PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
app
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ANET 5.56%FTNT 5.56%CRM 5.56%CDNS 5.56%ANSS 5.56%MPWR 5.56%TYL 5.56%SNPS 5.56%ADI 5.56%SWKS 5.56%ADBE 5.56%NOW 5.56%STX 5.56%ORCL 5.56%JNPR 5.56%AGYS 5.56%MSFT 5.56%XLK 5.56%EquityEquity
PositionCategory/SectorWeight
ADBE
Adobe Inc
Technology

5.56%

ADI
Analog Devices, Inc.
Technology

5.56%

AGYS
Agilysys, Inc.
Technology

5.56%

ANET
Arista Networks, Inc.
Technology

5.56%

ANSS
ANSYS, Inc.
Technology

5.56%

CDNS
Cadence Design Systems, Inc.
Technology

5.56%

CRM
salesforce.com, inc.
Technology

5.56%

FTNT
Fortinet, Inc.
Technology

5.56%

JNPR
Juniper Networks, Inc.
Technology

5.56%

MPWR
Monolithic Power Systems, Inc.
Technology

5.56%

MSFT
Microsoft Corporation
Technology

5.56%

NOW
ServiceNow, Inc.
Technology

5.56%

ORCL
Oracle Corporation
Technology

5.56%

SNPS
Synopsys, Inc.
Technology

5.56%

STX
Seagate Technology plc
Technology

5.56%

SWKS
Skyworks Solutions, Inc.
Technology

5.56%

TYL
Tyler Technologies, Inc.
Technology

5.56%

XLK
Technology Select Sector SPDR Fund
Technology Equities

5.56%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in app, 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%2024FebruaryMarchAprilMayJune
13.19%
15.14%
app
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 6, 2014, corresponding to the inception date of ANET

Returns By Period

As of Jun 14, 2024, the app returned 11.63% Year-To-Date and 24.58% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.92%3.57%15.13%24.27%13.51%10.88%
app11.63%1.98%13.19%24.66%26.64%24.52%
ANET
Arista Networks, Inc.
40.83%1.73%40.78%102.89%41.31%34.34%
FTNT
Fortinet, Inc.
2.90%-0.82%4.15%-18.15%31.86%28.67%
CRM
salesforce.com, inc.
-12.85%-20.35%-12.34%8.21%8.87%14.80%
CDNS
Cadence Design Systems, Inc.
12.91%4.93%13.27%29.34%35.41%33.71%
ANSS
ANSYS, Inc.
-10.44%-1.48%10.00%-3.50%10.53%15.76%
MPWR
Monolithic Power Systems, Inc.
29.77%10.21%29.45%58.54%46.48%35.82%
TYL
Tyler Technologies, Inc.
13.48%-3.00%15.61%20.25%16.73%18.99%
SNPS
Synopsys, Inc.
13.91%1.09%5.44%31.40%36.34%31.15%
ADI
Analog Devices, Inc.
18.89%8.90%17.52%25.65%19.85%17.98%
SWKS
Skyworks Solutions, Inc.
-4.11%13.47%-4.25%-0.25%10.35%10.13%
ADBE
Adobe Inc
-23.11%-5.48%-21.54%-6.55%10.85%21.16%
NOW
ServiceNow, Inc.
0.46%-6.68%1.65%23.57%21.16%28.09%
STX
Seagate Technology plc
23.71%6.12%26.37%64.60%24.03%11.63%
ORCL
Oracle Corporation
33.59%14.98%36.32%12.10%23.30%14.50%
JNPR
Juniper Networks, Inc.
22.06%3.44%22.77%12.67%9.17%6.07%
AGYS
Agilysys, Inc.
6.72%-5.88%8.21%25.06%31.95%20.65%
MSFT
Microsoft Corporation
17.86%4.37%19.55%27.85%28.49%28.74%
XLK
Technology Select Sector SPDR Fund
18.04%6.47%18.78%30.94%25.71%21.14%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.58%3.63%0.95%-5.67%3.39%11.63%
202311.23%1.93%10.20%-3.50%7.12%4.23%1.71%-0.44%-5.89%0.93%11.98%4.61%51.68%
2022-10.52%-1.71%2.03%-12.65%0.67%-6.09%12.86%-6.70%-10.55%5.81%8.10%-4.59%-23.83%
2021-0.06%5.68%-0.09%4.56%0.37%6.94%5.23%5.01%-5.58%10.08%1.59%2.26%41.30%
20205.05%-6.91%-8.45%14.18%9.25%2.97%6.20%6.47%-3.30%-0.79%11.58%7.22%49.24%
201910.05%10.35%3.03%6.52%-10.73%8.91%3.94%-1.85%1.11%1.75%6.42%3.31%49.54%
20189.01%-0.30%-0.39%0.99%6.96%0.76%1.04%8.72%-0.97%-8.64%1.03%-7.79%9.10%
20176.68%6.66%2.70%2.42%5.06%-2.18%2.33%3.37%0.99%7.72%2.35%-0.41%44.27%
2016-8.96%-0.70%7.63%-1.96%5.22%-2.47%6.51%3.48%2.77%-1.16%2.52%-1.59%10.57%
2015-3.38%8.56%-0.31%2.61%3.52%-1.74%2.92%-5.03%-0.23%7.11%2.74%-3.81%12.66%
20143.72%-1.29%6.25%-2.64%3.84%4.15%1.10%15.80%

Expense Ratio

app has an expense ratio of 0.01% 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.


Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of app is 39, 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 app is 3939
app
The Sharpe Ratio Rank of app is 2828Sharpe Ratio Rank
The Sortino Ratio Rank of app is 2626Sortino Ratio Rank
The Omega Ratio Rank of app is 2626Omega Ratio Rank
The Calmar Ratio Rank of app is 7171Calmar Ratio Rank
The Martin Ratio Rank of app is 4545Martin 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.


app
Sharpe ratio
The chart of Sharpe ratio for app, currently valued at 1.40, compared to the broader market0.002.004.006.001.40
Sortino ratio
The chart of Sortino ratio for app, currently valued at 1.93, compared to the broader market-2.000.002.004.006.001.93
Omega ratio
The chart of Omega ratio for app, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for app, currently valued at 2.36, compared to the broader market0.002.004.006.008.0010.002.36
Martin ratio
The chart of Martin ratio for app, currently valued at 5.97, compared to the broader market0.0010.0020.0030.0040.0050.005.98
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.15, compared to the broader market0.002.004.006.002.15
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.07, compared to the broader market0.0010.0020.0030.0040.0050.008.07

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ANET
Arista Networks, Inc.
2.223.071.414.8616.18
FTNT
Fortinet, Inc.
-0.36-0.200.96-0.38-0.63
CRM
salesforce.com, inc.
0.290.581.100.271.03
CDNS
Cadence Design Systems, Inc.
1.121.731.201.924.96
ANSS
ANSYS, Inc.
-0.080.101.01-0.07-0.22
MPWR
Monolithic Power Systems, Inc.
1.261.981.221.684.37
TYL
Tyler Technologies, Inc.
0.891.481.190.643.74
SNPS
Synopsys, Inc.
1.101.681.202.005.35
ADI
Analog Devices, Inc.
0.891.471.171.113.08
SWKS
Skyworks Solutions, Inc.
-0.010.201.03-0.01-0.03
ADBE
Adobe Inc
-0.140.021.00-0.12-0.32
NOW
ServiceNow, Inc.
0.931.281.191.144.12
STX
Seagate Technology plc
2.162.811.361.4610.05
ORCL
Oracle Corporation
0.631.051.171.052.04
JNPR
Juniper Networks, Inc.
0.591.401.200.551.69
AGYS
Agilysys, Inc.
0.551.321.150.902.71
MSFT
Microsoft Corporation
1.602.171.272.556.20
XLK
Technology Select Sector SPDR Fund
1.952.661.333.118.36

Sharpe Ratio

The current app Sharpe ratio is 1.40. 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 1.41 to 2.33, 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 app 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.40
2.15
app
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

app granted a 0.69% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
app0.69%0.77%0.94%0.60%0.81%0.86%1.09%0.90%1.02%1.02%0.72%0.54%
ANET
Arista 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%
FTNT
Fortinet, 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.
0.17%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CDNS
Cadence Design Systems, 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%
ANSS
ANSYS, 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%
MPWR
Monolithic Power Systems, Inc.
0.52%0.63%0.85%0.49%0.55%0.90%1.03%0.71%0.98%1.26%0.90%0.00%
TYL
Tyler Technologies, 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%
SNPS
Synopsys, 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%
ADI
Analog Devices, Inc.
1.52%1.73%1.85%1.57%1.68%1.82%2.24%2.02%2.31%2.89%2.67%2.67%
SWKS
Skyworks Solutions, Inc.
2.56%2.31%2.59%1.37%1.23%1.36%2.09%1.26%1.45%1.02%0.48%0.00%
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%
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%
STX
Seagate Technology plc
2.67%3.28%5.32%2.40%4.21%4.27%6.53%6.02%6.60%6.14%2.75%2.12%
ORCL
Oracle Corporation
1.14%1.44%1.57%1.38%1.48%1.72%1.68%1.52%1.56%1.56%1.07%0.63%
JNPR
Juniper Networks, Inc.
2.48%2.99%2.63%2.24%3.55%3.09%2.68%1.40%1.42%1.45%0.90%0.00%
AGYS
Agilysys, 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
0.66%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
XLK
Technology Select Sector SPDR Fund
0.65%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%

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%2024FebruaryMarchAprilMayJune00
app
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the app. 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 app was 34.72%, occurring on Oct 14, 2022. Recovery took 166 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.72%Nov 17, 2021229Oct 14, 2022166Jun 14, 2023395
-30.86%Feb 14, 202021Mar 16, 202053Jun 1, 202074
-22.2%Aug 30, 201880Dec 24, 201838Feb 20, 2019118
-20.67%Dec 2, 201546Feb 8, 2016117Jul 26, 2016163
-12.49%May 1, 201923Jun 3, 201922Jul 3, 201945

Volatility

Volatility Chart

The current app volatility is 5.87%, 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%6.00%7.00%2024FebruaryMarchAprilMayJune
5.87%
2.49%
app
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.

AGYSJNPRSTXORCLANETTYLSWKSFTNTADICRMNOWMPWRMSFTADBECDNSANSSSNPSXLK
AGYS1.000.280.270.290.270.350.320.320.340.310.320.360.300.320.340.360.360.38
JNPR0.281.000.450.420.460.350.450.420.460.370.350.450.420.370.410.430.420.52
STX0.270.451.000.410.410.370.460.380.490.370.360.480.450.390.420.420.440.55
ORCL0.290.420.411.000.400.420.400.480.450.470.450.430.570.520.510.530.520.63
ANET0.270.460.410.401.000.430.480.510.480.500.520.520.500.500.530.520.550.60
TYL0.350.350.370.420.431.000.450.550.460.580.600.520.540.600.560.610.580.62
SWKS0.320.450.460.400.480.451.000.480.730.470.480.710.520.500.560.550.560.70
FTNT0.320.420.380.480.510.550.481.000.480.560.610.530.550.590.580.590.600.63
ADI0.340.460.490.450.480.460.730.481.000.480.480.740.540.530.600.570.600.71
CRM0.310.370.370.470.500.580.470.560.481.000.690.510.620.680.590.640.620.69
NOW0.320.350.360.450.520.600.480.610.480.691.000.550.610.660.620.630.640.67
MPWR0.360.450.480.430.520.520.710.530.740.510.551.000.550.560.650.620.650.72
MSFT0.300.420.450.570.500.540.520.550.540.620.610.551.000.710.640.660.670.85
ADBE0.320.370.390.520.500.600.500.590.530.680.660.560.711.000.670.680.700.76
CDNS0.340.410.420.510.530.560.560.580.600.590.620.650.640.671.000.730.840.74
ANSS0.360.430.420.530.520.610.550.590.570.640.630.620.660.680.731.000.750.75
SNPS0.360.420.440.520.550.580.560.600.600.620.640.650.670.700.840.751.000.77
XLK0.380.520.550.630.600.620.700.630.710.690.670.720.850.760.740.750.771.00
The correlation results are calculated based on daily price changes starting from Jun 9, 2014