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FAAMNG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AAPL 16.67%AMZN 16.67%MSFT 16.67%META 16.67%NVDA 16.67%GOOGL 16.67%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc.
Technology

16.67%

AMZN
Amazon.com, Inc.
Consumer Cyclical

16.67%

GOOGL
Alphabet Inc.
Communication Services

16.67%

META
Meta Platforms, Inc.
Communication Services

16.67%

MSFT
Microsoft Corporation
Technology

16.67%

NVDA
NVIDIA Corporation
Technology

16.67%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FAAMNG, 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%500.00%1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%3,500.00%NovemberDecember2024FebruaryMarchApril
2,946.00%
283.50%
FAAMNG
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META

Returns By Period

As of Apr 20, 2024, the FAAMNG returned 19.09% Year-To-Date and 33.96% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
FAAMNG19.09%-6.49%35.98%72.66%32.66%33.87%
AAPL
Apple Inc.
-14.19%-4.23%-4.31%0.52%27.08%24.97%
AMZN
Amazon.com, Inc.
14.93%-2.37%39.51%63.27%12.70%26.41%
MSFT
Microsoft Corporation
6.33%-6.91%22.65%40.82%27.37%28.10%
META
Meta Platforms, Inc.
36.06%-5.59%56.03%126.21%21.30%23.04%
NVDA
NVIDIA Corporation
53.88%-19.18%84.14%181.07%74.55%67.03%
GOOGL
Alphabet Inc.
10.31%2.20%13.64%46.18%19.44%19.20%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20246.41%12.46%4.14%
2023-5.87%0.09%10.61%3.90%

Expense Ratio

The FAAMNG 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 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.


FAAMNG
Sharpe ratio
The chart of Sharpe ratio for FAAMNG, currently valued at 3.10, compared to the broader market-1.000.001.002.003.004.003.10
Sortino ratio
The chart of Sortino ratio for FAAMNG, currently valued at 4.15, compared to the broader market-2.000.002.004.006.004.15
Omega ratio
The chart of Omega ratio for FAAMNG, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.801.51
Calmar ratio
The chart of Calmar ratio for FAAMNG, currently valued at 3.15, compared to the broader market0.002.004.006.008.003.15
Martin ratio
The chart of Martin ratio for FAAMNG, currently valued at 26.97, compared to the broader market0.0010.0020.0030.0040.0026.97
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc.
-0.050.061.01-0.06-0.13
AMZN
Amazon.com, Inc.
2.293.111.381.4914.38
MSFT
Microsoft Corporation
1.792.571.312.107.69
META
Meta Platforms, Inc.
3.364.891.582.7027.99
NVDA
NVIDIA Corporation
3.544.401.548.1226.76
GOOGL
Alphabet Inc.
1.772.271.321.5610.03

Sharpe Ratio

The current FAAMNG Sharpe ratio is 3.10. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.004.003.10

The Sharpe ratio of FAAMNG 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 Ratio0.001.002.003.004.005.00NovemberDecember2024FebruaryMarchApril
3.10
1.66
FAAMNG
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FAAMNG granted a 0.24% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
FAAMNG0.24%0.21%0.31%0.20%0.28%0.42%0.66%0.60%0.79%0.91%0.97%1.11%
AAPL
Apple Inc.
0.58%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
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%
MSFT
Microsoft Corporation
0.72%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
META
Meta Platforms, Inc.
0.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
GOOGL
Alphabet 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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-7.85%
-5.46%
FAAMNG
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FAAMNG. 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 FAAMNG was 48.32%, occurring on Nov 3, 2022. Recovery took 153 trading sessions.

The current FAAMNG drawdown is 7.85%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.32%Nov 22, 2021240Nov 3, 2022153Jun 15, 2023393
-31.51%Sep 4, 201878Dec 24, 2018203Oct 15, 2019281
-29.36%Feb 20, 202018Mar 16, 202039May 11, 202057
-16.48%Dec 7, 201544Feb 9, 201644Apr 13, 201688
-16.4%Sep 3, 202014Sep 23, 202085Jan 26, 202199

Volatility

Volatility Chart

The current FAAMNG volatility is 5.83%, 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%NovemberDecember2024FebruaryMarchApril
5.83%
3.15%
FAAMNG
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.

NVDAAAPLMETAAMZNMSFTGOOGL
NVDA1.000.490.470.520.560.52
AAPL0.491.000.460.510.570.54
META0.470.461.000.560.500.60
AMZN0.520.510.561.000.600.65
MSFT0.560.570.500.601.000.65
GOOGL0.520.540.600.650.651.00