Cybersecurity stocks

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Cybersecurity stocks

Last updated May 17, 2024

The Cybersecurity stocks portfolio consists of companies specializing in providing solutions to protect against online security threats such as hacking, data breaches, and cyber-attacks. The companies in this portfolio focus on developing and selling products such as firewalls, antivirus software, SIEM, and XDR solutions. With the increasing reliance on technology and the internet, there is a growing demand for cybersecurity solutions, making this portfolio an attractive option for investors seeking growth in a rapidly expanding market.

Asset Allocation

Position	Category/Sector	Weight
ARQQ Arqit Quantum Inc.	Technology	5%
ATEN A10 Networks, Inc.	Technology	5%
CHKP Check Point Software Technologies Ltd.	Technology	5%
CRWD CrowdStrike Holdings, Inc.	Technology	5%
CYBR CyberArk Software Ltd.	Technology	5%
DDOG Datadog, Inc.	Technology	5%
ESTC Elastic N.V.	Technology	5%
FFIV F5 Networks, Inc.	Technology	5%
FTNT Fortinet, Inc.	Technology	5%
NET Cloudflare, Inc.	Technology	5%
OKTA Okta, Inc.	Technology	5%
PANW Palo Alto Networks, Inc.	Technology	5%
QLYS Qualys, Inc.	Technology	5%
RDWR Radware Ltd.	Technology	5%
RPD Rapid7, Inc.	Technology	5%
S SentinelOne, Inc.	Technology	5%
SPLK Splunk Inc.	Technology	5%
TLS Telos Corporation	Technology	5%
VRNS Varonis Systems, Inc.	Technology	5%
ZS Zscaler, Inc.	Technology	5%

Benchmark

S&P 500

Rebalance portfolio

Performance

Performance Chart

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

Cybersecurity stocks

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is Jun 30, 2021, corresponding to the inception date of S

Returns By Period

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	11.05%	4.86%	17.50%	27.37%	13.14%	10.90%
Cybersecurity stocks	-0.13%	1.51%	16.07%	38.75%	N/A	N/A
Portfolio components:
CHKP Check Point Software Technologies Ltd.	-1.11%	-3.64%	7.39%	26.61%	5.00%	8.96%
NET Cloudflare, Inc.	-9.75%	-17.46%	6.28%	38.63%	N/A	N/A
CRWD CrowdStrike Holdings, Inc.	32.80%	13.34%	65.99%	147.07%	N/A	N/A
ESTC Elastic N.V.	-3.98%	13.69%	47.08%	70.09%	5.42%	N/A
CYBR CyberArk Software Ltd.	11.72%	1.98%	30.36%	71.91%	13.72%	N/A
FTNT Fortinet, Inc.	4.63%	-5.02%	21.46%	-10.51%	30.01%	30.48%
OKTA Okta, Inc.	11.28%	6.03%	44.70%	25.38%	-1.91%	N/A
PANW Palo Alto Networks, Inc.	7.43%	15.18%	30.74%	65.40%	33.38%	31.30%
QLYS Qualys, Inc.	-23.77%	-9.02%	-14.48%	26.93%	11.24%	21.34%
RDWR Radware Ltd.	22.12%	24.74%	32.88%	7.61%	-3.50%	1.98%
RPD Rapid7, Inc.	-31.49%	-11.45%	-24.05%	-15.53%	-5.94%	N/A
S SentinelOne, Inc.	-19.21%	6.13%	31.73%	20.82%	N/A	N/A
SPLK Splunk Inc.	2.99%	0.00%	3.99%	67.70%	N/A	N/A
ZS Zscaler, Inc.	-19.07%	2.86%	-3.69%	50.97%	17.91%	N/A
DDOG Datadog, Inc.	-0.63%	-4.99%	10.53%	32.13%	N/A	N/A
VRNS Varonis Systems, Inc.	-3.95%	-1.07%	14.84%	81.13%	13.21%	18.26%
TLS Telos Corporation	-1.92%	6.87%	-6.04%	36.12%	N/A	N/A
ATEN A10 Networks, Inc.	23.36%	24.40%	36.30%	16.75%	21.22%	4.10%
ARQQ Arqit Quantum Inc.	-16.90%	-25.67%	-28.38%	-45.74%	N/A	N/A
FFIV F5 Networks, Inc.	-2.88%	-5.04%	7.94%	24.90%	4.40%	4.96%

Monthly Returns

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

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2024	2.99%	7.81%	-4.06%	-8.80%									-0.13%
2023	4.14%	3.07%	1.60%	-11.19%	22.29%	-4.09%	5.32%	-1.39%	-0.21%	-5.41%	20.23%	9.18%	46.15%
2022	-15.55%	4.82%	1.63%	-15.45%	-12.79%	-5.30%	3.82%	2.86%	-9.34%	2.55%	-9.42%	-6.75%	-47.32%
2021							6.21%	11.11%	-1.68%	15.50%	-4.91%	-4.39%	21.84%

Expense Ratio

Cybersecurity 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 Cybersecurity stocks is 21, indicating that it is in the bottom 21% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

Cybersecurity stocks

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Cybersecurity stocks

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
CHKP Check Point Software Technologies Ltd.	1.44	2.02	1.25	1.29	8.34
NET Cloudflare, Inc.	0.84	1.54	1.19	0.62	3.65
CRWD CrowdStrike Holdings, Inc.	3.82	4.04	1.55	2.88	26.86
ESTC Elastic N.V.	1.36	2.58	1.32	1.14	6.04
CYBR CyberArk Software Ltd.	1.97	2.71	1.35	2.44	10.48
FTNT Fortinet, Inc.	-0.26	-0.06	0.99	-0.27	-0.47
OKTA Okta, Inc.	0.59	1.17	1.16	0.38	1.88
PANW Palo Alto Networks, Inc.	1.38	1.72	1.32	2.15	5.04
QLYS Qualys, Inc.	0.95	1.39	1.20	1.05	2.65
RDWR Radware Ltd.	0.26	0.60	1.08	0.13	0.56
RPD Rapid7, Inc.	-0.32	-0.18	0.98	-0.19	-1.11
S SentinelOne, Inc.	0.34	0.86	1.14	0.27	1.00
SPLK Splunk Inc.	2.54	5.75	2.07	1.68	23.27
ZS Zscaler, Inc.	1.21	1.65	1.23	0.76	3.73
DDOG Datadog, Inc.	0.74	1.35	1.20	0.62	2.85
VRNS Varonis Systems, Inc.	2.60	3.63	1.41	1.24	13.28
TLS Telos Corporation	0.24	1.11	1.13	0.23	0.94
ATEN A10 Networks, Inc.	0.44	0.84	1.16	0.43	1.27
ARQQ Arqit Quantum Inc.	-0.57	-0.49	0.94	-0.65	-1.12
FFIV F5 Networks, Inc.	1.26	1.69	1.24	0.60	5.65

Sharpe Ratio

The current Cybersecurity stocks Sharpe ratio is 1.48. 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 1.83 to 2.69, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Cybersecurity 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.

Cybersecurity stocks

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

Cybersecurity stocks granted a 0.07% dividend yield in the last twelve months.

	TTM	2023	2022	2021
Cybersecurity stocks	0.07%	0.09%	0.06%	0.02%
Portfolio components:
CHKP Check Point Software Technologies Ltd.	0.00%	0.00%	0.00%	0.00%
NET Cloudflare, Inc.	0.00%	0.00%	0.00%	0.00%
CRWD CrowdStrike Holdings, Inc.	0.00%	0.00%	0.00%	0.00%
ESTC Elastic N.V.	0.00%	0.00%	0.00%	0.00%
CYBR CyberArk Software Ltd.	0.00%	0.00%	0.00%	0.00%
FTNT Fortinet, Inc.	0.00%	0.00%	0.00%	0.00%
OKTA Okta, Inc.	0.00%	0.00%	0.00%	0.00%
PANW Palo Alto Networks, Inc.	0.00%	0.00%	0.00%	0.00%
QLYS Qualys, Inc.	0.00%	0.00%	0.00%	0.00%
RDWR Radware Ltd.	0.00%	0.00%	0.00%	0.00%
RPD Rapid7, Inc.	0.00%	0.00%	0.00%	0.00%
S SentinelOne, Inc.	0.00%	0.00%	0.00%	0.00%
SPLK Splunk Inc.	0.00%	0.00%	0.00%	0.00%
ZS Zscaler, Inc.	0.00%	0.00%	0.00%	0.00%
DDOG Datadog, Inc.	0.00%	0.00%	0.00%	0.00%
VRNS Varonis Systems, Inc.	0.00%	0.00%	0.00%	0.00%
TLS Telos Corporation	0.00%	0.00%	0.00%	0.00%
ATEN A10 Networks, Inc.	1.49%	1.82%	1.26%	0.30%
ARQQ Arqit Quantum Inc.	0.00%	0.00%	0.00%	0.00%
FFIV F5 Networks, Inc.	0.00%	0.00%	0.00%	0.00%

Drawdowns

Drawdowns Chart

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

Cybersecurity stocks

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Cybersecurity 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 Cybersecurity stocks was 57.42%, occurring on May 3, 2023. The portfolio has not yet recovered.

The current Cybersecurity stocks drawdown is 33.05%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-57.42%	Nov 10, 2021	371	May 3, 2023	—	—	—
-13.01%	Sep 23, 2021	8	Oct 4, 2021	19	Oct 29, 2021	27
-4.28%	Jul 12, 2021	4	Jul 15, 2021	5	Jul 22, 2021	9
-3.85%	Aug 6, 2021	4	Aug 11, 2021	8	Aug 23, 2021	12
-2.18%	Sep 8, 2021	5	Sep 14, 2021	2	Sep 16, 2021	7

Volatility

Volatility Chart

The current Cybersecurity stocks volatility is 6.41%, 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.

Cybersecurity 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.

	ARQQ	TLS	CHKP	ATEN	RDWR	FFIV	SPLK	PANW	FTNT	RPD	OKTA	DDOG	ESTC	S	QLYS	CYBR	VRNS	NET	CRWD	ZS
ARQQ	1.00	0.21	0.15	0.20	0.18	0.16	0.18	0.21	0.19	0.17	0.24	0.21	0.20	0.24	0.20	0.20	0.25	0.24	0.20	0.22
TLS	0.21	1.00	0.25	0.32	0.32	0.33	0.37	0.28	0.32	0.40	0.39	0.34	0.39	0.39	0.39	0.37	0.42	0.36	0.37	0.39
CHKP	0.15	0.25	1.00	0.30	0.37	0.44	0.37	0.45	0.49	0.37	0.39	0.36	0.33	0.36	0.46	0.42	0.40	0.35	0.43	0.41
ATEN	0.20	0.32	0.30	1.00	0.46	0.53	0.42	0.42	0.51	0.42	0.37	0.40	0.41	0.41	0.51	0.41	0.47	0.42	0.41	0.44
RDWR	0.18	0.32	0.37	0.46	1.00	0.50	0.41	0.40	0.45	0.48	0.48	0.43	0.47	0.44	0.51	0.46	0.47	0.49	0.46	0.46
FFIV	0.16	0.33	0.44	0.53	0.50	1.00	0.49	0.48	0.57	0.48	0.49	0.49	0.48	0.46	0.55	0.50	0.51	0.52	0.50	0.52
SPLK	0.18	0.37	0.37	0.42	0.41	0.49	1.00	0.54	0.54	0.54	0.58	0.58	0.63	0.56	0.59	0.57	0.60	0.58	0.60	0.61
PANW	0.21	0.28	0.45	0.42	0.40	0.48	0.54	1.00	0.64	0.54	0.53	0.58	0.56	0.57	0.59	0.59	0.53	0.57	0.67	0.68
FTNT	0.19	0.32	0.49	0.51	0.45	0.57	0.54	0.64	1.00	0.55	0.55	0.59	0.55	0.57	0.60	0.59	0.57	0.62	0.65	0.66
RPD	0.17	0.40	0.37	0.42	0.48	0.48	0.54	0.54	0.55	1.00	0.62	0.61	0.61	0.63	0.70	0.67	0.70	0.65	0.63	0.67
OKTA	0.24	0.39	0.39	0.37	0.48	0.49	0.58	0.53	0.55	0.62	1.00	0.66	0.67	0.67	0.61	0.64	0.66	0.66	0.67	0.68
DDOG	0.21	0.34	0.36	0.40	0.43	0.49	0.58	0.58	0.59	0.61	0.66	1.00	0.73	0.67	0.60	0.66	0.62	0.75	0.70	0.74
ESTC	0.20	0.39	0.33	0.41	0.47	0.48	0.63	0.56	0.55	0.61	0.67	0.73	1.00	0.66	0.60	0.65	0.67	0.72	0.69	0.72
S	0.24	0.39	0.36	0.41	0.44	0.46	0.56	0.57	0.57	0.63	0.67	0.67	0.66	1.00	0.62	0.66	0.68	0.69	0.75	0.74
QLYS	0.20	0.39	0.46	0.51	0.51	0.55	0.59	0.59	0.60	0.70	0.61	0.60	0.60	0.62	1.00	0.65	0.66	0.63	0.64	0.67
CYBR	0.20	0.37	0.42	0.41	0.46	0.50	0.57	0.59	0.59	0.67	0.64	0.66	0.65	0.66	0.65	1.00	0.68	0.68	0.69	0.71
VRNS	0.25	0.42	0.40	0.47	0.47	0.51	0.60	0.53	0.57	0.70	0.66	0.62	0.67	0.68	0.66	0.68	1.00	0.66	0.66	0.68
NET	0.24	0.36	0.35	0.42	0.49	0.52	0.58	0.57	0.62	0.65	0.66	0.75	0.72	0.69	0.63	0.68	0.66	1.00	0.72	0.76
CRWD	0.20	0.37	0.43	0.41	0.46	0.50	0.60	0.67	0.65	0.63	0.67	0.70	0.69	0.75	0.64	0.69	0.66	0.72	1.00	0.80
ZS	0.22	0.39	0.41	0.44	0.46	0.52	0.61	0.68	0.66	0.67	0.68	0.74	0.72	0.74	0.67	0.71	0.68	0.76	0.80	1.00