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Top 10 Sharpe Ratio based

Last updated Jun 2, 2023

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

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


-10.00%0.00%10.00%20.00%30.00%40.00%50.00%2023FebruaryMarchAprilMayJune
48.22%
5.55%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

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 monthYear-To-Date6 months1 year5 years (annualized)10 years (annualized)
Benchmark3.18%9.94%3.67%1.06%9.08%9.99%
Top 10 Sharpe Ratio based19.97%61.16%44.82%37.40%35.96%39.72%
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%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

TSLANFLXPANWAMDVNOWMANVDAMSFT
TSLA1.000.370.360.340.290.360.320.400.36
NFLX0.371.000.350.350.370.430.390.430.43
PANW0.360.351.000.340.380.540.380.430.41
AMD0.340.350.341.000.370.410.380.610.45
V0.290.370.380.371.000.490.840.460.57
NOW0.360.430.540.410.491.000.500.520.54
MA0.320.390.380.380.840.501.000.480.59
NVDA0.400.430.430.610.460.520.481.000.56
MSFT0.360.430.410.450.570.540.590.561.00

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current Top 10 Sharpe Ratio based Sharpe ratio is 1.21. A Sharpe ratio greater than 1.0 is considered acceptable.

The chart below displays rolling 12-month Sharpe Ratio.


-1.00-0.500.000.501.002023FebruaryMarchAprilMayJune
1.21
0.10
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

Dividend yield

Top 10 Sharpe Ratio based granted a 0.51% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Top 10 Sharpe Ratio based0.51%0.45%0.31%0.40%0.52%0.75%0.79%1.04%1.17%1.34%1.43%1.42%
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.


The portfolio doesn't hold funds that charge fees

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 ratioSortino ratioOmega ratioCalmar ratioUlcer 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.


-40.00%-30.00%-20.00%-10.00%0.00%2023FebruaryMarchAprilMayJune0
-12.00%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components

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, 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 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%2023FebruaryMarchAprilMayJune
8.52%
3.68%
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components