5.9% | +1.5% | +7.8% | -7.2% | -3.8% | -21.3% | +4.6% |
| AMDAdvanced Micro Devices | Technology | 4.48% | 2.75 | 2021-05-28 | +4.7% | +2.6% | -1.2% | +5.6% | +1.5% | +123.0% | +195.2% |
| ORCLOracle Corporation | Technology | 2.76% | 1.71 | 2024-03-28 | +3.1% | +5.3% | +8.0% | -20.8% | +6.5% | -17.7% | -28.0% |
| INTCIntel | Technology | 2.67% | 2.75 | 2024-03-28 | +4.5% | +7.1% | -5.8% | -10.5% | +7.0% | +159.6% | +289.3% |
| PLTRPalantir Technologies | Technology | 2.61% | 1.56 | 2024-09-30 | -4.5% | -6.4% | +1.4% | +33.9% | -6.5% | -1.9% | +11.7% |
| LRCXLam Research | Technology | 2.40% | 2.75 | 2019-12-31 | +5.1% | +1.9% | -1.2% | -4.3% | +2.0% | +80.1% | +208.1% |
| CATCaterpillar Inc. | Industrials | 2.15% | 1.35 | 2026-04-30 | +1.7% | +1.7% | -3.4% | -4.8% | +2.1% | +43.0% | +95.4% |
| AMATApplied Materials | Technology | 2.05% | 2.62 | 2019-12-31 | +4.3% | -1.5% | -15.6% | -8.4% | -0.8% | +77.6% | +189.0% |
| MSMorgan Stanley | Financial Services | 1.97% | 0.88 | 2026-04-30 | +0.2% | +1.4% | +0.6% | +5.9% | +2.1% | +24.6% | +47.9% |
| GSGoldman Sachs | Financial Services | 1.80% | 1.12 | 2024-12-31 | +0.1% | +0.9% | +0.4% | +4.2% | +1.7% | +19.9% | +41.4% |
| DELLDell Technologies | Technology | 1.73% | 1.84 | 2024-09-30 | +1.5% | +14.8% | +15.5% | +41.9% | +14.9% | +320.1% | +319.0% |
| PANWPalo Alto Networks | Technology | 1.63% | 0.82 | 2026-08-31 NEW | +0.4% | -10.3% | -8.4% | +26.6% | -12.8% | +80.9% | +73.3% |
| ANETArista Networks | Technology | 1.44% | 1.73 | 2023-10-31 | +1.2% | -0.8% | +2.7% | +27.7% | -1.0% | +47.9% | +37.3% |
| GEVGE Vernova | Utilities | 1.41% | 1.75 | 2025-01-31 | +0.0% | +3.3% | -4.9% | +8.7% | +4.8% | +44.4% | +57.7% |
| TXNTexas Instruments | Technology | 1.40% | 0.93 | 2026-07-31 | +1.8% | -0.1% | -9.7% | -7.9% | -0.9% | +51.5% | +41.6% |
| CRWDCrowdStrike | Technology | 1.37% | 1.16 | 2026-05-29 | -0.9% | -2.4% | -0.6% | +31.6% | -7.8% | +81.8% | +106.7% |
| KLACKLA Corporation | Technology | 1.34% | 2.73 | 2019-12-31 | +7.3% | +5.7% | -6.2% | -13.0% | +5.8% | +53.3% | +113.7% |
| SNDKSandisk Corporation | Technology | 1.34% | 2.75 | 2025-12-31 | +11.9% | +17.2% | +43.5% | +5.9% | +11.1% | +633.0% | +2684.0% |
| CCitigroup | Financial Services | 1.31% | 0.85 | 2026-02-27 | -0.3% | +3.6% | +2.0% | +3.8% | +4.6% | +19.8% | +44.9% |
| APHAmphenol | Technology | 1.14% | 1.33 | 2024-07-31 | +0.9% | +5.0% | -2.1% | +11.1% | +4.4% | +22.9% | +47.9% |
| MRVLMarvell Technology, Inc. | Technology | 1.11% | 2.75 | 2026-06-30 | +7.0% | +3.2% | +2.2% | -11.5% | +5.6% | +163.4% | +249.5% |
| STXSeagate Technology | Technology | 1.06% | 2.28 | 2024-08-30 | +6.3% | +2.4% | +4.5% | +4.2% | +2.5% | +209.1% | +365.4% |
| QCOMQualcomm | Technology | 1.05% | 1.73 | 2021-04-30 | +0.1% | +3.3% | +1.1% | -11.3% | -0.5% | +0.2% | +7.9% |
| ADIAnalog Devices | Technology | 1.03% | 1.21 | 2024-03-28 | +1.6% | +0.4% | -6.8% | -7.5% | +0.3% | +34.8% | +49.0% |
| BXBlackstone Inc. | Financial Services | 1.01% | 0.80 | 2023-09-29 | -1.1% | -4.4% | -0.7% | +16.1% | -5.0% | -8.9% | -16.6% |
| IBKRInteractive Brokers Group | Financial Services | 0.99% | 1.56 | 2025-08-29 | -0.4% | -3.3% | +5.5% | +8.5% | -4.7% | +44.5% | +44.7% |
| ETNEaton Corporation | Industrials | 0.91% | 1.34 | 2024-06-28 | +3.5% | +2.0% | -8.4% | +9.7% | +2.2% | +30.1% | +19.3% |
| WDCWestern Digital | Technology | 0.91% | 2.75 | 2022-08-31 | +5.9% | +1.7% | +7.6% | -4.6% | +3.8% | +171.6% | +417.4% |
| NEMNewmont | Basic Materials | 0.78% | 1.09 | 2026-06-30 | -1.8% | +0.3% | +13.6% | +38.4% | +1.8% | +29.1% | +72.7% |
| COFCapital One | Financial Services | 0.78% | 0.78 | 2025-01-31 | -0.4% | +1.8% | +1.2% | +24.1% | +2.4% | -8.3% | -1.5% |
| GLWCorning Inc. | Technology | 0.75% | 2.67 | 2026-02-27 | +5.7% | +3.8% | -6.7% | -8.1% | +3.7% | +77.1% | +123.2% |
| FCXFreeport-McMoRan | Basic Materials | 0.64% | 1.95 | 2019-12-31 | +0.2% | -4.9% | +4.5% | +17.4% | -4.0% | +44.2% | +59.5% |
| APPAppLovin Corporation | Technology | 0.61% | 1.87 | 2025-09-30 | +2.2% | +0.9% | -7.6% | -35.0% | +2.7% | -52.4% | -35.9% |
| DASHDoorDash | Communication Services | 0.59% | 0.87 | 2025-03-31 | -4.6% | -10.6% | -2.1% | +40.2% | -8.6% | -6.5% | -14.9% |
| VRTVertiv Holdings Co | Industrials | 0.58% | 2.60 | 2026-03-31 | +4.3% | +9.1% | +3.0% | -0.1% | +8.4% | +73.2% | +123.4% |
| KKRKKR | Financial Services | 0.57% | 0.97 | 2024-06-28 | -1.8% | -0.9% | +5.0% | +13.6% | -1.8% | -15.0% | -21.0% |
| CEGConstellation Energy | Utilities | 0.57% | 0.88 | 2024-07-31 | +4.9% | +8.0% | +10.9% | +23.6% | +8.8% | -15.0% | -2.7% |
| HOODRobinhood Markets, Inc. | Financial Services | 0.55% | 2.75 | 2025-09-30 | -2.1% | +17.1% | +30.9% | +41.4% | +16.5% | +8.0% | +18.7% |
| CDNSCadence Design Systems | Technology | 0.54% | 1.18 | 2024-01-31 | -4.0% | -14.0% | -13.7% | -24.0% | -13.6% | -6.4% | -16.2% |
| PWRQuanta Services | Industrials | 0.53% | 1.23 | 2026-05-29 | +0.7% | +3.6% | -7.1% | -4.1% | +2.9% | +48.0% | +66.2% |
| EMREmerson Electric | Industrials | 0.50% | 1.10 | 2026-02-27 | +1.7% | -1.5% | -3.1% | +11.8% | +0.2% | +16.4% | +16.6% |
| SNPSSynopsys | Technology | 0.49% | 1.28 | 2024-02-29 | -5.4% | -11.0% | -5.3% | -14.5% | -10.4% | -16.2% | -34.6% |
| CVNACarvana Co. | Consumer Cyclical | 0.48% | 2.09 | 2025-12-31 | +1.6% | +0.7% | +5.3% | +10.9% | +1.5% | -11.6% | +0.8% |
| CMICummins | Industrials | 0.46% | 1.17 | 2026-03-31 | +2.8% | -0.7% | -12.6% | -10.7% | -0.7% | +11.0% | +41.9% |
| RCLRoyal Caribbean Group | Consumer Cyclical | 0.42% | 1.18 | 2020-02-28 | -0.1% | -5.1% | -17.1% | -1.3% | -1.3% | -3.9% | -25.1% |
| HPEHewlett Packard Enterprise | Technology | 0.41% | 1.61 | 2024-08-30 | -4.5% | -0.6% | -2.3% | +14.6% | -0.5% | +118.6% | +129.3% |
| LITELumentum Holdings Inc. | Technology | 0.40% | 2.75 | 2026-03-31 | +4.0% | -1.5% | -1.0% | +3.3% | -3.7% | +139.1% | +521.0% |
| CRHCRH plc | Basic Materials | 0.37% | 0.75 | 2026-04-30 | +2.4% | -1.7% | -5.8% | -5.3% | -0.0% | -23.6% | -14.3% |
| MPWRMonolithic Power Systems | Technology | 0.36% | 2.29 | 2021-02-26 | +0.8% | -2.6% | -12.7% | -16.8% | -3.5% | +35.5% | +45.3% |
| TELTE Connectivity | Technology | 0.35% | 1.12 | 2026-04-30 | -0.4% | +3.0% | -3.2% | +3.7% | +1.7% | -7.3% | +1.5% |
| TERTeradyne | Technology | 0.34% | 2.75 | 2021-03-31 | +5.5% | +0.6% | -5.8% | +2.8% | +2.1% | +84.7% | +199.9% |
| NXPINXP Semiconductors | Technology | 0.33% | 1.37 | 2021-03-31 | +1.3% | +1.9% | -5.0% | -19.9% | +1.4% | +5.9% | +2.9% |
| KEYSKeysight Technologies | Technology | 0.33% | 1.48 | 2024-07-31 | +1.4% | +2.3% | -4.0% | +1.0% | +1.4% | +61.0% | +96.0% |
| MRNAModerna | Healthcare | 0.33% | 1.54 | 2026-03-31 | -2.2% | +5.5% | +146.0% | +216.5% | +3.7% | +393.6% | +499.5% |
| COHRCoherent, Inc. | Technology | 0.32% | 2.75 | 2026-03-31 | +6.6% | +0.9% | -25.7% | -20.5% | +1.5% | +52.7% | +194.8% |
| FIXComfort Systems USA, Inc. | Industrials | 0.32% | 2.36 | 2025-12-31 | +1.9% | +6.0% | -4.9% | -6.3% | +4.2% | +72.8% | +122.9% |
| CIENCiena Corporation | Technology | 0.32% | 2.52 | 2026-02-27 | +1.1% | -15.2% | -22.2% | -26.2% | -16.1% | +37.3% | +174.6% |
| DALDelta Air Lines | Industrials | 0.30% | 1.19 | 2025-03-31 | +1.8% | +0.1% | -12.2% | +5.1% | +2.8% | +16.4% | +33.9% |
| COINCoinbase Global | Financial Services | 0.29% | 2.72 | 2025-05-30 | -4.2% | +3.4% | +20.2% | +19.9% | -1.8% | -18.4% | -39.8% |
| XYZBlock, Inc. | Technology | 0.29% | 1.47 | 2025-07-31 | -0.7% | -1.0% | +4.8% | +24.2% | +0.9% | +27.2% | +9.2% |
| ARESAres Management Corporation | Financial Services | 0.28% | 1.24 | 2025-12-31 | -1.0% | -1.7% | +2.4% | +10.3% | -2.1% | -11.2% | -19.3% |
| ROKRockwell Automation | Industrials | 0.28% | 0.90 | 2026-05-29 | +1.3% | +0.7% | -1.3% | -1.1% | +2.2% | +12.6% | +28.6% |
| VSTVistra Corp. | Utilities | 0.27% | 1.05 | 2024-07-31 | +3.5% | +8.9% | +6.2% | +7.9% | +8.7% | -7.2% | -20.9% |
| AXONAxon Enterprise | Industrials | 0.27% | 1.10 | 2026-08-31 NEW | -4.2% | -14.2% | -9.7% | +15.2% | -9.0% | -9.2% | -29.4% |
| FLEXFlex Ltd. | Technology | 0.24% | 2.75 | 2026-06-30 | +1.5% | -0.9% | -9.8% | -21.5% | +0.2% | +81.2% | +98.5% |
| MCHPMicrochip Technology | Technology | 0.23% | 1.84 | 2019-12-31 | +1.5% | +1.7% | -11.9% | -15.1% | +1.0% | +18.4% | +18.1% |
| ELEstée Lauder Companies (The) | Consumer Defensive | 0.22% | 0.89 | 2025-04-30 | +3.0% | +0.8% | +18.0% | +22.0% | +1.5% | +0.2% | +20.4% |
| NTAPNetApp | Technology | 0.21% | 0.76 | 2026-06-30 | +0.1% | -0.8% | -2.1% | +15.9% | +0.2% | +75.6% | +58.9% |
| UALUnited Airlines Holdings | Industrials | 0.21% | 1.78 | 2024-08-30 | +2.5% | +0.7% | -14.0% | +8.4% | +3.1% | -0.4% | +5.0% |
| EMEEMCOR Group, Inc. | Industrials | 0.19% | 1.58 | 2026-04-30 | +1.7% | +1.9% | -7.7% | -2.9% | +2.7% | +23.5% | +18.0% |
| CCLCarnival | Consumer Cyclical | 0.19% | 1.74 | 2020-03-31 | +0.1% | -5.1% | -18.9% | -9.0% | -1.6% | -21.8% | -24.8% |
| JBLJabil | Technology | 0.18% | 1.81 | 2024-03-28 | +1.5% | +3.0% | -9.0% | -11.8% | +1.7% | +36.3% | +49.5% |
| ONON Semiconductor | Technology | 0.17% | 2.39 | 2022-06-30 | +1.0% | +2.4% | -8.4% | -32.5% | +0.4% | +37.4% | +54.8% |
| RDDTReddit, Inc. | Communication Services | 0.17% | 1.74 | 2026-08-31 NEW | -1.0% | +0.9% | -4.5% | -10.3% | +4.5% | -32.8% | -33.5% |
| ECHOEchoStar Corporation | Communication Services | 0.15% | 0.90 | 2026-05-29 | +0.0% | +3.4% | -0.3% | -22.1% | +3.9% | -17.4% | +33.6% |
| QQnity Electronics, Inc. | Technology | 0.15% | 2.68 | 2026-08-31 NEW | +1.7% | +0.2% | -12.7% | -13.7% | +0.9% | +47.8% | — |
| SWSmurfit WestRock | Consumer Cyclical | 0.14% | 0.96 | 2026-05-29 | +1.3% | -5.1% | -4.2% | +18.7% | -2.3% | +22.1% | +3.5% |
| NRGNRG Energy | Utilities | 0.14% | 0.91 | 2025-01-31 | +6.4% | +7.1% | +0.8% | -1.0% | +8.1% | -24.5% | -18.6% |
| SMCISupermicro | Technology | 0.13% | 2.75 | 2024-03-28 | +4.5% | +6.8% | +27.2% | +35.3% | +6.2% | +35.3% | -2.7% |
| FSLRFirst Solar | Energy | 0.13% | 1.33 | 2026-04-30 | -1.4% | -0.0% | -18.2% | -18.0% | +1.3% | -21.7% | +1.3% |
| RLRalph Lauren Corporation | Consumer Cyclical | 0.12% | 0.71 | 2025-02-28 | +2.0% | -0.8% | -11.2% | -6.5% | +1.2% | -0.2% | +10.7% |
| LUVSouthwest Airlines | Industrials | 0.11% | 1.04 | 2025-04-30 | +2.3% | +0.4% | -15.4% | -3.4% | +3.3% | -2.9% | +29.6% |
| ZBRAZebra Technologies | Technology | 0.10% | 1.39 | 2025-04-30 | +1.5% | +1.8% | -3.6% | +67.3% | +2.6% | +49.4% | +16.5% |
| ALBAlbemarle Corporation | Basic Materials | 0.09% | 0.99 | 2021-03-31 | -4.5% | -8.1% | -3.7% | -14.0% | -6.4% | -10.3% | +61.5% |
| IVZInvesco | Financial Services | 0.09% | 1.28 | 2019-12-31 | +1.1% | +0.6% | +5.4% | +21.3% | +0.9% | +28.8% | +55.4% |
| SWKStanley Black & Decker | Industrials | 0.08% | 1.09 | 2025-04-30 | +0.9% | -0.4% | -6.3% | +25.7% | +1.0% | +33.9% | +34.7% |
| CRLCharles River Laboratories | Healthcare | 0.08% | 0.70 | 2025-04-30 | -1.7% | -1.0% | +7.8% | +54.9% | +0.1% | +44.6% | +77.8% |
| LIILennox International | Industrials | 0.08% | 0.90 | 2026-07-31 | +1.1% | -0.7% | -11.2% | -22.4% | +2.1% | -19.1% | -29.7% |
| ALGNAlign Technology | Healthcare | 0.07% | 0.88 | 2026-04-30 | -0.8% | +0.7% | -8.6% | -7.0% | -0.7% | +1.6% | +17.8% |
| GNRCGenerac | Industrials | 0.06% | 1.67 | 2025-11-28 | +2.4% | +1.9% | -11.7% | -21.6% | +1.1% | +37.4% | +5.1% |
| SWKSSkyworks Solutions | Technology | 0.06% | 1.08 | 2026-06-30 | +3.5% | +12.5% | +4.8% | +5.3% | +10.5% | +19.2% | +2.4% |
| APTVAptiv | Consumer Cyclical | 0.06% | 0.72 | 2026-03-31 | +3.0% | +4.8% | -3.2% | -26.5% | +7.1% | -37.0% | -40.4% |
| NCLHNorwegian Cruise Line Holdings | Consumer Cyclical | 0.04% | 1.62 | 2020-03-31 | -0.1% | -6.5% | -19.1% | -13.1% | -3.5% | -30.2% | -39.2% |
| BLDRBuilders FirstSource | Industrials | 0.04% | 1.21 | 2026-04-30 | +2.5% | -2.9% | -11.9% | -11.8% | -0.9% | -36.1% | -54.1% |
Bottom quintile: the lowest-scoring stocks, used as the equal-weighted short leg of the spread.
| APAAPA Corporation | Energy | -1.44 | 2026-04-30 | -3.2% | +0.5% | +13.7% | +13.4% | -0.9% | +79.0% | +88.8% |
|---|---|---|---|---|---|---|---|---|---|---|
| AWKAmerican Water Works | Utilities | -1.44 | 2024-11-29 | -0.1% | +1.7% | +4.7% | +12.0% | +1.8% | +10.1% | +2.1% |
| CFCF Industries | Basic Materials | -1.44 | 2026-03-31 | -3.2% | +6.0% | +17.2% | +22.7% | +2.5% | +75.0% | +61.7% |
| COPConocoPhillips | Energy | -1.44 | 2026-04-30 | -1.1% | +3.0% | +14.9% | +12.7% | +1.3% | +46.6% | +44.6% |
| CVXChevron Corporation | Energy | -1.44 | 2026-04-30 | -1.3% | +3.3% | +12.8% | +10.8% | +1.2% | +40.6% | +37.5% |
| DVNDevon Energy | Energy | -1.44 | 2026-04-30 | -1.5% | +1.5% | +11.8% | +3.9% | -0.9% | +32.8% | +38.6% |
| EDConsolidated Edison | Utilities | -1.44 | 2019-12-31 | -1.3% | -0.2% | +0.2% | +0.5% | +0.2% | +10.7% | +13.3% |
| EOGEOG Resources | Energy | -1.44 | 2026-04-30 | -0.5% | +1.3% | +7.8% | +4.3% | +0.2% | +41.7% | +23.6% |
| KRKroger | Consumer Defensive | -1.44 | 2019-12-31 | +0.1% | +1.5% | +4.0% | -8.5% | +1.8% | -4.6% | -11.7% |
| MOAltria | Consumer Defensive | -1.44 | 2024-07-31 | -0.9% | +0.3% | +0.8% | -4.4% | +0.6% | +23.3% | +10.5% |
| OXYOccidental Petroleum | Energy | -1.44 | 2026-04-30 | -0.9% | +1.6% | +7.4% | +5.1% | -0.2% | +47.4% | +31.5% |
| PGRProgressive Corporation | Financial Services | -1.44 | 2020-03-31 | -2.2% | +0.1% | +1.7% | +7.3% | +0.4% | +2.4% | -6.4% |
| XOMExxonMobil | Energy | -1.44 | 2026-04-30 | -1.7% | +1.8% | +4.9% | +6.6% | -0.9% | +35.2% | +46.0% |
| OKEONEOK | Energy | -1.42 | 2026-04-30 | -0.3% | +0.7% | +10.4% | +6.6% | -0.6% | +34.8% | +35.3% |
| ERIEErie Indemnity | Financial Services | -1.41 | 2025-11-28 | -2.2% | -2.9% | +0.1% | +9.6% | -1.1% | -10.3% | -23.3% |
| FANGDiamondback Energy | Energy | -1.39 | 2026-04-30 | -1.8% | +0.8% | +6.5% | +1.9% | -0.6% | +34.8% | +42.9% |
| WMWaste Management | Industrials | -1.35 | 2025-04-30 | -1.2% | -0.3% | -3.8% | -2.4% | +0.0% | +0.5% | -1.1% |
| RSGRepublic Services | Industrials | -1.34 | 2025-05-30 | -1.1% | +0.3% | +3.8% | +5.1% | +0.8% | +6.0% | -3.7% |
| ALLAllstate | Financial Services | -1.33 | 2026-04-30 | -1.4% | +0.0% | -2.4% | +16.7% | +0.7% | +26.5% | +27.0% |
| CBChubb Limited | Financial Services | -1.33 | 2023-02-28 | -1.9% | +0.5% | -2.5% | +3.6% | +0.9% | +10.1% | +23.6% |
| TMUST-Mobile US | Communication Services | -1.33 | 2025-03-31 | -3.5% | +0.1% | +3.0% | -1.6% | +0.6% | -9.2% | -26.5% |
| TAT&T | Communication Services | -1.32 | 2020-09-30 | -2.0% | -1.3% | +7.9% | +12.1% | -0.9% | +7.0% | -9.2% |
| VRSKVerisk Analytics | Industrials | -1.32 | 2024-08-30 | -2.5% | -3.1% | -3.1% | +1.7% | -4.1% | -16.5% | -30.6% |
| BROBrown & Brown | Financial Services | -1.31 | 2025-10-31 | -1.6% | -2.6% | +0.2% | +18.9% | -1.0% | -9.7% | -24.5% |
| LYBLyondellBasell | Basic Materials | -1.30 | 2026-05-29 | -1.9% | -0.2% | +7.7% | -1.5% | -2.4% | +51.6% | +24.3% |
| CBOECboe Global Markets | Financial Services | -1.29 | 2022-11-30 | -0.0% | -3.6% | +4.4% | -0.6% | -0.6% | +19.8% | +28.7% |
| AJGArthur J. Gallagher & Co. | Financial Services | -1.28 | 2025-01-31 | -1.5% | -1.8% | +5.9% | +19.3% | +0.2% | +2.2% | -11.5% |
| CMECME Group | Financial Services | -1.27 | 2022-08-31 | -0.3% | -1.6% | +6.7% | +6.6% | -1.5% | +6.0% | +9.3% |
| MKCMcCormick & Company | Consumer Defensive | -1.27 | 2019-12-31 | -0.9% | -5.9% | -1.7% | +5.8% | -4.0% | -22.2% | -23.3% |
| WRBW. R. Berkley Corporation | Financial Services | -1.27 | 2022-10-31 | -0.5% | +1.0% | -3.4% | +2.4% | +2.3% | -0.4% | -2.6% |
| ACGLArch Capital Group | Financial Services | -1.26 | 2026-03-31 | -1.7% | -0.8% | -0.4% | +7.4% | +0.0% | +2.3% | +6.4% |
| DUKDuke Energy | Utilities | -1.26 | 2021-03-31 | -1.0% | -0.0% | -2.9% | -3.0% | +0.3% | +5.2% | +2.9% |
| GISGeneral Mills | Consumer Defensive | -1.26 | 2019-12-31 | -2.5% | -7.8% | +3.8% | +15.2% | -7.1% | -13.6% | -18.0% |
| MRSHMarsh & McLennan Companies, Inc. | Financial Services | -1.25 | 2024-02-29 | -1.4% | -3.6% | -3.1% | +11.8% | -2.1% | +1.7% | -8.0% |
| VZVerizon | Communication Services | -1.24 | 2019-12-31 | -0.9% | +0.1% | +6.5% | +8.6% | +0.2% | +29.3% | +21.2% |
| KOCoca-Cola Company (The) | Consumer Defensive | -1.22 | 2021-06-30 | -0.8% | -1.8% | +1.2% | +6.0% | -0.7% | +27.7% | +32.7% |
| MCKMcKesson Corporation | Healthcare | -1.22 | 2022-06-30 | -1.5% | +1.7% | +4.5% | +15.0% | +2.7% | +11.0% | +31.8% |
| SJMJ.M. Smucker Company (The) | Consumer Defensive | -1.22 | 2019-12-31 | -1.9% | -4.7% | +5.9% | +8.7% | -3.9% | +32.9% | +16.9% |
| VLOValero Energy | Energy | -1.22 | 2026-05-29 | +0.0% | +5.2% | +24.3% | +44.2% | +3.3% | +131.1% | +143.6% |
| PEPPepsiCo | Consumer Defensive | -1.21 | 2021-03-31 | -0.7% | -1.4% | +0.1% | -3.6% | -0.9% | -1.2% | -1.6% |
| PSXPhillips 66 | Energy | -1.19 | 2026-05-29 | +0.2% | +4.5% | +25.8% | +41.1% | +3.5% | +101.8% | +99.6% |
| SOSouthern Company | Utilities | -1.19 | 2021-04-30 | -0.7% | -0.2% | -4.2% | -5.5% | +0.1% | +3.5% | -0.9% |
| TAPMolson Coors Beverage Company | Consumer Defensive | -1.19 | 2025-04-30 | -0.2% | -2.3% | -5.5% | +0.2% | +1.9% | -10.3% | -14.4% |
| EXCExelon | Utilities | -1.18 | 2023-10-31 | -1.1% | +0.3% | -3.4% | -3.4% | +0.8% | +2.9% | +4.4% |
| AONAon | Financial Services | -1.16 | 2024-09-30 | -1.2% | -9.1% | -9.8% | -3.7% | +0.5% | -7.8% | -12.7% |
| MDLZMondelez International | Consumer Defensive | -1.14 | 2020-04-30 | -0.3% | -1.7% | -2.1% | -3.7% | -1.3% | +15.8% | +4.1% |
| CORCencora | Healthcare | -1.12 | 2022-01-31 | -1.9% | +2.8% | +3.5% | +17.9% | +2.3% | -1.4% | +13.9% |
| JNJJohnson & Johnson | Healthcare | -1.12 | 2019-12-31 | -1.1% | +2.7% | +6.7% | +16.0% | +3.5% | +35.1% | +57.4% |
| VTRVentas | Real Estate | -1.12 | 2025-04-30 | -2.0% | -1.7% | -3.3% | +7.6% | -1.0% | +18.1% | +36.7% |
| TRGPTarga Resources | Energy | -1.10 | 2026-05-29 | -1.2% | +0.8% | +12.9% | +6.9% | -1.2% | +59.5% | +77.9% |
| CNPCenterPoint Energy | Utilities | -1.09 | 2024-11-29 | -0.8% | +1.1% | -1.9% | -6.6% | +0.2% | +5.2% | +8.3% |
| ATOAtmos Energy | Utilities | -1.08 | 2023-11-30 | -0.9% | +0.5% | -0.9% | -0.4% | +0.9% | +1.7% | +4.0% |
| PMPhilip Morris International | Consumer Defensive | -1.08 | 2024-08-30 | -2.0% | -4.9% | -3.7% | +0.6% | -2.5% | +15.8% | +17.4% |
| AFLAflac | Financial Services | -1.07 | 2026-04-30 | -1.0% | +0.6% | -5.5% | +0.6% | +1.2% | +8.0% | +10.2% |
| CMSCMS Energy | Utilities | -1.07 | 2019-12-31 | -0.2% | +0.4% | -3.6% | -6.0% | +0.6% | +0.2% | -1.3% |
| AMTAmerican Tower | Real Estate | -1.06 | 2024-09-30 | -1.1% | -0.2% | +1.9% | -7.8% | +0.1% | +1.1% | -7.3% |
| CLColgate-Palmolive | Consumer Defensive | -1.06 | 2019-12-31 | -1.5% | -2.2% | -4.8% | -0.8% | -1.2% | +14.4% | +8.8% |
| COSTCostco | Consumer Defensive | -1.05 | 2026-03-31 | -1.0% | -3.1% | -3.4% | -6.7% | -3.0% | +6.7% | -3.6% |
| DGXQuest Diagnostics | Healthcare | -1.05 | 2020-02-28 | -0.9% | -2.3% | -0.5% | +16.9% | -1.3% | +38.4% | +34.0% |
| HSYHershey Company (The) | Consumer Defensive | -1.05 | 2020-04-30 | -1.1% | -3.3% | -4.3% | -1.2% | -1.7% | -2.7% | -3.7% |
| KMIKinder Morgan | Energy | -1.04 | 2026-04-30 | -0.6% | -0.5% | +1.8% | -0.4% | -2.6% | +17.5% | +22.3% |
| PNWPinnacle West | Utilities | -1.04 | 2023-09-29 | -0.5% | -0.1% | -3.5% | -4.5% | -0.1% | +13.0% | +13.5% |
| MPCMarathon Petroleum | Energy | -1.02 | 2026-05-29 | +0.3% | +5.4% | +30.8% | +48.1% | +4.2% | +141.9% | +120.9% |
| WECWEC Energy Group | Utilities | -1.02 | 2019-12-31 | -0.7% | -0.3% | -0.7% | -6.3% | -0.2% | +3.0% | +1.9% |
| WTWWillis Towers Watson | Financial Services | -1.02 | 2023-11-30 | -2.1% | -2.6% | -2.9% | +27.3% | -1.1% | +2.6% | +2.8% |
| TRVTravelers Companies (The) | Financial Services | -1.01 | 2026-06-30 | -1.3% | -0.1% | -3.9% | +21.8% | +0.9% | +28.3% | +34.3% |
| AEEAmeren | Utilities | -1.00 | 2023-10-31 | +0.1% | +0.3% | -2.2% | -2.1% | +0.4% | +8.1% | +8.5% |
| HRLHormel Foods | Consumer Defensive | -0.99 | 2019-12-31 | -0.7% | -0.1% | -13.9% | -10.3% | -1.4% | -5.5% | -10.2% |
| CASYCasey's General Stores, Inc. | Consumer Cyclical | -0.98 | 2026-06-30 | -0.3% | +0.1% | -9.3% | -17.4% | +0.5% | +37.1% | +52.3% |
| FEFirstEnergy | Utilities | -0.98 | 2023-10-31 | -0.6% | +1.9% | -1.5% | +1.7% | +2.0% | +7.6% | +11.9% |
| HIGHartford (The) | Financial Services | -0.98 | 2026-07-31 | -1.2% | +0.3% | -3.0% | +7.5% | +1.2% | +1.8% | +4.6% |
| ABBVAbbVie | Healthcare | -0.97 | 2026-06-30 | -1.5% | +0.3% | +4.2% | +14.8% | -0.0% | +14.8% | +24.1% |
| CAHCardinal Health | Healthcare | -0.97 | 2025-10-31 | -0.6% | +5.4% | +4.6% | +14.5% | +5.3% | +21.1% | +67.2% |
| LNTAlliant Energy | Utilities | -0.97 | 2024-01-31 | -0.0% | -0.1% | -2.0% | -6.2% | -0.0% | +7.0% | +8.3% |
| CHDChurch & Dwight | Consumer Defensive | -0.96 | 2019-12-31 | -0.0% | -2.7% | -4.3% | +0.7% | -1.2% | +18.6% | +4.8% |
| DDominion Energy | Utilities | -0.96 | 2024-08-30 | -0.4% | +1.5% | -1.3% | -0.4% | +0.8% | +15.9% | +18.1% |
| WMTWalmart | Consumer Defensive | -0.96 | 2026-04-30 | -1.2% | +3.9% | -4.0% | -10.9% | +2.2% | -3.2% | +7.0% |
| JKHYJack Henry & Associates | Technology | -0.94 | 2026-07-31 | -1.6% | -2.4% | +6.2% | +30.3% | -1.4% | -8.2% | +4.2% |
| PGProcter & Gamble | Consumer Defensive | -0.94 | 2019-12-31 | -0.3% | +1.8% | +0.4% | -1.0% | +0.9% | +4.5% | -5.3% |
| AEPAmerican Electric Power | Utilities | -0.93 | 2024-07-31 | -0.2% | +1.8% | -0.2% | -2.4% | +1.7% | +10.4% | +18.2% |
| KHCKraft Heinz | Consumer Defensive | -0.92 | 2021-09-30 | -0.7% | -1.8% | -0.3% | +5.0% | -1.7% | +7.8% | -1.5% |
| MCDMcDonald's | Consumer Cyclical | -0.92 | 2025-02-28 | -1.5% | -2.8% | -6.2% | -8.8% | -2.3% | -14.7% | -17.3% |
| ORealty Income | Real Estate | -0.92 | 2024-09-30 | -0.8% | -0.8% | -1.6% | -0.1% | -0.1% | +12.5% | +10.8% |
| PPLPPL Corporation | Utilities | -0.92 | 2024-01-31 | +0.0% | +2.7% | -1.0% | -1.3% | +2.9% | +1.8% | -0.8% |
| ADMArcher Daniels Midland | Consumer Defensive | -0.91 | 2026-04-30 | +0.3% | +3.8% | +11.2% | +4.8% | +4.1% | +50.2% | +40.6% |
| EVRGEvergy | Utilities | -0.91 | 2021-04-30 | -0.5% | +1.1% | -1.4% | -0.7% | +0.6% | +15.3% | +17.9% |
| TSNTyson Foods | Consumer Defensive | -0.91 | 2026-06-30 | -0.7% | -6.3% | -10.6% | -7.5% | -5.9% | -10.0% | -5.2% |
| VICIVici Properties | Real Estate | -0.91 | 2026-06-30 | -0.9% | -1.7% | -4.9% | -9.0% | -0.9% | -6.6% | -19.2% |
| ADPAutomatic Data Processing | Industrials | -0.90 | 2026-07-31 | -2.1% | -3.4% | +2.3% | +21.0% | -3.0% | +9.6% | -5.3% |
| BGBunge Global | Consumer Defensive | -0.90 | 2026-08-31 NEW | -1.2% | +2.8% | +10.2% | -6.8% | +2.1% | +35.7% | +50.1% |
| DOWDow Inc. | Basic Materials | -0.90 | 2026-08-31 NEW | -3.0% | -2.4% | +1.5% | -13.0% | -3.5% | +30.2% | +29.2% |
| BF-BBrown–Forman | Consumer Defensive | -0.89 | 2026-07-31 | -2.8% | -1.0% | -5.5% | +1.6% | +1.4% | +5.3% | -1.9% |
| DTEDTE Energy | Utilities | -0.89 | 2021-05-28 | -0.7% | +0.2% | -2.7% | -6.1% | +0.3% | +7.2% | +3.1% |
| WELLWelltower | Real Estate | -0.89 | 2025-04-30 | -2.1% | -0.8% | +0.1% | +12.2% | -0.0% | +28.6% | +42.9% |
| XELXcel Energy | Utilities | -0.89 | 2023-10-31 | -0.8% | -0.9% | -3.0% | -2.3% | +0.0% | +4.0% | +8.1% |
| EGEverest Group | Financial Services | -0.88 | 2026-07-31 | -1.4% | +0.9% | +1.6% | +13.9% | +1.7% | +13.6% | +12.4% |
| FDSFactSet | Financial Services | -0.88 | 2026-07-31 | -3.5% | -1.9% | +6.1% | +21.7% | -3.7% | +5.5% | -16.8% |
| KMBKimberly-Clark | Consumer Defensive | -0.87 | 2019-12-31 | -1.6% | -3.0% | -3.2% | +4.6% | -1.6% | +8.1% | -13.7% |
| PAYXPaychex | Industrials | -0.87 | 2026-08-31 NEW | -2.7% | -4.2% | +1.4% | +21.6% | -4.4% | +12.2% | -7.5% |
| VRSNVerisign | Technology | -0.87 | 2026-06-30 | -0.4% | +0.1% | -0.5% | +1.7% | +1.3% | +21.3% | +6.7% |
Score is the cross-sectional z-score at rebalance. “Since” marks the start of the stock’s current uninterrupted run in that book. A missing long weight means no usable market cap at rebalance; the name remains in the equal-weighted spread leg. Individual stock returns are descriptive, not portfolio attribution.
How High beta is defined
Ranked by regression beta against SPY over the trailing 252 trading days. A higher beta means greater historical sensitivity to the market, not necessarily a higher return.
Raw metrics are winsorized at the 2.5th and 97.5th percentiles, then standardized within the point-in-time universe. Stocks are split into five groups at each month-end rebalance.
The long portfolio holds the top quintile, weighted by market capitalization with a 5% name cap at rebalance. The Q5 − Q1 spread uses equal weights on both sides. Holdings drift with prices between rebalances.
First rebalance: 2019-12-31. The 5-day z-score compares the latest relative move with the prior 252 overlapping 5-day moves.
Read the full methodology →Sector exposure
Long portfolio / S&P 500 benchmark
Technology55.8% / 37.0%
Consumer Cyclical11.5% / 9.5%
Communication Services10.9% / 10.3%
Financial Services9.7% / 12.6%
Industrials7.1% / 7.4%
Utilities2.4% / 2.3%
Basic Materials1.9% / 1.6%
Healthcare0.5% / 9.2%
Consumer Defensive0.2% / 5.0%
Energy0.1% / 3.4%
Monthly portfolio changes
The last 12 rebalances of the long book. Turnover is the share of names newly added.
2026-08-31 4 added · 4 dropped
Added AXON, PANW, Q, RDDT
Dropped IR, LULU, RVTY, TPR
2026-07-31 2 added · 2 dropped
Added LII, TXN
Dropped TRMB, WSM
2026-06-30 6 added · 6 dropped
Added FLEX, GOOGL, MRVL, NEM, NTAP, SWKS
Dropped BAX, EXPE, IDXX, PYPL, STLD, SYF
2026-05-29 7 added · 7 dropped
Added BAX, CRWD, ECHO, PWR, ROK, STLD, SW
Dropped APO, DDOG, DECK, GPN, ODFL, SWKS, TECH
2026-04-30 16 added · 16 dropped
Added ALGN, BLDR, CAT, CRH, DDOG, DECK, EME, FSLR, IDXX, IR, LULU, MS, ODFL, PYPL, TECH, TEL
Dropped AAPL, ABNB, APA, AXP, BBY, CPAY, CRWD, DD, DOW, ECHO, GEHC, MGM, NTAP, TTD, TXN, WBD
2026-03-31 8 added · 8 dropped
Added APTV, CMI, COHR, GEHC, LITE, MRNA, RVTY, VRT
Dropped DDOG, EME, EPAM, LYB, MS, NOW, PYPL, TPL
2026-02-27 7 added · 7 dropped
Added ABNB, C, CIEN, DDOG, EMR, GLW, PYPL
Dropped DECK, DVN, GEHC, HAL, MRNA, PH, URI
2026-01-30 4 added · 4 dropped
Added DVN, HAL, LYB, NTAP
Dropped ABNB, ALGN, DDOG, GLW
2025-12-31 5 added · 5 dropped
Added ARES, CVNA, FIX, GLW, SNDK
Dropped CFG, DVN, NTAP, PYPL, SW
2025-11-28 5 added · 5 dropped
Added GEHC, GNRC, MRNA, PYPL, SW
Dropped EMR, HWM, KEY, NUE, STLD
2025-10-31 4 added · 4 dropped
Added DVN, HWM, NUE, STLD
Dropped C, DAY, ISRG, MRNA
2025-09-30 5 added · 5 dropped
Added APP, EME, HOOD, MRNA, TPR
Dropped CZR, DVN, HBAN, HWM, NUE