Sharpe Ratio top stocks
test run with stocks yahoo finance recommends.
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AVGO Broadcom Inc. | Technology | 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% |
ETN Eaton Corporation plc | Industrials | 10% |
SG Sweetgreen, Inc. | Consumer Cyclical | 10% |
ABR Arbor Realty Trust, Inc. | Real Estate | 10% |
TOL Toll Brothers, Inc. | Consumer Cyclical | 10% |
AEHR Aehr Test Systems | Technology | 10% |
Performance
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
Returns
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | 0.06% | 11.82% | 14.66% | 14.17% | -3.57% | N/A |
| Sharpe Ratio top stocks | -1.23% | 36.41% | 52.63% | 60.04% | 11.36% | N/A |
| Portfolio components: | ||||||
AVGO Broadcom Inc. | -3.47% | 33.07% | 51.23% | 74.38% | 26.14% | N/A |
MCD McDonald's Corporation | -0.48% | 4.59% | 6.93% | 10.95% | 7.59% | N/A |
MSFT Microsoft Corporation | -0.34% | 18.31% | 34.67% | 33.58% | -2.48% | N/A |
NFLX Netflix, Inc. | -5.39% | 31.44% | 31.00% | 59.07% | -26.76% | N/A |
RCL Royal Caribbean Cruises Ltd. | -3.08% | 58.37% | 94.64% | 94.40% | 8.47% | N/A |
ETN Eaton Corporation plc | -0.51% | 30.36% | 38.69% | 57.21% | 14.66% | N/A |
SG Sweetgreen, Inc. | -14.51% | 80.75% | 40.26% | -34.82% | -53.95% | N/A |
ABR Arbor Realty Trust, Inc. | 1.64% | 47.47% | 28.18% | 21.07% | 0.67% | N/A |
TOL Toll Brothers, Inc. | 2.08% | 33.38% | 55.03% | 78.70% | 10.31% | N/A |
AEHR Aehr Test Systems | 10.98% | 24.19% | 125.77% | 196.80% | 58.35% | N/A |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| MCD | SG | ABR | AEHR | RCL | NFLX | ETN | TOL | MSFT | AVGO | |
|---|---|---|---|---|---|---|---|---|---|---|
| MCD | 1.00 | 0.17 | 0.36 | 0.20 | 0.29 | 0.26 | 0.46 | 0.33 | 0.41 | 0.38 |
| SG | 0.17 | 1.00 | 0.39 | 0.37 | 0.42 | 0.42 | 0.35 | 0.38 | 0.42 | 0.40 |
| ABR | 0.36 | 0.39 | 1.00 | 0.34 | 0.47 | 0.37 | 0.52 | 0.48 | 0.42 | 0.45 |
| AEHR | 0.20 | 0.37 | 0.34 | 1.00 | 0.43 | 0.48 | 0.40 | 0.46 | 0.54 | 0.58 |
| RCL | 0.29 | 0.42 | 0.47 | 0.43 | 1.00 | 0.46 | 0.46 | 0.45 | 0.47 | 0.50 |
| NFLX | 0.26 | 0.42 | 0.37 | 0.48 | 0.46 | 1.00 | 0.40 | 0.50 | 0.56 | 0.53 |
| ETN | 0.46 | 0.35 | 0.52 | 0.40 | 0.46 | 0.40 | 1.00 | 0.59 | 0.54 | 0.56 |
| TOL | 0.33 | 0.38 | 0.48 | 0.46 | 0.45 | 0.50 | 0.59 | 1.00 | 0.53 | 0.56 |
| MSFT | 0.41 | 0.42 | 0.42 | 0.54 | 0.47 | 0.56 | 0.54 | 0.53 | 1.00 | 0.68 |
| AVGO | 0.38 | 0.40 | 0.45 | 0.58 | 0.50 | 0.53 | 0.56 | 0.56 | 0.68 | 1.00 |
Dividend yield
Sharpe Ratio top stocks granted a 1.91% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Sharpe Ratio top stocks | 1.91% | 2.27% | 1.68% | 2.27% | 2.60% | 3.20% | 2.71% | 2.98% | 3.09% | 3.12% | 3.23% | 2.82% |
| Portfolio components: | ||||||||||||
AVGO Broadcom Inc. | 2.71% | 3.08% | 2.35% | 3.30% | 4.01% | 3.65% | 2.36% | 1.88% | 1.54% | 1.71% | 2.43% | 2.56% |
MCD McDonald's Corporation | 2.19% | 2.18% | 2.04% | 2.50% | 2.61% | 2.63% | 2.55% | 3.48% | 3.52% | 4.38% | 4.16% | 4.35% |
MSFT Microsoft Corporation | 0.85% | 1.07% | 0.69% | 0.96% | 1.24% | 1.78% | 1.99% | 2.59% | 2.61% | 2.86% | 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% |
RCL Royal Caribbean Cruises Ltd. | 0.00% | 0.00% | 0.00% | 1.04% | 2.24% | 2.75% | 1.92% | 2.25% | 1.47% | 1.50% | 1.78% | 1.51% |
ETN Eaton Corporation plc | 1.58% | 2.09% | 1.82% | 2.57% | 3.27% | 4.34% | 3.55% | 4.10% | 5.30% | 3.74% | 2.94% | 3.84% |
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. | 10.66% | 12.75% | 9.06% | 11.26% | 11.48% | 15.56% | 14.23% | 15.50% | 16.48% | 16.99% | 17.87% | 12.12% |
TOL Toll Brothers, Inc. | 1.07% | 1.56% | 0.88% | 1.05% | 1.17% | 1.33% | 0.54% | 0.00% | 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% |
Expense Ratio
The 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
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 | |
|---|---|---|---|---|---|
AVGO Broadcom Inc. | 2.14 | ||||
MCD McDonald's Corporation | 0.67 | ||||
MSFT Microsoft Corporation | 1.05 | ||||
NFLX Netflix, Inc. | 1.36 | ||||
RCL Royal Caribbean Cruises Ltd. | 1.86 | ||||
ETN Eaton Corporation plc | 2.10 | ||||
SG Sweetgreen, Inc. | -0.55 | ||||
ABR Arbor Realty Trust, Inc. | 0.47 | ||||
TOL Toll Brothers, Inc. | 2.30 | ||||
AEHR Aehr Test Systems | 2.04 |
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 Sharpe Ratio top stocks. 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 Sharpe Ratio top stocks is 41.62%, recorded on Jun 16, 2022. It took 230 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -41.62% | Dec 28, 2021 | 119 | Jun 16, 2022 | 230 | May 17, 2023 | 349 |
| -11.9% | Nov 22, 2021 | 9 | Dec 3, 2021 | 15 | Dec 27, 2021 | 24 |
| -8.98% | Jul 19, 2023 | 22 | Aug 17, 2023 | — | — | — |
| -2.3% | May 19, 2023 | 4 | May 24, 2023 | 2 | May 26, 2023 | 6 |
| -2% | Jun 16, 2023 | 1 | Jun 16, 2023 | 6 | Jun 27, 2023 | 7 |
Volatility Chart
The current Sharpe Ratio top stocks volatility is 6.47%, 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.