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FANG + INDEX ( 10 STOCKS )
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

FANG + INDEX ( 10 STOCKS )

Last updated Nov 15, 2024

Asset Allocation

NVDA 10%AVGO 10%MSFT 10%AMZN 10%AAPL 10%GOOGL 10%META 10%NFLX 10%CRWD 10%NOW 10%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology
10%
AMZN
Amazon.com, Inc.		Consumer Cyclical
10%
AVGO
Broadcom Inc.		Technology
10%
CRWD
CrowdStrike Holdings, Inc.		Technology
10%
GOOGL
Alphabet Inc.		Communication Services
10%
META
Meta Platforms, Inc.		Communication Services
10%
MSFT
Microsoft Corporation		Technology
10%
NFLX
Netflix, Inc.		Communication Services
10%
NOW
ServiceNow, Inc.		Technology
10%
NVDA
NVIDIA Corporation		Technology
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FANG + INDEX ( 10 STOCKS ), 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%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
21.72%
12.31%
FANG + INDEX ( 10 STOCKS )
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 12, 2019, corresponding to the inception date of CRWD

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
FANG + INDEX ( 10 STOCKS )55.47%7.02%21.72%67.53%39.11%N/A
Portfolio components:
NVDA
NVIDIA Corporation		196.42%11.52%55.56%200.29%96.27%77.78%
AVGO
Broadcom Inc.		54.28%-3.18%21.44%77.37%44.71%38.02%
MSFT
Microsoft Corporation		14.14%1.95%1.58%16.11%24.47%26.07%
AMZN
Amazon.com, Inc.		39.19%12.68%15.17%47.68%19.50%29.40%
AAPL
Apple Inc		19.12%-2.30%20.49%21.98%28.87%24.61%
GOOGL
Alphabet Inc.		26.00%6.12%1.05%30.75%21.48%20.52%
META
Meta Platforms, Inc.		63.55%-1.55%22.20%73.99%24.36%22.85%
NFLX
Netflix, Inc.		71.96%18.60%37.14%81.25%23.26%31.50%
CRWD
CrowdStrike Holdings, Inc.		34.87%13.91%1.56%68.56%42.07%N/A
NOW
ServiceNow, Inc.		47.18%12.05%37.17%59.75%32.04%31.96%

Monthly Returns

The table below presents the monthly returns of FANG + INDEX ( 10 STOCKS ), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20248.29%10.29%2.58%-4.79%8.24%11.93%-6.36%3.71%3.59%1.81%55.47%
202314.91%2.50%13.60%0.75%18.33%5.33%5.19%0.15%-5.93%2.06%14.23%5.78%105.35%
2022-11.21%-4.05%5.26%-19.09%-3.12%-8.50%12.18%-4.93%-10.49%1.85%5.04%-7.31%-39.11%
20210.24%0.95%-0.97%7.60%-0.07%9.63%2.64%7.56%-5.53%10.55%0.60%0.58%37.82%
20207.31%-2.89%-6.09%17.60%9.42%8.20%8.95%13.22%-3.61%-2.64%8.87%7.66%84.90%
20195.88%4.61%-3.90%-3.68%3.79%7.88%2.08%17.19%

Expense Ratio

FANG + INDEX ( 10 STOCKS ) 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 FANG + INDEX ( 10 STOCKS ) is 61, 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 FANG + INDEX ( 10 STOCKS ) is 6161
Combined Rank
The Sharpe Ratio Rank of FANG + INDEX ( 10 STOCKS ) is 7474Sharpe Ratio Rank
The Sortino Ratio Rank of FANG + INDEX ( 10 STOCKS ) is 5757Sortino Ratio Rank
The Omega Ratio Rank of FANG + INDEX ( 10 STOCKS ) is 6060Omega Ratio Rank
The Calmar Ratio Rank of FANG + INDEX ( 10 STOCKS ) is 6767Calmar Ratio Rank
The Martin Ratio Rank of FANG + INDEX ( 10 STOCKS ) is 4444Martin 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.

FANG + INDEX ( 10 STOCKS )
Sharpe ratio
The chart of Sharpe ratio for FANG + INDEX ( 10 STOCKS ), currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for FANG + INDEX ( 10 STOCKS ), currently valued at 3.58, compared to the broader market-2.000.002.004.006.003.58
Omega ratio
The chart of Omega ratio for FANG + INDEX ( 10 STOCKS ), currently valued at 1.48, compared to the broader market0.801.001.201.401.601.802.001.48
Calmar ratio
The chart of Calmar ratio for FANG + INDEX ( 10 STOCKS ), currently valued at 4.04, compared to the broader market0.005.0010.0015.004.04
Martin ratio
The chart of Martin ratio for FANG + INDEX ( 10 STOCKS ), currently valued at 14.17, compared to the broader market0.0010.0020.0030.0040.0050.0014.17
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVDA
NVIDIA Corporation		3.783.851.507.2322.81
AVGO
Broadcom Inc.		1.702.351.303.089.38
MSFT
Microsoft Corporation		0.831.171.151.042.54
AMZN
Amazon.com, Inc.		1.672.331.301.927.67
AAPL
Apple Inc		1.001.561.191.353.16
GOOGL
Alphabet Inc.		1.201.721.231.433.60
META
Meta Platforms, Inc.		2.002.921.403.9112.15
NFLX
Netflix, Inc.		2.943.881.522.4520.59
CRWD
CrowdStrike Holdings, Inc.		1.421.941.281.483.72
NOW
ServiceNow, Inc.		1.782.321.342.829.53

Sharpe Ratio

The current FANG + INDEX ( 10 STOCKS ) Sharpe ratio is 2.90. 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 1.86 to 2.74, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of FANG + INDEX ( 10 STOCKS ) 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.90
2.66
FANG + INDEX ( 10 STOCKS )
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FANG + INDEX ( 10 STOCKS ) provided a 0.27% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.27%0.30%0.49%0.35%0.47%0.60%0.70%0.55%0.62%0.66%0.71%0.83%
Portfolio components:
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
AVGO
Broadcom Inc.		1.24%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
MSFT
Microsoft Corporation		0.53%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
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%
AAPL
Apple Inc		0.43%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
GOOGL
Alphabet Inc.		0.23%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.		0.26%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NFLX
Netflix, 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%
CRWD
CrowdStrike Holdings, 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%
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%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.41%
-0.87%
FANG + INDEX ( 10 STOCKS )
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FANG + INDEX ( 10 STOCKS ). 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 FANG + INDEX ( 10 STOCKS ) was 44.82%, occurring on Nov 9, 2022. Recovery took 167 trading sessions.

The current FANG + INDEX ( 10 STOCKS ) drawdown is 0.41%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.82%Nov 22, 2021244Nov 9, 2022167Jul 13, 2023411
-31.56%Feb 20, 202018Mar 16, 202037May 7, 202055
-16.6%Jul 8, 202421Aug 5, 202449Oct 14, 202470
-13.81%Feb 17, 202114Mar 8, 202124Apr 12, 202138
-13.25%Sep 3, 202011Sep 18, 202055Dec 7, 202066

Volatility

Volatility Chart

The current FANG + INDEX ( 10 STOCKS ) volatility is 6.12%, 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%JuneJulyAugustSeptemberOctoberNovember
6.12%
3.81%
FANG + INDEX ( 10 STOCKS )
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.
CRWDNFLXAVGOAAPLMETAGOOGLNOWNVDAAMZNMSFT
CRWD1.000.430.430.380.400.390.600.490.510.48
NFLX0.431.000.440.500.550.490.550.520.580.54
AVGO0.430.441.000.580.530.530.550.690.530.62
AAPL0.380.500.581.000.550.630.550.580.610.69
META0.400.550.530.551.000.660.560.570.630.64
GOOGL0.390.490.530.630.661.000.550.570.670.74
NOW0.600.550.550.550.560.551.000.590.620.67
NVDA0.490.520.690.580.570.570.591.000.600.66
AMZN0.510.580.530.610.630.670.620.601.000.70
MSFT0.480.540.620.690.640.740.670.660.701.00
The correlation results are calculated based on daily price changes starting from Jun 13, 2019