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FAAMNGP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

FAAMNGP

Last updated Jul 25, 2024

Asset Allocation

AAPL 14.29%AMZN 14.29%NVDA 14.29%MSFT 14.29%GOOGL 14.29%PANW 14.29%META 14.29%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology

14.29%

AMZN
Amazon.com, Inc.		Consumer Cyclical

14.29%

GOOGL
Alphabet Inc.		Communication Services

14.29%

META
Meta Platforms, Inc.		Communication Services

14.29%

MSFT
Microsoft Corporation		Technology

14.29%

NVDA
NVIDIA Corporation		Technology

14.29%

PANW
Palo Alto Networks, Inc.		Technology

14.29%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FAAMNGP, 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%1,000.00%2,000.00%3,000.00%4,000.00%FebruaryMarchAprilMayJuneJuly
3,280.63%
298.27%
FAAMNGP
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 Jul 25, 2024, the FAAMNGP returned 34.30% Year-To-Date and 34.37% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.78%-0.38%11.47%18.82%12.44%10.64%
FAAMNGP34.30%-1.96%22.48%51.60%36.38%34.37%
Portfolio components:
AAPL
Apple Inc		13.81%5.00%12.66%13.47%34.37%26.10%
AMZN
Amazon.com, Inc.		19.01%-2.55%15.27%40.04%13.28%27.35%
NVDA
NVIDIA Corporation		130.74%-3.27%86.21%150.19%92.64%75.22%
MSFT
Microsoft Corporation		14.47%-4.19%6.93%23.16%26.14%27.53%
GOOGL
Alphabet Inc.		23.72%-3.68%16.23%41.42%22.73%19.22%
PANW
Palo Alto Networks, Inc.		9.96%2.39%-4.70%33.48%33.90%27.96%
META
Meta Platforms, Inc.		30.58%-7.54%18.31%56.97%18.33%19.96%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20247.61%9.29%2.55%-2.36%8.94%9.74%34.30%
202317.21%6.23%14.51%2.79%14.62%8.25%4.68%-0.62%-5.59%0.60%12.20%3.26%108.15%
2022-8.09%-3.59%5.54%-16.14%-3.66%-9.35%11.59%-4.07%-13.19%-2.24%7.91%-10.84%-40.14%
2021-0.11%1.10%0.75%10.47%-0.03%8.76%3.75%8.40%-5.68%8.86%7.00%-0.38%50.45%
20204.19%-5.82%-6.24%17.92%9.46%5.91%10.25%13.37%-7.16%-2.81%10.22%5.24%64.55%
201911.30%3.66%6.39%6.52%-12.07%7.96%4.99%-3.25%1.31%7.78%4.59%4.63%50.65%
201812.57%0.95%-3.89%2.59%9.02%-0.03%1.77%10.45%-1.38%-13.09%-5.94%-7.38%2.49%
20177.99%2.76%-0.61%2.16%9.98%-0.46%5.07%3.04%0.89%9.36%0.75%-0.50%47.71%
2016-6.09%-2.87%9.70%-3.53%7.20%-3.09%10.72%2.46%7.18%0.28%-0.10%3.54%26.48%
20150.72%8.98%-1.67%5.09%2.42%-1.14%8.99%-3.27%1.77%12.47%6.06%-0.65%46.05%
20140.24%8.45%-3.80%-1.43%6.58%3.76%0.06%5.96%1.78%1.16%7.08%-3.77%28.25%
20132.93%0.87%-1.45%3.76%0.57%-3.07%11.79%2.80%6.25%5.70%5.86%5.31%48.92%

Expense Ratio

FAAMNGP 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 risk-adjusted rank of FAAMNGP is 89, placing it in the top 11% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of FAAMNGP is 8989
FAAMNGP
The Sharpe Ratio Rank of FAAMNGP is 8686Sharpe Ratio Rank
The Sortino Ratio Rank of FAAMNGP is 8383Sortino Ratio Rank
The Omega Ratio Rank of FAAMNGP is 8686Omega Ratio Rank
The Calmar Ratio Rank of FAAMNGP is 9595Calmar Ratio Rank
The Martin Ratio Rank of FAAMNGP is 9292Martin 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.

FAAMNGP
Sharpe ratio
The chart of Sharpe ratio for FAAMNGP, currently valued at 2.33, compared to the broader market-1.000.001.002.003.004.002.33
Sortino ratio
The chart of Sortino ratio for FAAMNGP, currently valued at 3.02, compared to the broader market-2.000.002.004.006.003.02
Omega ratio
The chart of Omega ratio for FAAMNGP, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.40
Calmar ratio
The chart of Calmar ratio for FAAMNGP, currently valued at 5.57, compared to the broader market0.002.004.006.008.005.57
Martin ratio
The chart of Martin ratio for FAAMNGP, currently valued at 17.32, compared to the broader market0.0010.0020.0030.0040.0017.32
^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 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc		0.621.031.120.841.67
AMZN
Amazon.com, Inc.		1.452.201.261.128.16
NVDA
NVIDIA Corporation		3.353.741.477.8921.82
MSFT
Microsoft Corporation		1.251.721.221.945.78
GOOGL
Alphabet Inc.		1.512.031.292.299.14
PANW
Palo Alto Networks, Inc.		0.721.111.201.092.33
META
Meta Platforms, Inc.		1.582.401.312.269.09

Sharpe Ratio

The current FAAMNGP Sharpe ratio is 2.33. 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 1.23 to 1.94, 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 FAAMNGP 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 Ratio1.502.002.503.003.504.00FebruaryMarchAprilMayJuneJuly
2.33
1.66
FAAMNGP
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FAAMNGP granted a 0.21% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
FAAMNGP0.21%0.18%0.27%0.18%0.24%0.36%0.56%0.52%0.68%0.78%0.83%0.95%
Portfolio components:
AAPL
Apple Inc		0.44%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%
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%
MSFT
Microsoft Corporation		0.68%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
GOOGL
Alphabet Inc.		0.12%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
META
Meta Platforms, Inc.		0.22%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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-9.52%
-4.24%
FAAMNGP
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FAAMNGP. 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 FAAMNGP was 44.55%, occurring on Nov 3, 2022. Recovery took 143 trading sessions.

The current FAAMNGP drawdown is 9.52%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.55%Dec 28, 2021216Nov 3, 2022143Jun 1, 2023359
-31.41%Feb 20, 202018Mar 16, 202044May 18, 202062
-30.78%Sep 4, 201878Dec 24, 2018205Oct 17, 2019283
-19.75%Dec 7, 201543Feb 8, 201675May 25, 2016118
-15.26%Sep 3, 202014Sep 23, 202061Dec 18, 202075

Volatility

Volatility Chart

The current FAAMNGP volatility is 7.91%, 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%FebruaryMarchAprilMayJuneJuly
7.91%
3.80%
FAAMNGP
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.
PANWAAPLNVDAMETAAMZNMSFTGOOGL
PANW1.000.380.420.350.420.410.39
AAPL0.381.000.480.460.500.560.54
NVDA0.420.481.000.470.510.560.51
META0.350.460.471.000.560.500.60
AMZN0.420.500.510.561.000.600.65
MSFT0.410.560.560.500.601.000.65
GOOGL0.390.540.510.600.650.651.00
The correlation results are calculated based on daily price changes starting from Jul 23, 2012