Individual Assignment: Text Analytics
Dr Nikolaos Korfiatis (n.korfiatis@warwick.ac.uk)
Associate Professor of Business Analytics Warwick Business School, MSc in Business Analytics
Instructions
Please read the instructions carefully and discuss with your colleagues and provide an outline of your approach. Clarifications and/or any questions will be provided/answered explicitly through the module forum at my.WBS.
1
1. Overview and Pedagogical Goal
The goal of this assignment is to familiarize you with the complete process of extracting, refining and delivering insights of particular financial value that are extracted from unstructured data of non- conventional size from company reports. This is an individual assignment where you are supposed to work alone in order to extract insights from company financial statements filed at the Electronic Data Gathering, Analysis, and Retrieval system used at the U.S. Securities and Exchange Commission (SEC). The assignment maps to level 7 qualification level and aims to establish your ability to handle the development of in-depth and original solutions to a domain specific problem of a high business value.
The assignment is structured in three (3) parts. The first part (Part A) covers your ability to construct and demonstrate the handling of text data. It aims to familiarize you with the principles of text mining, the bag- of-words model and the development of metrics that can be used to analyse structural elements of text, such as normalizing and cleaning textual corpora. The core of this assignment involves the translation of these insights to actionable features that can be used to predict an outcome variable of financial interest: the stock price value. Threfore the second and third parts (Part B and Part C) are concerned with the identification of features and in particular (a) polarity – whether the text under consideration is positive or negative, (b) sentiment – the extraction of affective states from the text and (c) the evaluation and extraction of important topics that are covered and elaborated in the quarterly and annual financial reports (10-Q, 10-K) and the predictability of these insights on a company, sector and market level (Part C).
2. Marking Criteria and Weights
The marking criteria for all parts of the assignment are as follows:
• Part A: 30% – Completeness of the solution, efficiency of the code, interpretation of the results.
• Part B: 35% – Completeness of the solution, efficiency of the code, interpretation of the results.
• Part C: 35% – Completeness of the solution, efficiency of the code, interpretation of the results.
3. Feedback
Feedback will be provided in individual sessions upon request with points for further improvement.
4. Submission Instructions
Deadline for the assignment is the midday of 15/04/2019 (12:00).
The assignment solutions should be submitted as one-file pdf document containing both the narrative for
2
each part as well as the code in the form of a compiled R markdown notebook in html. The student shall combine all files in a zip file with the following naming format:
student_number.zip
Part A: Construction of Corpus – Fetching 10-Q and 10-K forms from EDGAR
The S&P 500 stock market index, maintained by S&P Dow Jones Indices, comprises currently by 505 common stocks issued by 500 companies of large capitalization and traded on the New York Stock Exchange (including the 30 companies that compose the Dow Jones Industrial Average). The index covers about 80 percent of the American equity market by capitalization. All companies are required by law to file quarterly and annual reports through the Electronic Data Gathering, Analysis, and Retrieval system (EDGAR) used at the U.S. Securities and Exchange Commission (SEC).
The publicly available page of EDGAR is provided at:
https://www.sec.gov/edgar.shtml
Each company files a report using an XML archetypal format, commonly known as Standard Generalized Markup Language (SGML) using a specialized interface which indexes them by filing period (quarter/year) and a unique identifier known as Central Index Key (CIK). The later is by definition of 10 digits in length with preceding zeros when needed. The list of current companies, their CIK codes and Stock Ticker Symbol can be obtained from the accompanying table in the appendix.
For the complete list of companies in the S&P 500 (See Appendix) you need to download the 10-K and 10-Q forms for the period between 2009 and 2019.
You need to develop a normalization strategy that will remove the standard parts of the 10-K and 10-Q form and enable the text for further analysis such as stop-word removal. You need to provide outlines of TF-IDF weights for important keywords across (a) industry level using the MSCI Global Industry Classification Standard (GICS) and (c) Market level.
No other files are going to be considered. It is your responsibility to comply with the requirements of the submission, otherwise this will have repercussions for marking.
3
Part B: Sentiment association with Financial Indicators
Using polarity and sentiment you are asked to demonstrate how text derived features connect with the stock price. You can use different aspects of sentiment such as affection categorization as well as the use of context specific keywords. For achieving that you can use several different dictionaries such as the Loughran-McDonald, AFIN, NRC, Wordnet Affect etc. For all cases a regression model should be used to evaluate the predictability of the stock price at the time of the report against the variables obtained from the sentiment analysis part using the related material discussed in the labs. The deliverable for this part needs to be done at (a) company level, (b) industry level using the MSCI Global Industry Classification Standard (GICS) and (c) Market level.
Part C: Topic Modelling and Latent Dirichlet allocation
Using a topic model across the MSCI levels you are requested to provide an analysis of the topics that become dominant using both the unsupervised and supervised approach. Your analysis should focus on finding which topics become important across time as well as how the characteristics of particular industries are more likely to influence a dominance of different themes in a 10-Q and 10-K form.
There are two corpora that need to be evaluated for topic models. The first will consider annual reports (10-K forms) and the second quarterly reports.
Your topic solution should evaluate among others:
a. The number of topics that need to be created for the particular corpus.
b. The semantic coherence of the word-topic associations that are going to be created.
c. The additive predictability that some topics add on estimating the stock price.
All solutions need to be properly described and articulated by providing the relevant fragments of code.
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Appendix: List of Constituent Companies of the S&P 500
Symbol Security
MMM 3M Company
ABT Abbott Laboratories
ABBV AbbVie Inc.
ABMD ABIOMED Inc
ACN Accenture plc
ATVI Activision Blizzard
ADBE Adobe Systems Inc
AMD Advanced Micro Devices Inc AAP Advance Auto Parts
AES AES Corp
AFL AFLAC Inc
A Agilent Technologies Inc APD Air Products & Chemicals Inc AKAM Akamai Technologies Inc
ALK Alaska Air Group Inc
ALB Albemarle Corp
ARE Alexandria Real Estate Equities ALXN Alexion Pharmaceuticals
ALGN Align Technology
ALLE Allegion AGN Allergan, plc
ADS Alliance Data Systems LNT Alliant Energy Corp ALL Allstate Corp
GOOGL Alphabet Inc Class A GOOG Alphabet Inc Class C
MO Altria Group Inc AMZN Amazon.com Inc. AMCR Amcor plc
AEE Ameren Corp
GICS Sector
Industrials
Health Care
Health Care
Health Care
Information Technology Communication Services Information Technology Information Technology Consumer Discretionary Utilities
GICS Sub Industry
Industrial Conglomerates
Health Care Equipment
Pharmaceuticals
Health Care Equipment
IT Consulting & Other Services
Interactive Home Entertainment
Application Software
Semiconductors
Automotive Retail
Independent Power Producers & Energy Traders
Life & Health Insurance
Health Care Equipment
Industrial Gases
Internet Services & Infrastructure
Airlines
Specialty Chemicals
Office REITs
Biotechnology
Health Care Supplies
Building Products
Pharmaceuticals
Data Processing & Outsourced Services
Electric Utilities
Property & Casualty Insurance
Interactive Media & Services
Interactive Media & Services
Tobacco
Internet & Direct Marketing Retail Paper Packaging
Multi-Utilities
CIK
66740
1800
1551152
815094
1467373
718877
796343
2488
1158449
874761
4977
1090872
2969
1086222
766421
915913
1035443
899866
1097149
1579241
1578845
1101215
352541
899051
1652044
1652044
764180
1018724
1748790
1002910
Financials
Health Care
Materials
Information
Industrials
Materials
Real Estate
Health Care
Health Care
Industrials
Health Care
Information
Utilities
Financials Communication Services Communication Services Consumer Staples Consumer Discretionary Materials
Utilities
Technology
Technology
5
AAL American Airlines Group AEP American Electric Power AXP American Express Co
AIG American International Group AMT American Tower Corp.
AWK American Water Works Company Inc AMP Ameriprise Financial
ABC AmerisourceBergen Corp
AME AMETEK Inc.
AMGN Amgen Inc.
APH Amphenol Corp ADI Analog Devices, Inc. ANSS ANSYS
ANTM Anthem
AON Aon plc
AOS A.O. Smith Corp
APA Apache Corporation
AIV Apartment Investment & Management
AAPL Apple Inc.
AMAT Applied Materials Inc.
APTV Aptiv PLC
ADM Archer-Daniels-Midland Co ARNC Arconic Inc.
ANET Arista Networks
AJG Arthur J. Gallagher & Co. AIZ Assurant
ATO Atmos Energy Corp
T AT&T Inc.
ADSK Autodesk Inc.
ADP Automatic Data Processing
AZO AutoZone Inc
AVB AvalonBay Communities, Inc.
AVY Avery Dennison Corp
BKR Baker Hughes Co
Industrials
Utilities
Financials
Financials
Real Estate
Utilities
Financials
Health Care
Industrials
Health Care Information Information Information
Health Care
Financials
Industrials
Energy
Real Estate
Information Information
Consumer Discretionary Consumer Staples Industrials
Information Technology Financials
Financials
Utilities
Communication Services Information Technology Information Technology Consumer Discretionary Real Estate
Materials Energy
Airlines 6201
Technology Technology Technology
Electric Utilities
Consumer Finance
Property & Casualty Insurance
Specialized REITs
Water Utilities
Asset Management & Custody Banks
Health Care Distributors
Electrical Components & Equipment
Biotechnology
Electronic Components
Semiconductors
Application Software
Managed Health Care
Insurance Brokers
Building Products
Oil & Gas Exploration & Production
Residential REITs
Technology Hardware, Storage & Peripherals
Semiconductor Equipment
Auto Parts & Equipment
Agricultural Products
Aerospace & Defense
Communications Equipment
Insurance Brokers
Multi-line Insurance
Gas Utilities
Integrated Telecommunication Services
Application Software
Internet Services & Infrastructure
Specialty Stores
Residential REITs
Paper Packaging
Oil & Gas Equipment & Services
4904
4962
5272
1053507
1410636
820027
1140859
1037868
318154
820313
6281
1013462
1156039
315293
91142
6769
922864
320193
6951
1521332
7084
4281
1596532
354190
1267238
731802
732717
769397
8670
866787
915912
8818
1701605
Technology Technology
6
BLL BAC BK BAX BDX BRK.B BBY BIIB BLK BA BKNG BWA BXP BSX BMY
A VGO BR BF.B
CHRW COG
CDNS CPB COF
CPRI CAH KMX
CCL CAT CBOE CBRE
CDW CE
CNC
CNP
Ball Corp
Bank of America Corp
The Bank of New York Mellon Corp. Baxter International Inc.
Becton Dickinson
Berkshire Hathaway
Best Buy Co. Inc.
Biogen Inc.
BlackRock
Boeing Company
Booking Holdings Inc
BorgWarner
Boston Properties
Boston Scientific
Bristol-Myers Squibb
Broadcom Inc.
Broadridge Financial Solutions Brown-Forman Corp.
C. H. Robinson Worldwide
Cabot Oil & Gas
Cadence Design Systems
Campbell Soup
Capital One Financial
Capri Holdings
Cardinal Health Inc.
Carmax Inc
Carnival Corp.
Caterpillar Inc.
Cboe Global Markets
CBRE Group
CDW
Celanese
Centene Corporation
CenterPoint Energy
Materials
Financials
Financials
Health Care
Health Care
Financials
Consumer Discretionary Health Care
Financials
Industrials
Consumer Discretionary Consumer Discretionary Real Estate
Health Care
Health Care Information Technology Information Technology Consumer Staples Industrials
Energy
Information Technology Consumer Staples Financials
Consumer Discretionary Health Care
Consumer Discretionary Consumer Discretionary Industrials
Financials
Real Estate
Information Technology Materials
Health Care
Utilities
Metal & Glass Containers
Diversified Banks
Asset Management & Custody Banks
Health Care Equipment
Health Care Equipment
Multi-Sector Holdings
Computer & Electronics Retail
Biotechnology
Asset Management & Custody Banks
Aerospace & Defense
Internet & Direct Marketing Retail
Auto Parts & Equipment
Office REITs
Health Care Equipment
Health Care Distributors
Semiconductors
Data Processing & Outsourced Services
Distillers & Vintners
Air Freight & Logistics
Oil & Gas Exploration & Production
Application Software
Packaged Foods & Meats
Consumer Finance
Apparel, Accessories & Luxury Goods
Health Care Distributors
Specialty Stores
Hotels, Resorts & Cruise Lines
Construction Machinery & Heavy Trucks
Financial Exchanges & Data
Real Estate Services
Technology Distributors
Specialty Chemicals
Managed Health Care
Multi-Utilities
9389
70858
1390777
10456
10795
1067983
764478
875045
1364742
12927
1075531
908255
1037540
885725
14272
1730168
1383312
14693
1043277
858470
813672
16732
927628
1530721
721371
1170010
815097
18230
1374310
1138118
1402057
1306830
1071739
1130310
7
CTL CERN CF SCHW CHTR CVX CMG CB CHD CI XEC CINF CTAS CSCO C
CFG CTXS CLX
CME CMS
KO CTSH CL
CMCSA CMA CAG
CXO COP ED STZ
COO CPRT
GLW
CTV A
CenturyLink Inc
Cerner
CF Industries Holdings Inc Charles Schwab Corporation Charter Communications Chevron Corp.
Chipotle Mexican Grill
Chubb Limited
Church & Dwight
CIGNA Corp.
Cimarex Energy
Cincinnati Financial
Cintas Corporation
Cisco Systems
Citigroup Inc.
Citizens Financial Group
Citrix Systems
The Clorox Company
CME Group Inc.
CMS Energy
Coca-Cola Company
Cognizant Technology Solutions Colgate-Palmolive
Comcast Corp.
Comerica Inc.
Conagra Brands
Concho Resources ConocoPhillips
Consolidated Edison Constellation Brands
The Cooper Companies
Copart Inc
Corning Inc.
Corteva
Communication Services Health Care
Materials
Financials Communication Services Energy
Consumer Discretionary Financials
Consumer Staples Health Care
Energy
Financials
Industrials
Information Technology Financials
Financials
Information Technology Consumer Staples Financials
Utilities
Consumer Staples Information Technology Consumer Staples Communication Services Financials
Consumer Staples Energy
Energy
Utilities
Consumer Staples Health Care
Industrials
Information Technology Materials
Alternative Carriers
Health Care Technology
Fertilizers & Agricultural Chemicals
Investment Banking & Brokerage
Cable & Satellite
Integrated Oil & Gas
Restaurants
Property & Casualty Insurance
Household Products
Managed Health Care
Oil & Gas Exploration & Production
Property & Casualty Insurance
Diversified Support Services
Communications Equipment
Diversified Banks
Regional Banks
Application Software
Household Products
Financial Exchanges & Data
Multi-Utilities
Soft Drinks
IT Consulting & Other Services
Household Products
Cable & Satellite
Diversified Banks
Packaged Foods & Meats
Oil & Gas Exploration & Production
Oil & Gas Exploration & Production
Electric Utilities
Distillers & Vintners
Health Care Supplies
Diversified Support Services
Electronic Components
Fertilizers & Agricultural Chemicals
18926
804753
1324404
316709
1091667
93410
1058090
896159
313927
701221
1168054
20286
723254
858877
831001
759944
877890
21076
1156375
811156
21344
1058290
21665
1166691
28412
23217
1358071
1163165
1047862
16918
711404
900075
24741
1755672
8
COST Costco Wholesale Corp.
COTY Coty, Inc
CCI Crown Castle International Corp. CSX CSX Corp.
CMI Cummins Inc.
CVS CVS Health
DHI D. R. Horton
DHR Danaher Corp.
DRI Darden Restaurants
DVA DaVita Inc.
DE Deere & Co.
DAL Delta Air Lines Inc.
XRAY Dentsply Sirona
DVN Devon Energy
FANG Diamondback Energy
DLR Digital Realty Trust Inc DFS Discover Financial Services DISCA Discovery Inc. Class A
DISCK Discovery Inc. Class C DISH Dish Network
DG Dollar General DLTR Dollar Tree
D Dominion Energy
DOV Dover Corp.
DOW Dow Inc.
DTE DTE Energy Co.
DUK Duke Energy
DRE Duke Realty Corp
DD DuPont de Nemours Inc DXC DXC Technology
ETFC E*Trade
EMN Eastman Chemical
ETN Eaton Corporation
EBAY eBay Inc.
Consumer Staples Consumer Staples Real Estate Industrials Industrials
Health Care
Consumer Discretionary Health Care
Consumer Discretionary Health Care
Industrials
Industrials
Health Care
Energy
Energy
Real Estate
Financials Communication Services Communication Services Communication Services Consumer Discretionary Consumer Discretionary Utilities
Industrials
Materials
Utilities
Utilities
Real Estate
Materials
Information Technology Financials
Materials
Industrials
Consumer Discretionary
Hypermarkets & Super Centers
Personal Products
Specialized REITs
Railroads
Industrial Machinery
Health Care Services
Homebuilding
Health Care Equipment
Restaurants
Health Care Facilities
Agricultural & Farm Machinery
Airlines
Health Care Supplies
Oil & Gas Exploration & Production
Oil & Gas Exploration & Production
Specialized REITs
Consumer Finance
Broadcasting
Broadcasting
Cable & Satellite
General Merchandise Stores
General Merchandise Stores
Electric Utilities
Industrial Machinery
Commodity Chemicals
Multi-Utilities
Electric Utilities
Industrial REITs
Specialty Chemicals
IT Consulting & Other Services
Investment Banking & Brokerage
Diversified Chemicals
Electrical Components & Equipment
Internet & Direct Marketing Retail
909832
1024305
1051470
277948
26172
64803
882184
313616
940944
927066
315189
27904
818479
1090012
1539838
1297996
1393612
1437107
1437107
1001082
29534
935703
715957
29905
1751788
936340
1326160
783280
1666700
1688568
1015780
915389
1551182
1065088
9
ECL Ecolab Inc.
EIX Edison Int’l
EW Edwards Lifesciences
EA Electronic Arts
EMR Emerson Electric Company ETR Entergy Corp.
EOG EOG Resources
EFX Equifax Inc.
EQIX Equinix
EQR Equity Residential
ESS Essex Property Trust, Inc. EL Estee Lauder Cos.
EVRG Evergy
ES Eversource Energy
RE Everest Re Group Ltd.
EXC Exelon Corp. EXPE Expedia Group EXPD Expeditors
EXR Extra Space Storage XOM Exxon Mobil Corp.
FFIV F5 Networks FB Facebook, Inc. FAST Fastenal Co
FRT Federal Realty Investment Trust
FDX FedEx Corporation
FIS Fidelity National Information Services
FITB Fifth Third Bancorp FE FirstEnergy Corp FRC First Republic Bank FISV Fiserv Inc
FLT FleetCor Technologies Inc FLIR FLIR Systems
FLS Flowserve Corporation
FMC FMC Corporation
Materials
Utilities
Health Care Communication Services Industrials
Utilities
Energy Industrials
Real Estate
Real Estate
Real Estate Consumer Staples Utilities
Utilities
Financials
Utilities
Consumer Discretionary Industrials
Real Estate
Energy
Information Technology Communication Services Industrials
Real Estate
Industrials
Information Technology Financials
Utilities
Financials
Information Technology Information Technology Information Technology Industrials
Materials
Specialty Chemicals
Electric Utilities
Health Care Equipment
Interactive Home Entertainment
Electrical Components & Equipment
Electric Utilities
Oil & Gas Exploration & Production
Research & Consulting Services
Specialized REITs
Residential REITs
Residential REITs
Personal Products
Electric Utilities
Multi-Utilities
Reinsurance
Multi-Utilities
Internet & Direct Marketing Retail
Air Freight & Logistics
Specialized REITs
Integrated Oil & Gas
Communications Equipment
Interactive Media & Services
Building Products
Retail REITs
Air Freight & Logistics
Data Processing & Outsourced Services
Regional Banks
Electric Utilities
Regional Banks
Data Processing & Outsourced Services
Data Processing & Outsourced Services
Electronic Equipment & Instruments
Industrial Machinery
Fertilizers & Agricultural Chemicals
31462
827052
1099800
712515
32604
65984
821189
33185
1101239
906107
920522
1001250
1711269
72741
1095073
1109357
1324424
746515
1289490
34088
1048695
1326801
815556
34903
1048911
1136893
35527
1031296
1132979
798354
1175454
354908
30625
37785 10
F Ford Motor
FTNT Fortinet
FTV Fortive Corp
FBHS Fortune Brands Home & Security FOXA Fox Corporation Class A
FOX Fox Corporation Class B BEN Franklin Resources
FCX Freeport-McMoRan Inc. GPS Gap Inc.
GRMN Garmin Ltd. IT Gartner Inc
GD General Dynamics
GE General Electric
GIS General Mills GM General Motors
GPC Genuine Parts GILD Gilead Sciences GL Globe Life Inc.
GPN Global Payments Inc. GS Goldman Sachs Group
GWW Grainger (W.W.) Inc. HRB H&R Block
HAL Halliburton Co.
HBI Hanesbrands Inc
HOG Harley-Davidson
HIG Hartford Financial Svc.Gp.
HAS Hasbro Inc.
HCA HCA Healthcare PEAK Healthpeak Properties HP Helmerich & Payne
HSIC Henry Schein
HSY The Hershey Company
HES Hess Corporation
HPE Hewlett Packard Enterprise
Consumer Discretionary Information Technology Industrials
Industrials Communication Services Communication Services Financials
Materials
Consumer Discretionary Consumer Discretionary Information Technology Industrials
Industrials
Consumer Staples Consumer Discretionary Consumer Discretionary Health Care
Financials
Information Technology Financials
Industrials
Consumer
Energy
Consumer
Consumer
Financials
Consumer
Health Care
Real Estate
Energy
Health Care
Consumer Staples Energy
Information Technology
Automobile Manufacturers
Systems Software
Industrial Machinery
Building Products
Movies & Entertainment
Movies & Entertainment
Asset Management & Custody Banks
Copper
Apparel Retail
Consumer Electronics
IT Consulting & Other Services
Aerospace & Defense
Industrial Conglomerates
Packaged Foods & Meats
Automobile Manufacturers
Specialty Stores
Biotechnology
Life & Health Insurance
Data Processing & Outsourced Services
Investment Banking & Brokerage
Industrial Machinery
Specialized Consumer Services
Oil & Gas Equipment & Services
Apparel, Accessories & Luxury Goods
Motorcycle Manufacturers
Property & Casualty Insurance
Leisure Products
Health Care Facilities
Health Care REITs
Oil & Gas Drilling
Health Care Distributors
Packaged Foods & Meats
Integrated Oil & Gas
Technology Hardware, Storage & Peripherals
37996
1262039
1659166
1519751
1308161
1308161
38777
831259
39911
1121788
749251
40533
40545
40704
1467858
40987
882095
320335
1123360
886982
277135
12659
45012
1359841
793952
874766
46080
860730
765880
46765
1000228
47111
4447
1645590 11
Discretionary
Discretionary
Discretionary Discretionary
HLT Hilton Worldwide Holdings Inc HFC HollyFrontier Corp
HOLX Hologic
HD Home Depot
HON Honeywell Int’l Inc. HRL Hormel Foods Corp. HST Host Hotels & Resorts HPQ HP Inc.
HUM Humana Inc.
HBAN Huntington Bancshares
HII Huntington Ingalls Industries IEX IDEX Corporation
IDXX IDEXX Laboratories
INFO IHS Markit Ltd.
ITW Illinois Tool Works
ILMN Illumina Inc
IR Ingersoll-Rand PLC INTC Intel Corp.
ICE Intercontinental Exchange
IBM International Business Machines
INCY Incyte
IP International Paper IPG Interpublic Group
IFF Intl Flavors & Fragrances INTU Intuit Inc.
ISRG Intuitive Surgical Inc.
IVZ Invesco Ltd.
IPGP IPG Photonics Corp.
IQV IQVIA Holdings Inc.
IRM Iron Mountain Incorporated
JKHY Jack Henry & Associates J Jacobs Engineering Group
JBHT J. B. Hunt Transport Services
SJM JM Smucker
Consumer Discretionary Energy
Health Care
Consumer Discretionary Industrials
Consumer Staples Real Estate
Hotels, Resorts & Cruise Lines
Oil & Gas Refining & Marketing
Health Care Equipment
Home Improvement Retail
Industrial Conglomerates
Packaged Foods & Meats
Hotel & Resort REITs
Technology Hardware, Storage & Peripherals
Managed Health Care
Regional Banks
Aerospace & Defense
Industrial Machinery
Health Care Equipment
Research & Consulting Services
Industrial Machinery
Life Sciences Tools & Services
Industrial Machinery
Semiconductors
Financial Exchanges & Data
IT Consulting & Other Services
Biotechnology
Paper Packaging
Advertising
Specialty Chemicals
Application Software
Health Care Equipment
Asset Management & Custody Banks
Electronic Manufacturing Services
Life Sciences Tools & Services
Specialized REITs
Data Processing & Outsourced Services
Construction & Engineering
1585689
48039
859737
354950
773840
48465
1070750
47217
49071
49196
1501585
832101
874716
1598014
49826
1110803
1466258
50863
1571949
51143
879169
51434
51644
51253
896878
1035267
914208
1111928
1478242
1020569
779152
52988
Information
Health Care
Financials
Industrials
Industrials
Health Care
Industrials
Industrials
Health Care
Industrials
Information
Financials
Information
Health Care
Materials Communication Services Materials
Technology
Technology Technology
Information Health Care Financials Information Health Care
Real Estate Information Industrials Industrials Consumer Staples
Technology Technology Technology
Trucking 728535
Packaged Foods & Meats 91419
12
JNJ Johnson & Johnson
JCI Johnson Controls International JPM JPMorgan Chase & Co.
JNPR Juniper Networks
KSU Kansas City Southern
K Kellogg Co.
KEY KeyCorp
KEYS Keysight Technologies
KMB Kimberly-Clark
KIM Kimco Realty
KMI Kinder Morgan
KLAC KLA Corporation
KSS Kohl’s Corp.
KHC Kraft Heinz Co
KR Kroger Co.
LB L Brands Inc.
LHX L3Harris Technologies
LH Laboratory Corp. of America Holding
LRCX Lam Research
LW Lamb Weston Holdings Inc
LVS Las Vegas Sands LEG Leggett & Platt LDOS Leidos Holdings
LEN Lennar Corp. LLY Lilly (Eli) & Co. LNC Lincoln National
LIN Linde plc
LYV Live Nation Entertainment LKQ LKQ Corporation
LMT Lockheed Martin Corp.
L Loews Corp. LOW Lowe’s Cos.
LYB LyondellBasell
MTB M&T Bank Corp.
Health Care
Industrials
Financials
Information Technology Industrials
Consumer Staples Financials
Information Technology Consumer Staples
Real Estate
Energy
Information Technology Consumer Discretionary Consumer Staples Consumer Staples Consumer Discretionary Industrials
Health Care
Information Technology Consumer Staples Consumer Discretionary Consumer Discretionary Information Technology Consumer Discretionary Health Care
Financials
Materials Communication Services Consumer Discretionary Industrials
Financials
Consumer Discretionary Materials
Financials
Pharmaceuticals 200406
Building Products
Diversified Banks
Communications Equipment
Railroads
Packaged Foods & Meats
Regional Banks
Electronic Equipment & Instruments
Household Products
Retail REITs
Oil & Gas Storage & Transportation
Semiconductor Equipment
General Merchandise Stores
Packaged Foods & Meats
Food Retail
Apparel Retail
Aerospace & Defense
Health Care Services
Semiconductor Equipment
Packaged Foods & Meats
Casinos & Gaming
Home Furnishings
IT Consulting & Other Services
Homebuilding
Pharmaceuticals
Multi-line Insurance
Industrial Gases
Movies & Entertainment
Distributors
Aerospace & Defense
Multi-line Insurance
Home Improvement Retail
Specialty Chemicals
Regional Banks
833444
19617
1043604
54480
55067
91576
1601046
55785
879101
1506307
319201
885639
1637459
56873
701985
202058
920148
707549
1679273
1300514
58492
1336920
920760
59478
59558
1707925
1335258
1065696
936468
60086
60667
1489393
36270 13
M Macy’s Inc.
MRO Marathon Oil Corp.
MPC Marathon Petroleum
MKTX MarketAxess
MAR Marriott Int’l.
MMC Marsh & McLennan
MLM Martin Marietta Materials MAS Masco Corp.
MA Mastercard Inc.
MKC McCormick & Co.
MXIM Maxim Integrated Products Inc MCD McDonald’s Corp.
MCK McKesson Corp.
MDT Medtronic plc
MRK Merck & Co.
MET MetLife Inc.
MTD Mettler Toledo
MGM MGM Resorts International
MCHP Microchip Technology MU Micron Technology
MSFT Microsoft Corp.
MAA Mid-America Apartments MHK Mohawk Industries
TAP Molson Coors Brewing Company MDLZ Mondelez International
MNST Monster Beverage
MCO Moody’s Corp
MS Morgan Stanley
MOS The Mosaic Company MSI Motorola Solutions Inc.
MSCI MSCI Inc MYL Mylan N.V.
NDAQ Nasdaq, Inc.
NOV National Oilwell Varco Inc.
Consumer
Energy
Energy
Financials
Consumer
Financials
Materials
Industrials
Information Technology Consumer Staples Information Technology Consumer Discretionary Health Care
Health Care
Health Care
Financials
Health Care
Consumer Discretionary Information Technology Information Technology Information Technology Real Estate
Department Stores
Oil & Gas Exploration & Production
Oil & Gas Refining & Marketing
Financial Exchanges & Data
Hotels, Resorts & Cruise Lines
Insurance Brokers
Construction Materials
Building Products
Data Processing & Outsourced Services
Packaged Foods & Meats
Semiconductors
Restaurants
Health Care Distributors
Health Care Equipment
Pharmaceuticals
Life & Health Insurance
Life Sciences Tools & Services
Casinos & Gaming
Semiconductors
Semiconductors
Systems Software
Residential REITs
Home Furnishings
Brewers
Packaged Foods & Meats
Soft Drinks
Financial Exchanges & Data
Investment Banking & Brokerage
Fertilizers & Agricultural Chemicals
Communications Equipment
Financial Exchanges & Data
Pharmaceuticals
Financial Exchanges & Data
Oil & Gas Equipment & Services
794367
101778
1510295
1278021
1048286
62709
916076
62996
1141391
63754
743316
63908
927653
1613103
310158
1099219
1037646
789570
827054
723125
789019
912595
851968
24545
1103982
865752
1059556
895421
1285785
68505
1408198
1623613
1120193
1021860 14
Discretionary
Discretionary
Consumer
Consumer
Consumer
Consumer
Financials
Financials
Materials
Information Technology Financials
Health Care Financials Energy
Discretionary Staples Staples Staples
NTAP NetApp
NFLX Netflix Inc.
NWL Newell Brands
NEM Newmont Corporation NWSA News Corp. Class A NWS News Corp. Class B NEE NextEra Energy
NLSN Nielsen Holdings
NKE Nike
NI NiSource Inc.
NBL Noble Energy Inc
JWN Nordstrom
NSC Norfolk Southern Corp. NTRS Northern Trust Corp. NOC Northrop Grumman
NLOK NortonLifeLock
NCLH Norwegian Cruise Line Holdings NRG NRG Energy
NUE Nucor Corp. NVDA Nvidia Corporation
NVR NVR Inc
ORLY O’Reilly Automotive OXY Occidental Petroleum
ODFL Old Dominion Freight Line OMC Omnicom Group
OKE ONEOK
ORCL Oracle Corp.
PCAR PACCAR Inc.
PKG Packaging Corporation of America PH Parker-Hannifin
PAYX Paychex Inc. PAYC Paycom
PYPL PayPal
PNR Pentair plc
Information Technology Communication Services Consumer Discretionary Materials Communication Services Communication Services Utilities
Technology Hardware, Storage & Peripherals
Movies & Entertainment
Housewares & Specialties
Gold
Publishing
Publishing
Multi-Utilities
Research & Consulting Services
Apparel, Accessories & Luxury Goods
Multi-Utilities
Oil & Gas Exploration & Production
Department Stores
Railroads
Asset Management & Custody Banks
Aerospace & Defense
Application Software
Hotels, Resorts & Cruise Lines
Independent Power Producers & Energy Traders
Steel
Semiconductors
Homebuilding
Specialty Stores
Oil & Gas Exploration & Production
Trucking
Advertising
Oil & Gas Storage & Transportation
Application Software
Construction Machinery & Heavy Trucks
Paper Packaging
Industrial Machinery
Data Processing & Outsourced Services
Application Software
Data Processing & Outsourced Services
Industrial Machinery
1002047
1065280
814453
1164727
1564708
1564708
753308
1492633
320187
1111711
72207
72333
702165
73124
1133421
849399
1513761
1013871
73309
1045810
906163
898173
797468
878927
29989
1039684
1341439
75362
75677
76334
723531
1590955
1633917
77360 15
Industrials
Consumer
Utilities
Energy
Consumer
Industrials
Financials
Industrials
Information Technology Consumer Discretionary Utilities
Materials
Information Technology Consumer Discretionary Consumer Discretionary Energy
Industrials Communication Services Energy
Information Technology Industrials
Materials
Industrials
Information Technology Information Technology Information Technology Industrials
Discretionary Discretionary
PBCT People’s United Financial PEP PepsiCo Inc.
PKI PerkinElmer
PRGO Perrigo
PFE Pfizer Inc.
PM Philip Morris International PSX Phillips 66
PNW Pinnacle West Capital PXD Pioneer Natural Resources PNC PNC Financial Services PPG PPG Industries
PPL PPL Corp.
PFG Principal Financial Group PG Procter & Gamble
PGR Progressive Corp.
PLD Prologis
PRU Prudential Financial
PEG Public Serv. Enterprise Inc.
PSA Public Storage PHM Pulte Homes Inc.
PVH PVH Corp.
QRVO Qorvo
PWR Quanta Services Inc.
QCOM QUALCOMM Inc.
DGX Quest Diagnostics
RL Ralph Lauren Corporation
RJF Raymond James Financial Inc. RTN Raytheon Co.
O Realty Income Corporation REG Regency Centers Corporation
REGN Regeneron Pharmaceuticals RF Regions Financial Corp.
RSG Republic Services Inc
RMD ResMed
Financials Consumer Staples Health Care Health Care Health Care
Consumer
Energy
Utilities
Energy
Financials
Materials
Utilities
Financials
Consumer
Financials
Real Estate
Financials
Utilities
Real Estate
Consumer Discretionary Consumer Discretionary Information Technology Industrials
Information Technology Health Care
Consumer Discretionary Financials
Industrials Real Estate Real Estate Health Care Financials Industrials Health Care
Thrifts & Mortgage Finance
Soft Drinks
Health Care Equipment
Pharmaceuticals
Pharmaceuticals
Tobacco
Oil & Gas Refining & Marketing
Multi-Utilities
Oil & Gas Exploration & Production
Regional Banks
Specialty Chemicals
Electric Utilities
Life & Health Insurance
Personal Products
Property & Casualty Insurance
Industrial REITs
Life & Health Insurance
Electric Utilities
Specialized REITs
Homebuilding
Apparel, Accessories & Luxury Goods
Semiconductors
Construction & Engineering
Semiconductors
Health Care Services
Apparel, Accessories & Luxury Goods
Investment Banking & Brokerage
Aerospace & Defense
Retail REITs
Retail REITs
Biotechnology
Regional Banks
Environmental & Facilities Services
Health Care Equipment
1378946
77476
31791
1585364
78003
1413329
1534701
764622
1038357
713676
79879
922224
1126328
80424
80661
1045609
1137774
788784
1393311
822416
78239
1604778
1050915
804328
1022079
1037038
720005
1047122
726728
910606
872589
1281761
1060391
943819 16
Staples
Staples
RHI Robert Half International
ROK Rockwell Automation Inc.
ROL Rollins Inc.
ROP Roper Technologies ROST Ross Stores
RCL Royal Caribbean Cruises Ltd SPGI S&P Global, Inc.
CRM Salesforce.com
SBAC SBA Communications
SLB Schlumberger Ltd. STX Seagate Technology SEE Sealed Air
SRE Sempra Energy NOW ServiceNow
SHW Sherwin-Williams
SPG Simon Property Group Inc SWKS Skyworks Solutions
SLG SL Green Realty
SNA Snap-on
SO Southern Co.
LUV Southwest Airlines SWK Stanley Black & Decker SBUX Starbucks Corp.
STT State Street Corp. STE STERIS plc
SYK Stryker Corp.
SIVB SVB Financial
SYF Synchrony Financial SNPS Synopsys Inc.
SYY Sysco Corp.
TMUS T-Mobile US TROW T. Rowe Price Group
TTWO Take-Two Interactive
TPR Tapestry, Inc.
Industrials
Industrials
Industrials
Industrials
Consumer
Consumer
Financials
Information Technology Real Estate
Energy
Information Technology Materials
Utilities
Information Technology Materials
Real Estate
Information Technology Real Estate
Industrials
Utilities
Industrials
Industrials
Consumer Discretionary Financials
Health Care
Health Care
Financials
Financials
Information Technology Consumer Staples Communication Services Financials Communication Services Consumer Discretionary
Human Resource & Employment Services
Electrical Components & Equipment
Environmental & Facilities Services
Industrial Conglomerates
Apparel Retail
Hotels, Resorts & Cruise Lines
Financial Exchanges & Data
Application Software
Specialized REITs
Oil & Gas Equipment & Services
Technology Hardware, Storage & Peripherals
Paper Packaging
Multi-Utilities
Systems Software
Specialty Chemicals
Retail REITs
Semiconductors
Office REITs
Industrial Machinery
Electric Utilities
Airlines
Industrial Machinery
Restaurants
Asset Management & Custody Banks
Health Care Equipment
Health Care Equipment
Regional Banks
Consumer Finance
Application Software
Food Distributors
Wireless Telecommunication Services
Asset Management & Custody Banks
Interactive Home Entertainment
Apparel, Accessories & Luxury Goods
315213
1024478
84839
882835
745732
884887
64040
1108524
1034054
87347
1137789
1012100
1032208
1373715
89800
1063761
4127
1040971
91440
92122
92380
93556
829224
93751
1757898
310764
719739
1601712
883241
96021
1283699
1113169
946581
1116132 17
Discretionary Discretionary
TGT Target Corp.
TEL TE Connectivity Ltd.
FTI TechnipFMC
TFX Teleflex
TXN Texas Instruments
TXT Textron Inc.
TMO Thermo Fisher Scientific
TIF Tiffany & Co.
TJX TJX Companies Inc.
TSCO Tractor Supply Company TDG TransDigm Group
TRV The Travelers Companies Inc. TFC Truist Financial
TWTR Twitter, Inc.
TSN Tyson Foods
UDR UDR, Inc. ULTA Ulta Beauty USB U.S. Bancorp
UAA Under Armour Class A UA Under Armour Class C
UNP Union Pacific Corp
UAL United Airlines Holdings UNH United Health Group Inc.
UPS United Parcel Service URI United Rentals, Inc. UTX United Technologies
UHS Universal Health Services, Inc. UNM Unum Group
VFC V.F. Corp.
VLO Valero Energy
VAR Varian Medical Systems VTR Ventas Inc
VRSN Verisign Inc.
VRSK Verisk Analytics
Consumer Discretionary Information Technology Energy
Health Care Information Technology Industrials
Health Care
Consumer Discretionary Consumer Discretionary Consumer Discretionary Industrials
Financials
Financials Communication Services Consumer Staples
Real Estate
Consumer Discretionary Financials
Consumer Discretionary Consumer Discretionary Industrials
Industrials
Health Care
Industrials
Industrials
Industrials
Health Care
Financials
Consumer Discretionary Energy
Health Care
Real Estate
Information Technology Industrials
General Merchandise Stores
Electronic Manufacturing Services
Oil & Gas Equipment & Services
Health Care Equipment
Semiconductors
Aerospace & Defense
Life Sciences Tools & Services
Apparel, Accessories & Luxury Goods
Apparel Retail
Specialty Stores
Aerospace & Defense
Property & Casualty Insurance
Regional Banks
Interactive Media & Services
Packaged Foods & Meats
Residential REITs
Specialty Stores
Diversified Banks
Apparel, Accessories & Luxury Goods
Apparel, Accessories & Luxury Goods
Railroads
Airlines
Managed Health Care
Air Freight & Logistics
Trading Companies & Distributors
Aerospace & Defense
Health Care Facilities
Life & Health Insurance
Apparel, Accessories & Luxury Goods
Oil & Gas Refining & Marketing
Health Care Equipment
Health Care REITs
Internet Services & Infrastructure
Research & Consulting Services
27419
1385157
1681459
96943
97476
217346
97745
98246
109198
916365
1260221
86312
92230
1418091
100493
74208
1403568
36104
1336917
1336917
100885
100517
731766
1090727
1067701
101829
352915
5513
103379
1035002
203527
740260
1014473
1442145 18
VZ Verizon Communications VRTX Vertex Pharmaceuticals Inc VIAC ViacomCBS
V Visa Inc.
VNO Vornado Realty Trust VMC Vulcan Materials
WRB W. R. Berkley Corporation WAB Wabtec Corporation
WMT Walmart
WBA Walgreens Boots Alliance DIS The Walt Disney Company WM Waste Management Inc. WAT Waters Corporation
WEC Wec Energy Group Inc WFC Wells Fargo
WELL Welltower Inc. WDC Western Digital WU Western Union Co
WRK WestRock WY Weyerhaeuser
WHR Whirlpool Corp. WMB Williams Cos. WLTW Willis Towers Watson
WYNN Wynn Resorts Ltd XEL Xcel Energy Inc XRX Xerox
XLNX Xilinx
XYL Xylem Inc.
YUM Yum! Brands Inc ZBRA Zebra Technologies
ZBH Zimmer Biomet Holdings ZION Zions Bancorp
ZTS Zoetis
Communication Services Health Care Communication Services Information Technology Real Estate
Materials
Financials
Industrials
Consumer Staples Consumer Staples Communication Services Industrials
Health Care
Utilities
Financials
Real Estate
Information Technology Information Technology Materials
Real Estate
Consumer Discretionary Energy
Financials
Consumer Discretionary Utilities
Information Technology Information Technology Industrials
Consumer Discretionary Information Technology Health Care
Financials
Health Care
Integrated Telecommunication Services 732712
Biotechnology 875320
Movies & Entertainment
Data Processing & Outsourced Services
Office REITs
Construction Materials
Property & Casualty Insurance
Construction Machinery & Heavy Trucks
Hypermarkets & Super Centers
Drug Retail
Movies & Entertainment
Environmental & Facilities Services
Health Care Distributors
Electric Utilities
Diversified Banks
Health Care REITs
Technology Hardware, Storage & Peripherals
Data Processing & Outsourced Services
Paper Packaging
Specialized REITs
Household Appliances
Oil & Gas Storage & Transportation
Insurance Brokers
Casinos & Gaming
Multi-Utilities
Technology Hardware, Storage & Peripherals
Semiconductors
Industrial Machinery
Restaurants
Electronic Equipment & Instruments
Health Care Equipment
Regional Banks
Pharmaceuticals
1339947
1403161
899689
1396009
11544
943452
104169
1618921
1001039
823768
1000697
783325
72971
766704
106040
1365135
1636023
106535
106640
107263
1140536
1174922
72903
108772
743988
1524472
1041061
877212
1136869
109380
1555280
19