PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Top 10 Sharpe Ratio based

Last updated Dec 9, 2023

Asset Allocation


AMD 16.67%MA 16.67%MSFT 16.67%NVDA 16.67%NOW 16.67%TSLA 16.67%EquityEquity
PositionCategory/SectorWeight
AMD
Advanced Micro Devices, Inc.
Technology16.67%
MA
Mastercard Inc
Financial Services16.67%
MSFT
Microsoft Corporation
Technology16.67%
NVDA
NVIDIA Corporation
Technology16.67%
NOW
ServiceNow, Inc.
Technology16.67%
TSLA
Tesla, Inc.
Consumer Cyclical16.67%

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


0.00%1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%7,000.00%JulyAugustSeptemberOctoberNovemberDecember
6,720.20%
238.02%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

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-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Top 10 Sharpe Ratio based93.75%8.67%14.06%78.68%47.25%43.41%
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


JanFebMarAprMayJunJulAugSepOctNovDec
202318.39%8.11%2.66%-0.23%-5.31%-3.99%16.09%

Sharpe Ratio

The current Top 10 Sharpe Ratio based Sharpe ratio is 2.79. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.002.79

The Sharpe ratio of Top 10 Sharpe Ratio based is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
2.79
1.25
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

Dividend yield

Top 10 Sharpe Ratio based granted a 0.22% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Top 10 Sharpe Ratio based0.22%0.29%0.20%0.25%0.32%0.45%0.46%0.59%0.70%0.78%0.80%0.66%
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.


The portfolio doesn't hold funds that charge fees

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

TSLAAMDMANOWMSFTNVDA
TSLA1.000.340.320.360.360.40
AMD0.341.000.380.410.450.61
MA0.320.381.000.490.570.47
NOW0.360.410.491.000.540.51
MSFT0.360.450.570.541.000.56
NVDA0.400.610.470.510.561.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember0
-4.01%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

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, 2021221Oct 14, 2022164Jun 12, 2023385
-38.09%Feb 20, 202020Mar 18, 202057Jun 9, 202077
-29.44%Dec 30, 201527Feb 8, 201652Apr 22, 201679
-27.94%Oct 2, 201858Dec 24, 201859Mar 21, 2019117
-16.78%Sep 9, 201425Oct 13, 201489Feb 20, 2015114

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.


2.00%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.09%
2.77%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components
0 comments