PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
p1_tech_cloud_semi
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ARKK 10%GOOG 10%MSFT 10%NVDA 10%AMZN 10%QFIN 10%SMH 10%SOXL 10%TECL 10%META 5%SVOL 5%EquityEquityVolatilityVolatility
PositionCategory/SectorWeight
AMZN
Amazon.com, Inc.
Consumer Cyclical

10%

ARKK
ARK Innovation ETF
Actively Managed, Innovation, Technology Equities

10%

GOOG
Alphabet Inc.
Communication Services

10%

META
Meta Platforms, Inc.
Communication Services

5%

MSFT
Microsoft Corporation
Technology

10%

NVDA
NVIDIA Corporation
Technology

10%

QFIN
360 DigiTech, Inc.
Financial Services

10%

SMH
VanEck Vectors Semiconductor ETF
Technology Equities

10%

SOXL
Direxion Daily Semiconductor Bull 3x Shares
Leveraged Equities, Leveraged

10%

SVOL
Simplify Volatility Premium ETF
Volatility, Actively Managed

5%

TECL
Direxion Daily Technology Bull 3X Shares
Leveraged Equities, Leveraged

10%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in p1_tech_cloud_semi, 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


20.00%40.00%60.00%80.00%100.00%120.00%140.00%FebruaryMarchAprilMayJuneJuly
111.01%
33.86%
p1_tech_cloud_semi
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 13, 2021, corresponding to the inception date of SVOL

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
p1_tech_cloud_semi35.41%-4.86%27.79%54.50%N/AN/A
ARKK
ARK Innovation ETF
-10.96%7.64%-1.58%-0.83%0.02%N/A
GOOG
Alphabet Inc.
27.44%-0.48%20.79%47.35%26.07%19.78%
MSFT
Microsoft Corporation
16.67%-2.82%9.98%27.65%27.44%27.68%
NVDA
NVIDIA Corporation
138.17%-6.83%96.99%164.43%95.17%75.12%
AMZN
Amazon.com, Inc.
20.53%-3.15%17.38%42.18%13.29%26.14%
QFIN
360 DigiTech, Inc.
25.25%-2.63%35.07%7.39%14.51%N/A
SMH
VanEck Vectors Semiconductor ETF
41.90%-6.32%31.28%62.19%36.79%28.94%
SVOL
Simplify Volatility Premium ETF
7.03%0.53%5.60%14.09%N/AN/A
SOXL
Direxion Daily Semiconductor Bull 3x Shares
50.23%-19.02%31.32%90.18%34.00%38.34%
TECL
Direxion Daily Technology Bull 3X Shares
33.84%-10.63%17.86%59.89%39.39%40.33%
META
Meta Platforms, Inc.
34.98%-3.64%24.03%63.84%19.25%21.35%

Monthly Returns

The table below presents the monthly returns of p1_tech_cloud_semi, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.07%14.37%6.17%-6.46%10.57%9.18%35.41%
202322.80%-0.26%14.41%-2.95%15.71%9.65%8.37%-4.90%-8.89%-4.21%18.85%9.94%102.81%
2022-14.60%-5.77%0.71%-21.38%0.97%-12.36%17.06%-10.50%-17.83%-1.24%18.82%-9.76%-48.60%
202113.23%16.26%-3.76%6.55%-9.05%11.64%9.21%-0.14%49.50%

Expense Ratio

p1_tech_cloud_semi features an expense ratio of 0.34%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for ARKK: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
Expense ratio chart for TECL: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
Expense ratio chart for SOXL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
Expense ratio chart for SVOL: current value at 0.50% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.50%
Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of p1_tech_cloud_semi is 56, 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 p1_tech_cloud_semi is 5656
p1_tech_cloud_semi
The Sharpe Ratio Rank of p1_tech_cloud_semi is 5555Sharpe Ratio Rank
The Sortino Ratio Rank of p1_tech_cloud_semi is 4545Sortino Ratio Rank
The Omega Ratio Rank of p1_tech_cloud_semi is 5050Omega Ratio Rank
The Calmar Ratio Rank of p1_tech_cloud_semi is 6363Calmar Ratio Rank
The Martin Ratio Rank of p1_tech_cloud_semi is 6565Martin 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.


p1_tech_cloud_semi
Sharpe ratio
The chart of Sharpe ratio for p1_tech_cloud_semi, currently valued at 1.67, compared to the broader market-1.000.001.002.003.004.001.67
Sortino ratio
The chart of Sortino ratio for p1_tech_cloud_semi, currently valued at 2.21, compared to the broader market-2.000.002.004.006.002.21
Omega ratio
The chart of Omega ratio for p1_tech_cloud_semi, 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 p1_tech_cloud_semi, currently valued at 1.84, compared to the broader market0.002.004.006.008.0010.001.84
Martin ratio
The chart of Martin ratio for p1_tech_cloud_semi, currently valued at 7.38, compared to the broader market0.0010.0020.0030.0040.007.38
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ARKK
ARK Innovation ETF
-0.20-0.050.99-0.10-0.46
GOOG
Alphabet Inc.
1.692.221.322.2410.27
MSFT
Microsoft Corporation
1.211.681.211.855.57
NVDA
NVIDIA Corporation
3.273.721.467.6121.37
AMZN
Amazon.com, Inc.
1.271.961.230.987.25
QFIN
360 DigiTech, Inc.
0.290.771.090.190.76
SMH
VanEck Vectors Semiconductor ETF
2.012.601.333.8510.03
SVOL
Simplify Volatility Premium ETF
2.162.971.403.1211.64
SOXL
Direxion Daily Semiconductor Bull 3x Shares
0.881.561.190.923.37
TECL
Direxion Daily Technology Bull 3X Shares
0.941.461.180.904.15
META
Meta Platforms, Inc.
1.392.191.281.988.10

Sharpe Ratio

The current p1_tech_cloud_semi Sharpe ratio is 1.67. 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 1.31 to 2.07, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of p1_tech_cloud_semi 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 Ratio1.502.002.503.003.50FebruaryMarchAprilMayJuneJuly
1.67
1.82
p1_tech_cloud_semi
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

p1_tech_cloud_semi granted a 1.59% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
p1_tech_cloud_semi1.59%1.45%1.80%0.65%0.43%0.85%1.08%0.65%0.93%1.01%0.65%0.76%
ARKK
ARK Innovation ETF
0.00%0.00%0.00%0.83%1.31%0.38%3.14%1.32%0.00%2.27%0.00%0.00%
GOOG
Alphabet Inc.
0.11%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
0.67%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
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%
QFIN
360 DigiTech, Inc.
5.61%4.17%4.03%1.22%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF
0.42%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
SVOL
Simplify Volatility Premium ETF
16.02%16.36%18.21%4.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SOXL
Direxion Daily Semiconductor Bull 3x Shares
0.60%0.51%1.07%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%0.00%
TECL
Direxion Daily Technology Bull 3X Shares
0.32%0.28%0.22%0.32%0.52%0.25%0.47%0.10%0.00%0.00%0.00%0.00%
META
Meta Platforms, Inc.
0.21%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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-11.26%
-2.86%
p1_tech_cloud_semi
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the p1_tech_cloud_semi. 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 p1_tech_cloud_semi was 57.89%, occurring on Nov 3, 2022. Recovery took 301 trading sessions.

The current p1_tech_cloud_semi drawdown is 11.26%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-57.89%Nov 22, 2021240Nov 3, 2022301Jan 18, 2024541
-13.54%Sep 8, 202119Oct 4, 202119Oct 29, 202138
-12.38%Apr 12, 20246Apr 19, 202418May 15, 202424
-11.26%Jul 11, 20247Jul 19, 2024
-7.44%Jun 30, 202135Aug 18, 20215Aug 25, 202140

Volatility

Volatility Chart

The current p1_tech_cloud_semi volatility is 9.61%, 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%12.00%FebruaryMarchAprilMayJuneJuly
9.61%
2.76%
p1_tech_cloud_semi
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.

QFINSVOLMETAARKKAMZNGOOGMSFTNVDASOXLSMHTECL
QFIN1.000.280.330.420.270.270.230.300.360.350.32
SVOL0.281.000.480.530.460.490.480.450.530.530.57
META0.330.481.000.590.600.630.630.590.610.620.68
ARKK0.420.530.591.000.620.540.530.580.650.630.66
AMZN0.270.460.600.621.000.690.690.590.610.620.72
GOOG0.270.490.630.540.691.000.750.580.610.620.74
MSFT0.230.480.630.530.690.751.000.660.680.700.88
NVDA0.300.450.590.580.590.580.661.000.830.870.80
SOXL0.360.530.610.650.610.610.680.831.000.990.88
SMH0.350.530.620.630.620.620.700.870.991.000.89
TECL0.320.570.680.660.720.740.880.800.880.891.00
The correlation results are calculated based on daily price changes starting from May 14, 2021