PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Top 10 Sharpe Ratio based
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


MSFT 33.39%NVDA 17.65%NOW 11.59%MA 9.86%PANW 9.02%TSLA 7.56%NFLX 4.97%AMD 3.04%V 2.93%EquityEquity
PositionCategory/SectorWeight
AMD
Advanced Micro Devices, Inc.
Technology

3.04%

MA
Mastercard Inc
Financial Services

9.86%

MSFT
Microsoft Corporation
Technology

33.39%

NFLX
Netflix, Inc.
Communication Services

4.97%

NOW
ServiceNow, Inc.
Technology

11.59%

NVDA
NVIDIA Corporation
Technology

17.65%

PANW
Palo Alto Networks, Inc.
Technology

9.02%

TSLA
Tesla, Inc.
Consumer Cyclical

7.56%

V
Visa Inc.
Financial Services

2.93%

S&P 500

Performance

Performance Chart

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


0.00%1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%2024FebruaryMarchAprilMayJune
6,448.04%
301.03%
Top 10 Sharpe Ratio based
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 Jun 22, 2024, the Top 10 Sharpe Ratio based returned 32.79% Year-To-Date and 40.82% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.57%2.97%14.93%24.71%13.14%10.88%
Top 10 Sharpe Ratio based32.79%6.94%33.56%53.90%44.63%40.69%
AMD
Advanced Micro Devices, Inc.
9.38%0.50%15.49%46.56%40.80%45.00%
MA
Mastercard Inc
6.96%0.81%7.57%20.46%12.03%20.87%
MSFT
Microsoft Corporation
20.05%5.33%20.51%35.30%27.98%28.88%
NFLX
Netflix, Inc.
40.92%7.94%40.96%61.81%13.12%26.95%
NVDA
NVIDIA Corporation
155.62%21.95%159.24%199.95%102.00%76.27%
V
Visa Inc.
6.10%0.36%6.89%20.82%10.41%18.95%
PANW
Palo Alto Networks, Inc.
8.63%2.85%7.42%31.32%37.19%28.34%
NOW
ServiceNow, Inc.
6.06%-1.16%7.42%38.00%21.60%28.39%
TSLA
Tesla, Inc.
-26.35%5.34%-27.53%-28.68%65.32%27.84%

Monthly Returns

The table below presents the monthly returns of Top 10 Sharpe Ratio based, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20248.56%8.34%2.35%-5.34%7.33%32.79%
202315.87%6.09%11.70%-0.33%15.27%8.86%1.87%0.27%-6.00%0.47%14.81%2.42%94.81%
2022-9.27%-1.60%4.11%-15.98%-2.36%-8.36%11.96%-6.65%-11.62%5.61%9.02%-9.91%-33.05%
20210.30%1.14%-1.91%7.10%-0.84%10.96%3.89%7.00%-3.13%15.99%5.25%-1.63%51.65%
202010.53%-1.86%-7.77%17.51%9.36%7.78%9.10%19.07%-5.32%-6.04%13.18%6.66%93.36%
20199.32%7.62%4.83%5.42%-10.04%9.50%2.59%-1.66%0.11%8.02%6.93%6.41%58.99%
201816.40%1.39%-2.99%2.59%7.61%1.28%2.24%10.47%1.03%-11.11%-1.47%-7.06%18.89%
20178.23%0.04%0.83%2.45%10.64%1.09%5.61%3.43%2.24%8.20%-0.88%0.64%50.80%
2016-11.01%-2.93%11.54%-1.20%7.74%-3.48%12.29%2.02%5.18%4.75%3.35%5.41%36.12%
2015-3.74%9.59%-4.65%10.33%2.34%-2.41%4.54%-3.64%1.47%11.47%7.33%1.54%37.63%
20142.62%10.47%-2.98%-3.29%5.22%4.29%-1.60%7.50%-1.11%4.46%3.24%-1.92%29.14%
20136.04%4.48%3.21%12.07%10.73%0.69%3.15%5.67%5.51%0.85%5.11%4.11%81.34%

Expense Ratio

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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Top 10 Sharpe Ratio based is 83, placing it in the top 17% 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 Top 10 Sharpe Ratio based is 8383
Top 10 Sharpe Ratio based
The Sharpe Ratio Rank of Top 10 Sharpe Ratio based is 8383Sharpe Ratio Rank
The Sortino Ratio Rank of Top 10 Sharpe Ratio based is 7878Sortino Ratio Rank
The Omega Ratio Rank of Top 10 Sharpe Ratio based is 8181Omega Ratio Rank
The Calmar Ratio Rank of Top 10 Sharpe Ratio based is 9292Calmar Ratio Rank
The Martin Ratio Rank of Top 10 Sharpe Ratio based is 8080Martin 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.


Top 10 Sharpe Ratio based
Sharpe ratio
The chart of Sharpe ratio for Top 10 Sharpe Ratio based, currently valued at 2.51, compared to the broader market0.002.004.002.51
Sortino ratio
The chart of Sortino ratio for Top 10 Sharpe Ratio based, currently valued at 3.25, compared to the broader market-2.000.002.004.006.003.25
Omega ratio
The chart of Omega ratio for Top 10 Sharpe Ratio based, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for Top 10 Sharpe Ratio based, currently valued at 4.69, compared to the broader market0.002.004.006.008.0010.004.69
Martin ratio
The chart of Martin ratio for Top 10 Sharpe Ratio based, currently valued at 11.42, compared to the broader market0.0010.0020.0030.0040.0050.0011.42
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.24, compared to the broader market0.002.004.002.24
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.16, compared to the broader market-2.000.002.004.006.003.16
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.78, compared to the broader market0.002.004.006.008.0010.001.78
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.36, compared to the broader market0.0010.0020.0030.0040.0050.008.36

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AMD
Advanced Micro Devices, Inc.
0.971.571.201.043.20
MA
Mastercard Inc
1.441.891.271.724.97
MSFT
Microsoft Corporation
1.772.351.302.766.80
NFLX
Netflix, Inc.
1.782.601.351.236.76
NVDA
NVIDIA Corporation
4.374.641.589.8128.40
V
Visa Inc.
1.622.231.282.606.29
PANW
Palo Alto Networks, Inc.
0.731.121.201.122.41
NOW
ServiceNow, Inc.
1.231.601.241.525.41
TSLA
Tesla, Inc.
-0.58-0.650.93-0.45-1.03

Sharpe Ratio

The current Top 10 Sharpe Ratio based Sharpe ratio is 2.51. 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 1.46 to 2.42, 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 Top 10 Sharpe Ratio based 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 Ratio1.502.002.503.003.504.002024FebruaryMarchAprilMayJune
2.51
2.24
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Top 10 Sharpe Ratio based granted a 0.30% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Top 10 Sharpe Ratio based0.30%0.33%0.45%0.30%0.40%0.51%0.72%0.75%0.97%1.07%1.19%1.25%
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
0.54%0.53%0.56%0.49%0.45%0.44%0.53%0.58%0.74%0.66%0.51%0.25%
MSFT
Microsoft Corporation
0.65%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
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
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
V
Visa Inc.
0.73%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%0.62%
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%

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%2024FebruaryMarchAprilMayJune
-0.50%
-0.41%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Top 10 Sharpe Ratio based. 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 Top 10 Sharpe Ratio based was 41.38%, occurring on Oct 14, 2022. Recovery took 154 trading sessions.

The current Top 10 Sharpe Ratio based drawdown is 0.50%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.38%Nov 22, 2021226Oct 14, 2022154May 26, 2023380
-34%Feb 20, 202018Mar 16, 202046May 20, 202064
-27.09%Oct 2, 201858Dec 24, 201859Mar 21, 2019117
-24.91%Dec 30, 201527Feb 8, 201676May 26, 2016103
-14.07%Sep 3, 20203Sep 8, 202059Dec 1, 202062

Volatility

Volatility Chart

The current Top 10 Sharpe Ratio based volatility is 5.28%, 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%2024FebruaryMarchAprilMayJune
5.28%
2.38%
Top 10 Sharpe Ratio based
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.

TSLANFLXPANWAMDVNOWMANVDAMSFT
TSLA1.000.360.350.340.290.350.310.380.35
NFLX0.361.000.340.360.370.440.380.430.43
PANW0.350.341.000.340.370.530.380.420.41
AMD0.340.360.341.000.370.410.380.610.45
V0.290.370.370.371.000.480.830.430.55
NOW0.350.440.530.410.481.000.490.510.55
MA0.310.380.380.380.830.491.000.460.57
NVDA0.380.430.420.610.430.510.461.000.56
MSFT0.350.430.410.450.550.550.570.561.00
The correlation results are calculated based on daily price changes starting from Jul 23, 2012