Sharpe Ratio top stocks
test run with stocks yahoo finance recommends.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ABR Arbor Realty Trust, Inc. | Real Estate | 10% |
AEHR Aehr Test Systems | Technology | 10% |
AVGO Broadcom Inc. | Technology | 10% |
ETN Eaton Corporation plc | Industrials | 10% |
MCD McDonald's Corporation | Consumer Cyclical | 10% |
MSFT Microsoft Corporation | Technology | 10% |
NFLX Netflix, Inc. | Communication Services | 10% |
RCL Royal Caribbean Cruises Ltd. | Consumer Cyclical | 10% |
SG Sweetgreen, Inc. | Consumer Cyclical | 10% |
TOL Toll Brothers, Inc. | Consumer Cyclical | 10% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Sharpe Ratio top stocks, 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
The earliest data available for this chart is Nov 18, 2021, corresponding to the inception date of SG
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 18.13% | 1.45% | 8.81% | 26.52% | 13.43% | 10.88% |
| Sharpe Ratio top stocks | 35.11% | 1.90% | 18.72% | 47.78% | N/A | N/A |
| Portfolio components: | ||||||
AVGO Broadcom Inc. | 46.63% | -1.96% | 32.21% | 94.50% | 45.69% | 37.93% |
MCD McDonald's Corporation | 0.87% | 6.10% | 5.14% | 8.34% | 9.43% | 14.98% |
MSFT Microsoft Corporation | 16.35% | 3.99% | 3.63% | 33.23% | 26.52% | 26.83% |
NFLX Netflix, Inc. | 45.19% | 4.87% | 13.88% | 79.24% | 19.86% | 26.96% |
RCL Royal Caribbean Cruises Ltd. | 30.05% | 6.72% | 30.13% | 75.56% | 8.79% | 10.78% |
ETN Eaton Corporation plc | 30.68% | 5.07% | 3.55% | 44.17% | 32.82% | 20.10% |
SG Sweetgreen, Inc. | 198.58% | -9.71% | 47.02% | 167.99% | N/A | N/A |
ABR Arbor Realty Trust, Inc. | 6.23% | 9.72% | 23.77% | 5.60% | 13.46% | 18.50% |
TOL Toll Brothers, Inc. | 47.44% | 16.50% | 24.49% | 95.05% | 32.71% | 17.31% |
AEHR Aehr Test Systems | -53.00% | -15.05% | -13.16% | -74.63% | 56.21% | 17.38% |
Monthly Returns
The table below presents the monthly returns of Sharpe Ratio top stocks, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -3.62% | 8.07% | 13.34% | -4.50% | 7.26% | 2.97% | 6.50% | 1.21% | 35.11% | ||||
| 2023 | 19.07% | -1.25% | -0.50% | -0.55% | 14.62% | 16.57% | 6.78% | -1.04% | -9.10% | -7.47% | 10.29% | 12.17% | 70.94% |
| 2022 | -13.55% | -3.21% | 0.29% | -12.23% | -3.95% | -14.85% | 20.80% | 0.65% | -4.77% | 16.72% | 8.79% | -9.88% | -20.17% |
| 2021 | -8.00% | 8.57% | -0.11% |
Expense Ratio
Sharpe Ratio top stocks 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
Risk-Adjusted Performance Rank
The current rank of Sharpe Ratio top stocks is 56, 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.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
AVGO Broadcom Inc. | 2.07 | 2.69 | 1.35 | 3.73 | 11.60 |
MCD McDonald's Corporation | 0.47 | 0.78 | 1.10 | 0.47 | 1.01 |
MSFT Microsoft Corporation | 1.65 | 2.19 | 1.28 | 2.12 | 6.45 |
NFLX Netflix, Inc. | 2.44 | 3.54 | 1.46 | 1.59 | 17.20 |
RCL Royal Caribbean Cruises Ltd. | 2.11 | 2.65 | 1.35 | 2.70 | 11.16 |
ETN Eaton Corporation plc | 1.60 | 2.09 | 1.29 | 2.28 | 7.03 |
SG Sweetgreen, Inc. | 1.99 | 2.95 | 1.36 | 2.03 | 11.05 |
ABR Arbor Realty Trust, Inc. | 0.09 | 0.42 | 1.05 | 0.14 | 0.27 |
TOL Toll Brothers, Inc. | 2.62 | 3.26 | 1.41 | 5.03 | 13.52 |
AEHR Aehr Test Systems | -0.88 | -1.62 | 0.81 | -0.91 | -1.16 |
Dividends
Dividend yield
Sharpe Ratio top stocks granted a 1.77% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sharpe Ratio top stocks | 1.77% | 1.79% | 2.15% | 1.50% | 1.95% | 2.14% | 2.48% | 1.95% | 2.04% | 1.99% | 1.90% | 1.86% |
| Portfolio components: | ||||||||||||
AVGO Broadcom Inc. | 1.25% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
MCD McDonald's Corporation | 2.27% | 2.10% | 2.15% | 1.96% | 2.35% | 2.39% | 2.36% | 2.23% | 2.97% | 2.91% | 3.50% | 3.22% |
MSFT Microsoft Corporation | 0.69% | 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% |
RCL Royal Caribbean Cruises Ltd. | 0.00% | 0.00% | 0.00% | 0.00% | 1.04% | 2.22% | 2.66% | 1.81% | 2.08% | 1.33% | 1.33% | 1.56% |
ETN Eaton Corporation plc | 1.18% | 1.43% | 2.06% | 1.76% | 2.43% | 3.00% | 3.85% | 3.04% | 3.40% | 4.23% | 2.88% | 2.21% |
SG Sweetgreen, 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% |
ABR Arbor Realty Trust, Inc. | 11.72% | 11.07% | 11.68% | 7.53% | 8.67% | 7.94% | 9.89% | 8.21% | 8.19% | 7.99% | 7.57% | 7.40% |
TOL Toll Brothers, Inc. | 0.58% | 0.81% | 1.54% | 0.86% | 1.01% | 1.11% | 1.25% | 0.50% | 0.00% | 0.00% | 0.00% | 0.00% |
AEHR Aehr Test Systems | 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. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the Sharpe Ratio top stocks. 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 Sharpe Ratio top stocks was 41.62%, occurring on Jun 16, 2022. Recovery took 230 trading sessions.
The current Sharpe Ratio top stocks drawdown is 0.63%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -41.62% | Dec 28, 2021 | 119 | Jun 16, 2022 | 230 | May 17, 2023 | 349 |
| -17.99% | Jul 19, 2023 | 72 | Oct 27, 2023 | 33 | Dec 14, 2023 | 105 |
| -11.9% | Nov 22, 2021 | 9 | Dec 3, 2021 | 15 | Dec 27, 2021 | 24 |
| -10.89% | Jul 18, 2024 | 15 | Aug 7, 2024 | 10 | Aug 21, 2024 | 25 |
| -9.64% | Mar 25, 2024 | 19 | Apr 19, 2024 | 15 | May 10, 2024 | 34 |
Volatility
Volatility Chart
The current Sharpe Ratio top stocks volatility is 8.01%, 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.
Diversification
Asset Correlations Table
| MCD | SG | AEHR | ABR | NFLX | RCL | ETN | TOL | MSFT | AVGO | |
|---|---|---|---|---|---|---|---|---|---|---|
| MCD | 1.00 | 0.16 | 0.16 | 0.32 | 0.18 | 0.24 | 0.31 | 0.31 | 0.32 | 0.25 |
| SG | 0.16 | 1.00 | 0.33 | 0.37 | 0.38 | 0.42 | 0.37 | 0.40 | 0.37 | 0.37 |
| AEHR | 0.16 | 0.33 | 1.00 | 0.33 | 0.38 | 0.38 | 0.35 | 0.42 | 0.43 | 0.48 |
| ABR | 0.32 | 0.37 | 0.33 | 1.00 | 0.28 | 0.41 | 0.44 | 0.46 | 0.31 | 0.36 |
| NFLX | 0.18 | 0.38 | 0.38 | 0.28 | 1.00 | 0.40 | 0.38 | 0.41 | 0.55 | 0.50 |
| RCL | 0.24 | 0.42 | 0.38 | 0.41 | 0.40 | 1.00 | 0.44 | 0.45 | 0.42 | 0.43 |
| ETN | 0.31 | 0.37 | 0.35 | 0.44 | 0.38 | 0.44 | 1.00 | 0.58 | 0.52 | 0.56 |
| TOL | 0.31 | 0.40 | 0.42 | 0.46 | 0.41 | 0.45 | 0.58 | 1.00 | 0.45 | 0.50 |
| MSFT | 0.32 | 0.37 | 0.43 | 0.31 | 0.55 | 0.42 | 0.52 | 0.45 | 1.00 | 0.64 |
| AVGO | 0.25 | 0.37 | 0.48 | 0.36 | 0.50 | 0.43 | 0.56 | 0.50 | 0.64 | 1.00 |