Top 10 Sharpe Ratio based
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
MSFT Microsoft Corporation | Technology | 33.39% |
NVDA NVIDIA Corporation | Technology | 17.65% |
NOW ServiceNow, Inc. | Technology | 11.59% |
MA Mastercard Inc | Financial Services | 9.86% |
PANW Palo Alto Networks, Inc. | Technology | 9.02% |
TSLA Tesla, Inc. | Consumer Cyclical | 7.56% |
NFLX Netflix, Inc. | Communication Services | 4.97% |
AMD Advanced Micro Devices, Inc. | Technology | 3.04% |
V Visa Inc. | Financial Services | 2.93% |
Performance
The chart shows the growth of an initial investment of $10,000 in Top 10 Sharpe Ratio based, 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
Returns
As of Jun 2, 2023, the Top 10 Sharpe Ratio based returned 61.16% Year-To-Date and 39.62% of annualized return in the last 10 years.
| 1 month | Year-To-Date | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 3.18% | 9.94% | 3.67% | 1.06% | 9.08% | 9.99% |
| Top 10 Sharpe Ratio based | 19.97% | 61.16% | 44.82% | 37.40% | 35.96% | 39.72% |
| Portfolio components: | ||||||
AMD Advanced Micro Devices, Inc. | 46.37% | 84.45% | 59.34% | 10.02% | 52.78% | 40.49% |
MA Mastercard Inc | -1.07% | 7.00% | 3.33% | 2.80% | 14.32% | 21.40% |
MSFT Microsoft Corporation | 9.50% | 39.33% | 31.03% | 22.29% | 28.44% | 27.61% |
NFLX Netflix, Inc. | 26.25% | 36.71% | 25.82% | 96.56% | 2.30% | 28.81% |
NVDA NVIDIA Corporation | 43.05% | 172.18% | 135.70% | 103.18% | 44.27% | 61.22% |
V Visa Inc. | 0.43% | 9.45% | 4.47% | 6.16% | 12.37% | 18.38% |
PANW Palo Alto Networks, Inc. | 22.03% | 55.36% | 25.54% | 25.71% | 25.51% | 30.95% |
NOW ServiceNow, Inc. | 24.22% | 39.84% | 31.51% | 7.56% | 24.54% | 31.20% |
TSLA Tesla, Inc. | 29.21% | 68.47% | 6.50% | -19.67% | 60.67% | 41.86% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| TSLA | NFLX | PANW | AMD | V | NOW | MA | NVDA | MSFT | |
|---|---|---|---|---|---|---|---|---|---|
| TSLA | 1.00 | 0.37 | 0.36 | 0.34 | 0.29 | 0.36 | 0.32 | 0.40 | 0.36 |
| NFLX | 0.37 | 1.00 | 0.35 | 0.35 | 0.37 | 0.43 | 0.39 | 0.43 | 0.43 |
| PANW | 0.36 | 0.35 | 1.00 | 0.34 | 0.38 | 0.54 | 0.38 | 0.43 | 0.41 |
| AMD | 0.34 | 0.35 | 0.34 | 1.00 | 0.37 | 0.41 | 0.38 | 0.61 | 0.45 |
| V | 0.29 | 0.37 | 0.38 | 0.37 | 1.00 | 0.49 | 0.84 | 0.46 | 0.57 |
| NOW | 0.36 | 0.43 | 0.54 | 0.41 | 0.49 | 1.00 | 0.50 | 0.52 | 0.54 |
| MA | 0.32 | 0.39 | 0.38 | 0.38 | 0.84 | 0.50 | 1.00 | 0.48 | 0.59 |
| NVDA | 0.40 | 0.43 | 0.43 | 0.61 | 0.46 | 0.52 | 0.48 | 1.00 | 0.56 |
| MSFT | 0.36 | 0.43 | 0.41 | 0.45 | 0.57 | 0.54 | 0.59 | 0.56 | 1.00 |
Dividend yield
Top 10 Sharpe Ratio based granted a 0.51% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Top 10 Sharpe Ratio based | 0.51% | 0.45% | 0.31% | 0.40% | 0.52% | 0.75% | 0.79% | 1.04% | 1.17% | 1.34% | 1.43% | 1.42% |
| Portfolio components: | ||||||||||||
AMD Advanced Micro Devices, 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% |
MA Mastercard Inc | 0.84% | 0.57% | 0.49% | 0.45% | 0.45% | 0.54% | 0.60% | 0.76% | 0.69% | 0.54% | 0.27% | 0.23% |
MSFT Microsoft Corporation | 1.17% | 1.06% | 0.69% | 0.96% | 1.24% | 1.78% | 1.98% | 2.58% | 2.61% | 2.85% | 3.07% | 3.79% |
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% |
NVDA NVIDIA Corporation | 0.05% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.30% | 0.46% | 1.23% | 1.77% | 2.06% | 0.66% |
V Visa Inc. | 1.09% | 0.76% | 0.62% | 0.57% | 0.57% | 0.69% | 0.63% | 0.78% | 0.68% | 0.68% | 0.67% | 0.70% |
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% |
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% |
TSLA Tesla, 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% |
Expense Ratio
The Top 10 Sharpe Ratio based 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.
Risk-Adjusted Performance
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
AMD Advanced Micro Devices, Inc. | 0.31 | ||||
MA Mastercard Inc | 0.17 | ||||
MSFT Microsoft Corporation | 0.71 | ||||
NFLX Netflix, Inc. | 2.06 | ||||
NVDA NVIDIA Corporation | 1.87 | ||||
V Visa Inc. | 0.33 | ||||
PANW Palo Alto Networks, Inc. | 0.74 | ||||
NOW ServiceNow, Inc. | 0.34 | ||||
TSLA Tesla, Inc. | -0.29 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Top 10 Sharpe Ratio based. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Top 10 Sharpe Ratio based is 41.38%, recorded on Oct 14, 2022. It took 154 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -41.38% | Nov 22, 2021 | 226 | Oct 14, 2022 | 154 | May 26, 2023 | 380 |
| -34% | Feb 20, 2020 | 18 | Mar 16, 2020 | 46 | May 20, 2020 | 64 |
| -27.09% | Oct 2, 2018 | 58 | Dec 24, 2018 | 59 | Mar 21, 2019 | 117 |
| -24.91% | Dec 30, 2015 | 27 | Feb 8, 2016 | 76 | May 26, 2016 | 103 |
| -14.07% | Sep 3, 2020 | 3 | Sep 8, 2020 | 59 | Dec 1, 2020 | 62 |
Volatility Chart
The current Top 10 Sharpe Ratio based volatility is 8.52%, 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.