PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Top 12 starting 2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Top 12 starting 2024

Last updated May 18, 2024

Asset Allocation

VOO 35%VGT 35%ADBE 3%AMD 3%CMG 3%CRM 3%INTU 3%LLY 3%MELI 3%PANW 3%TSLA 3%V 3%EquityEquity
PositionCategory/SectorWeight
ADBE
Adobe Inc		Technology

3%

AMD
Advanced Micro Devices, Inc.		Technology

3%

CMG
Chipotle Mexican Grill, Inc.		Consumer Cyclical

3%

CRM
salesforce.com, inc.		Technology

3%

INTU
Intuit Inc.		Technology

3%

LLY
Eli Lilly and Company		Healthcare

3%

MELI
MercadoLibre, Inc.		Consumer Cyclical

3%

PANW
Palo Alto Networks, Inc.		Technology

3%

TSLA
Tesla, Inc.		Consumer Cyclical

3%

V
Visa Inc.		Financial Services

3%

VGT
Vanguard Information Technology ETF		Technology Equities

35%

VOO
Vanguard S&P 500 ETF		Large Cap Growth Equities

35%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Top 12 starting 2024, 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

200.00%400.00%600.00%800.00%1,000.00%December2024FebruaryMarchAprilMay
1,016.83%
289.19%
Top 12 starting 2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 20, 2012, corresponding to the inception date of PANW

Returns By Period

As of May 18, 2024, the Top 12 starting 2024 returned 10.22% Year-To-Date and 22.08% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		11.18%5.60%17.48%26.33%13.16%10.99%
Top 12 starting 202410.22%9.77%18.05%35.23%24.25%21.91%
Portfolio components:
VOO
Vanguard S&P 500 ETF		11.78%6.94%18.33%28.47%15.02%12.93%
VGT
Vanguard Information Technology ETF		10.29%10.97%17.26%33.76%22.43%20.59%
ADBE
Adobe Inc		-18.97%3.96%-19.78%30.22%11.73%22.63%
AMD
Advanced Micro Devices, Inc.		11.57%12.16%36.35%55.42%43.28%45.10%
CMG
Chipotle Mexican Grill, Inc.		40.51%12.00%48.62%52.57%35.16%20.02%
CRM
salesforce.com, inc.		8.68%5.64%29.28%35.95%12.95%18.35%
INTU
Intuit Inc.		6.09%9.26%18.38%49.18%22.68%24.88%
LLY
Eli Lilly and Company		32.55%6.20%30.58%75.36%48.15%31.86%
MELI
MercadoLibre, Inc.		11.30%28.95%20.80%33.43%25.08%35.75%
PANW
Palo Alto Networks, Inc.		7.79%14.45%28.38%68.48%33.25%30.57%
TSLA
Tesla, Inc.		-28.58%20.68%-24.26%-1.49%67.18%29.31%
V
Visa Inc.		7.99%4.02%12.65%20.98%12.12%19.14%

Monthly Returns

The table below presents the monthly returns of Top 12 starting 2024, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.65%4.85%0.68%-4.16%10.22%
202310.96%-0.34%8.14%0.28%5.64%6.83%2.86%-0.51%-5.59%-1.69%13.24%4.42%52.00%
2022-7.72%-3.24%3.77%-10.85%-1.21%-8.60%12.55%-4.71%-10.25%7.30%4.89%-8.18%-25.80%
2021-0.08%1.00%0.71%5.55%-0.72%6.41%4.08%4.36%-4.91%8.27%1.32%1.99%30.97%
20204.83%-7.33%-11.20%15.58%8.27%5.68%7.65%12.65%-5.41%-4.19%13.91%6.01%51.39%
20199.25%6.77%3.37%3.43%-6.79%7.56%2.95%-1.55%0.24%3.73%5.02%4.74%44.93%
20188.46%-1.49%-3.19%2.37%5.02%1.28%3.39%7.56%1.23%-7.63%1.46%-8.00%9.30%
20175.08%5.41%0.75%2.10%3.57%-0.81%2.56%1.34%1.00%3.44%2.39%0.47%30.76%
2016-7.00%-0.53%8.44%-0.82%4.05%-0.69%6.34%1.23%1.43%-1.73%1.28%2.50%14.52%
2015-2.85%7.40%-2.57%1.78%2.85%-1.72%2.32%-6.56%-1.44%7.70%2.56%-1.49%7.25%
2014-1.68%6.95%-1.13%-1.35%3.02%4.11%-0.83%5.15%-1.55%2.71%3.96%-1.19%19.15%
20134.36%0.85%3.64%2.34%7.05%-1.35%6.26%-0.55%4.85%2.92%2.35%4.27%43.47%

Expense Ratio

Top 12 starting 2024 has an expense ratio of 0.05% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

VGT
Vanguard Information Technology ETF
Expense ratio chart for VGT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
VOO
Vanguard S&P 500 ETF
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Top 12 starting 2024 is 67, 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 Top 12 starting 2024 is 6767
Top 12 starting 2024
The Sharpe Ratio Rank of Top 12 starting 2024 is 6161Sharpe Ratio Rank
The Sortino Ratio Rank of Top 12 starting 2024 is 5656Sortino Ratio Rank
The Omega Ratio Rank of Top 12 starting 2024 is 5959Omega Ratio Rank
The Calmar Ratio Rank of Top 12 starting 2024 is 8484Calmar Ratio Rank
The Martin Ratio Rank of Top 12 starting 2024 is 7676Martin 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.

Top 12 starting 2024
Sharpe ratio
The chart of Sharpe ratio for Top 12 starting 2024, currently valued at 2.37, compared to the broader market0.002.004.006.002.37
Sortino ratio
The chart of Sortino ratio for Top 12 starting 2024, currently valued at 3.20, compared to the broader market-2.000.002.004.006.003.20
Omega ratio
The chart of Omega ratio for Top 12 starting 2024, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for Top 12 starting 2024, currently valued at 3.43, compared to the broader market0.002.004.006.008.0010.003.43
Martin ratio
The chart of Martin ratio for Top 12 starting 2024, currently valued at 11.67, compared to the broader market0.0010.0020.0030.0040.0050.0011.67
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.38, compared to the broader market0.002.004.006.002.38
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.37, compared to the broader market-2.000.002.004.006.003.37
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.94, compared to the broader market0.002.004.006.008.0010.001.94
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.12, compared to the broader market0.0010.0020.0030.0040.0050.009.12
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VOO
Vanguard S&P 500 ETF		2.563.601.442.4110.16
VGT
Vanguard Information Technology ETF		1.972.711.332.477.84
ADBE
Adobe Inc		1.091.521.220.753.18
AMD
Advanced Micro Devices, Inc.		1.231.871.231.393.92
CMG
Chipotle Mexican Grill, Inc.		2.493.241.473.238.00
CRM
salesforce.com, inc.		1.361.951.261.004.73
INTU
Intuit Inc.		2.122.661.371.3211.95
LLY
Eli Lilly and Company		2.573.791.486.2518.64
MELI
MercadoLibre, Inc.		0.861.421.170.722.96
PANW
Palo Alto Networks, Inc.		1.391.731.322.165.07
TSLA
Tesla, Inc.		0.040.441.050.030.08
V
Visa Inc.		1.502.061.262.016.55

Sharpe Ratio

The current Top 12 starting 2024 Sharpe ratio is 2.37. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.77 to 2.59, 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 Top 12 starting 2024 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 Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
2.37
2.38
Top 12 starting 2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Top 12 starting 2024 granted a 0.76% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Top 12 starting 20240.76%0.80%0.99%0.73%0.91%1.15%1.28%1.09%1.31%1.32%1.19%1.19%
Portfolio components:
VOO
Vanguard S&P 500 ETF		1.32%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%
VGT
Vanguard Information Technology ETF		0.68%0.65%0.91%0.64%0.82%1.11%1.29%0.99%1.31%1.28%1.12%1.05%
ADBE
Adobe 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%
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%
CMG
Chipotle Mexican Grill, 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%
CRM
salesforce.com, inc.		0.14%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
INTU
Intuit Inc.		0.53%0.52%0.72%0.38%0.42%0.74%0.83%0.89%1.08%1.09%0.89%0.92%
LLY
Eli Lilly and Company		0.63%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
MELI
MercadoLibre, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.19%0.38%0.36%0.52%0.53%
PANW
Palo Alto Networks, 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%
V
Visa Inc.		0.72%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%0.62%

Drawdowns

Drawdowns Chart

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

-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-0.04%
-0.09%
Top 12 starting 2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Top 12 starting 2024. 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 12 starting 2024 was 33.59%, occurring on Mar 23, 2020. Recovery took 63 trading sessions.

The current Top 12 starting 2024 drawdown is 0.04%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.59%Feb 20, 202023Mar 23, 202063Jun 22, 202086
-30.56%Dec 28, 2021202Oct 14, 2022185Jul 13, 2023387
-20.98%Oct 2, 201858Dec 24, 201845Mar 1, 2019103
-16.46%Dec 2, 201547Feb 9, 201674May 25, 2016121
-13.06%Jul 21, 201526Aug 25, 201552Nov 6, 201578

Volatility

Volatility Chart

The current Top 12 starting 2024 volatility is 4.58%, 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%3.00%4.00%5.00%December2024FebruaryMarchAprilMay
4.58%
3.36%
Top 12 starting 2024
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.
LLYTSLACMGAMDPANWMELIVCRMINTUADBEVOOVGT
LLY1.000.130.190.170.200.210.320.260.320.300.420.34
TSLA0.131.000.290.340.360.370.290.390.360.380.430.47
CMG0.190.291.000.300.330.340.330.390.380.390.440.45
AMD0.170.340.301.000.340.380.370.420.420.460.500.58
PANW0.200.360.330.341.000.400.380.500.460.470.470.55
MELI0.210.370.340.380.401.000.420.480.470.490.540.58
V0.320.290.330.370.380.421.000.520.560.580.700.67
CRM0.260.390.390.420.500.480.521.000.610.660.620.70
INTU0.320.360.380.420.460.470.560.611.000.670.700.73
ADBE0.300.380.390.460.470.490.580.660.671.000.680.75
VOO0.420.430.440.500.470.540.700.620.700.681.000.89
VGT0.340.470.450.580.550.580.670.700.730.750.891.00