Performance

Big Banks +8.61%

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RETURNS	1D	YTD	1Y	5Y Ann.	Max DD	Sharpe	Div. Yield
Big Banks	-1.49%	-2.43%	+8.61%	+14.87%	-17.32%	0.28	2.13%

BAC	-1.02%	-8.18%	-2.61%	+4.03%	-21.85%	-0.22	2.29%
C	-1.54%	+3.15%	+21.96%	+16.34%	-16.78%	0.68	2.05%
WFC	-0.75%	-12.03%	-3.24%	+13.04%	-23.02%	-0.18	2.25%
GS	-1.75%	-2.83%	+13.03%	+19.56%	-23.62%	0.41	2.06%
MS	-2.44%	+0.30%	+10.56%	+16.03%	-21.48%	0.34	2.31%
JPM	-1.47%	+3.84%	+11.12%	+17.56%	-15.47%	0.39	1.85%

Summary

Big Banks at a glance

Big Banks returned +8.61% over the past year and +14.87% a year over five years. Its worst drop in that year was -17.32%, smaller than 22% of portfolios on Redstone, and its Sharpe ratio of 0.28 beats 35% of portfolios on Redstone. It yields 2.13%.

Ranking

How Big Banks ranks

1Y Return Rank

5Y Return Rank

Sharpe Ratio Rank

Max Drawdown Rank

Volatility Rank

Dividend Yield Rank

Current Drawdown

-13.91%

Rolling Volatility

+1.07%

METRICS

Correlation Matrix

	BAC	C	GS	JPM	MS	WFC
BAC	1.00	0.72	0.57	0.74	0.66	0.77
C	0.72	1.00	0.66	0.66	0.75	0.68
GS	0.57	0.66	1.00	0.61	0.86	0.45
JPM	0.74	0.66	0.61	1.00	0.62	0.72
MS	0.66	0.75	0.86	0.62	1.00	0.54
WFC	0.77	0.68	0.45	0.72	0.54	1.00

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Portfolio

Allocation

6 Assets

JPM

BAC

WFC

Metrics

Risk Indicators

Alpha-2.21%

Beta1.09x

Sharpe0.28

Sortino0.39

Omega1.05

Calmar0.50

Martin0.97

Portfolios

Big Banks: returns, risk and holdings

Big Banks at a glance

How Big Banks ranks

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