Top 10 Sharpe Ratio based
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AMD Advanced Micro Devices, Inc. | Technology | 16.67% |
MA Mastercard Inc | Financial Services | 16.67% |
MSFT Microsoft Corporation | Technology | 16.67% |
NVDA NVIDIA Corporation | Technology | 16.67% |
NOW ServiceNow, Inc. | Technology | 16.67% |
TSLA Tesla, Inc. | Consumer Cyclical | 16.67% |
Performance
The chart shows the growth of an initial investment of $10,000 in Top 10 Sharpe Ratio based, 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
The earliest data available for this chart is Jun 29, 2012, corresponding to the inception date of NOW
Returns
As of Dec 9, 2023, the Top 10 Sharpe Ratio based returned 93.75% Year-To-Date and 43.30% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | N/A | N/A | N/A | N/A | N/A | N/A |
| Top 10 Sharpe Ratio based | 93.75% | 8.67% | 14.06% | 78.68% | 47.25% | 43.41% |
| Portfolio components: | ||||||
AMD Advanced Micro Devices, Inc. | 99.04% | 13.50% | 3.20% | 82.94% | 46.00% | 42.63% |
MA Mastercard Inc | 19.25% | 5.76% | 11.95% | 18.08% | 16.63% | 19.13% |
MSFT Microsoft Corporation | 57.43% | 3.25% | 14.99% | 52.61% | 30.35% | 27.89% |
NVDA NVIDIA Corporation | 225.22% | 2.01% | 22.55% | 176.82% | 67.03% | 62.76% |
NOW ServiceNow, Inc. | 80.05% | 11.79% | 30.91% | 76.43% | 30.86% | 30.02% |
TSLA Tesla, Inc. | 97.95% | 9.78% | -0.23% | 40.59% | 59.23% | 38.44% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 18.39% | 8.11% | 2.66% | -0.23% | -5.31% | -3.99% | 16.09% |
Dividend yield
Top 10 Sharpe Ratio based granted a 0.22% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Top 10 Sharpe Ratio based | 0.22% | 0.29% | 0.20% | 0.25% | 0.32% | 0.45% | 0.46% | 0.59% | 0.70% | 0.78% | 0.80% | 0.66% |
| Portfolio components: | ||||||||||||
AMD Advanced Micro Devices, 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% |
MA Mastercard Inc | 0.55% | 0.56% | 0.49% | 0.45% | 0.44% | 0.53% | 0.58% | 0.74% | 0.66% | 0.51% | 0.25% | 0.21% |
MSFT Microsoft Corporation | 0.75% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% | 2.59% | 3.11% |
NVDA NVIDIA Corporation | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% | 1.94% | 0.61% |
NOW ServiceNow, 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% |
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% |
Expense Ratio
The Top 10 Sharpe Ratio based 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.
Risk-Adjusted Performance
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
AMD Advanced Micro Devices, Inc. | 1.77 | ||||
MA Mastercard Inc | 1.10 | ||||
MSFT Microsoft Corporation | 2.12 | ||||
NVDA NVIDIA Corporation | 3.87 | ||||
NOW ServiceNow, Inc. | 2.50 | ||||
TSLA Tesla, Inc. | 0.70 |
Asset Correlations Table
| TSLA | AMD | MA | NOW | MSFT | NVDA | |
|---|---|---|---|---|---|---|
| TSLA | 1.00 | 0.34 | 0.32 | 0.36 | 0.36 | 0.40 |
| AMD | 0.34 | 1.00 | 0.38 | 0.41 | 0.45 | 0.61 |
| MA | 0.32 | 0.38 | 1.00 | 0.49 | 0.57 | 0.47 |
| NOW | 0.36 | 0.41 | 0.49 | 1.00 | 0.54 | 0.51 |
| MSFT | 0.36 | 0.45 | 0.57 | 0.54 | 1.00 | 0.56 |
| NVDA | 0.40 | 0.61 | 0.47 | 0.51 | 0.56 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the Top 10 Sharpe Ratio based. 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 Top 10 Sharpe Ratio based was 47.09%, occurring on Oct 14, 2022. Recovery took 164 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -47.09% | Nov 30, 2021 | 221 | Oct 14, 2022 | 164 | Jun 12, 2023 | 385 |
| -38.09% | Feb 20, 2020 | 20 | Mar 18, 2020 | 57 | Jun 9, 2020 | 77 |
| -29.44% | Dec 30, 2015 | 27 | Feb 8, 2016 | 52 | Apr 22, 2016 | 79 |
| -27.94% | Oct 2, 2018 | 58 | Dec 24, 2018 | 59 | Mar 21, 2019 | 117 |
| -16.78% | Sep 9, 2014 | 25 | Oct 13, 2014 | 89 | Feb 20, 2015 | 114 |
Volatility Chart
The current Top 10 Sharpe Ratio based volatility is 5.09%, 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.