PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Fall 2023
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Fall 2023

Last updated Jul 25, 2024

Asset Allocation

TSLA 42%NVDA 20.1%AMZN 15.64%MSFT 8.87%GOOG 6.75%META 6.64%EquityEquity
PositionCategory/SectorWeight
AMZN
Amazon.com, Inc.		Consumer Cyclical

15.64%

GOOG
Alphabet Inc.		Communication Services

6.75%

META
Meta Platforms, Inc.		Communication Services

6.64%

MSFT
Microsoft Corporation		Technology

8.87%

NVDA
NVIDIA Corporation		Technology

20.10%

TSLA
Tesla, Inc.		Consumer Cyclical

42%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Fall 2023, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

0.00%1,000.00%2,000.00%3,000.00%4,000.00%FebruaryMarchAprilMayJuneJuly
3,706.91%
185.86%
Fall 2023
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 27, 2014, corresponding to the inception date of GOOG

Returns By Period

As of Jul 25, 2024, the Fall 2023 returned 29.23% Year-To-Date and 43.85% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
Fall 202329.25%2.11%33.86%35.61%62.96%43.87%
Portfolio components:
TSLA
Tesla, Inc.		-11.36%17.56%20.60%-16.68%70.90%30.90%
NVDA
NVIDIA Corporation		126.76%-10.95%82.25%147.10%91.87%74.99%
AMZN
Amazon.com, Inc.		18.37%-3.48%14.01%40.34%13.14%27.42%
MSFT
Microsoft Corporation		11.67%-7.22%3.72%24.84%25.49%27.36%
GOOG
Alphabet Inc.		20.17%-8.85%10.23%30.61%22.11%19.16%
META
Meta Platforms, Inc.		28.36%-11.20%15.56%52.17%17.91%19.79%

Monthly Returns

The table below presents the monthly returns of Fall 2023, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-3.76%14.61%0.84%-0.46%5.63%10.35%29.25%
202330.18%11.78%8.88%-6.94%21.50%15.44%4.72%-0.18%-5.61%-8.54%14.39%4.03%122.06%
2022-11.30%-5.26%14.02%-20.96%-6.43%-12.00%23.00%-8.33%-9.55%-7.40%2.47%-19.09%-51.16%
20215.29%-5.45%0.24%9.38%-4.31%11.22%0.60%8.07%-1.94%25.44%7.17%-6.16%56.26%
202025.90%1.90%-12.95%31.23%7.86%17.60%19.72%43.71%-10.34%-5.70%22.42%11.67%269.69%
20193.14%2.77%1.27%-2.62%-16.50%13.88%4.79%-4.03%3.36%17.34%4.98%15.04%46.43%
201817.13%-1.63%-11.89%5.69%3.28%8.19%-3.49%6.61%-5.63%-0.27%-1.08%-8.03%5.63%
201711.05%-0.75%7.75%6.59%12.62%1.74%-0.21%5.16%-0.71%6.14%-2.08%-0.31%56.58%
2016-12.63%-0.77%13.63%2.56%5.62%-2.73%11.98%-1.90%2.94%-0.85%3.05%9.62%31.47%
2015-3.39%5.63%-4.66%12.98%4.88%1.48%5.66%-1.87%1.87%3.41%8.62%3.25%43.32%
2014-5.54%2.12%7.14%-3.85%12.85%-5.49%-0.26%4.02%-6.32%3.02%

Expense Ratio

Fall 2023 has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Fall 2023 is 37, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Fall 2023 is 3737
Fall 2023
The Sharpe Ratio Rank of Fall 2023 is 2222Sharpe Ratio Rank
The Sortino Ratio Rank of Fall 2023 is 2121Sortino Ratio Rank
The Omega Ratio Rank of Fall 2023 is 2222Omega Ratio Rank
The Calmar Ratio Rank of Fall 2023 is 6363Calmar Ratio Rank
The Martin Ratio Rank of Fall 2023 is 5757Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Fall 2023
Sharpe ratio
The chart of Sharpe ratio for Fall 2023, currently valued at 1.16, compared to the broader market-1.000.001.002.003.004.001.16
Sortino ratio
The chart of Sortino ratio for Fall 2023, currently valued at 1.70, compared to the broader market-2.000.002.004.006.001.70
Omega ratio
The chart of Omega ratio for Fall 2023, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for Fall 2023, currently valued at 1.87, compared to the broader market0.002.004.006.008.001.87
Martin ratio
The chart of Martin ratio for Fall 2023, currently valued at 6.69, compared to the broader market0.0010.0020.0030.0040.006.69
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TSLA
Tesla, Inc.		-0.32-0.130.99-0.26-0.67
NVDA
NVIDIA Corporation		3.133.591.457.3720.15
AMZN
Amazon.com, Inc.		1.412.151.261.097.87
MSFT
Microsoft Corporation		1.001.411.181.556.20
GOOG
Alphabet Inc.		1.361.851.262.098.19
META
Meta Platforms, Inc.		1.472.271.292.108.33

Sharpe Ratio

The current Fall 2023 Sharpe ratio is 1.16. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.23 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Fall 2023 with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.16
1.58
Fall 2023
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Fall 2023 granted a 0.09% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Fall 20230.09%0.07%0.12%0.07%0.11%0.16%0.24%0.22%0.30%0.45%0.56%0.62%
Portfolio components:
TSLA
Tesla, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
AMZN
Amazon.com, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSFT
Microsoft Corporation		0.70%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
GOOG
Alphabet Inc.		0.12%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
META
Meta Platforms, Inc.		0.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-14.77%
-4.73%
Fall 2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Fall 2023. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Fall 2023 was 57.41%, occurring on Jan 5, 2023. Recovery took 131 trading sessions.

The current Fall 2023 drawdown is 14.78%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-57.41%Nov 5, 2021293Jan 5, 2023131Jul 17, 2023424
-46.37%Feb 20, 202020Mar 18, 202051Jun 1, 202071
-32.1%Aug 8, 2018205Jun 3, 2019103Oct 28, 2019308
-28.35%Dec 30, 201529Feb 10, 201636Apr 4, 201665
-23.41%Sep 1, 20205Sep 8, 202055Nov 24, 202060

Volatility

Volatility Chart

The current Fall 2023 volatility is 14.92%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

0.00%5.00%10.00%15.00%FebruaryMarchAprilMayJuneJuly
14.92%
3.80%
Fall 2023
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
TSLANVDAMETAAMZNMSFTGOOG
TSLA1.000.410.360.400.380.37
NVDA0.411.000.510.530.580.52
META0.360.511.000.610.580.66
AMZN0.400.530.611.000.640.67
MSFT0.380.580.580.641.000.69
GOOG0.370.520.660.670.691.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014