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Sharpe Ratio top stocks

Last updated Sep 21, 2023

test run with stocks yahoo finance recommends.

Asset Allocation


AVGO 10%MCD 10%MSFT 10%NFLX 10%RCL 10%ETN 10%SG 10%ABR 10%TOL 10%AEHR 10%EquityEquity
PositionCategory/SectorWeight
AVGO
Broadcom Inc.
Technology10%
MCD
McDonald's Corporation
Consumer Cyclical10%
MSFT
Microsoft Corporation
Technology10%
NFLX
Netflix, Inc.
Communication Services10%
RCL
Royal Caribbean Cruises Ltd.
Consumer Cyclical10%
ETN
Eaton Corporation plc
Industrials10%
SG
Sweetgreen, Inc.
Consumer Cyclical10%
ABR
Arbor Realty Trust, Inc.
Real Estate10%
TOL
Toll Brothers, Inc.
Consumer Cyclical10%
AEHR
Aehr Test Systems
Technology10%

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


0.00%10.00%20.00%30.00%40.00%50.00%AprilMayJuneJulyAugustSeptember
32.99%
11.49%
Sharpe Ratio top stocks
Benchmark (^GSPC)
Portfolio components

Returns


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.06%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
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

Asset Correlations Table

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

MCDSGABRAEHRRCLNFLXETNTOLMSFTAVGO
MCD1.000.170.360.200.290.260.460.330.410.38
SG0.171.000.390.370.420.420.350.380.420.40
ABR0.360.391.000.340.470.370.520.480.420.45
AEHR0.200.370.341.000.430.480.400.460.540.58
RCL0.290.420.470.431.000.460.460.450.470.50
NFLX0.260.420.370.480.461.000.400.500.560.53
ETN0.460.350.520.400.460.401.000.590.540.56
TOL0.330.380.480.460.450.500.591.000.530.56
MSFT0.410.420.420.540.470.560.540.531.000.68
AVGO0.380.400.450.580.500.530.560.560.681.00

Sharpe Ratio

The current Sharpe Ratio top stocks Sharpe ratio is 2.12. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.002.12

The Sharpe ratio of Sharpe Ratio top stocks 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.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00AprilMayJuneJulyAugustSeptember
2.12
0.74
Sharpe Ratio top stocks
Benchmark (^GSPC)
Portfolio components

Dividend yield

Sharpe Ratio top stocks granted a 1.91% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Sharpe Ratio top stocks1.91%2.27%1.68%2.27%2.60%3.20%2.71%2.98%3.09%3.12%3.23%2.82%
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.


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
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.


-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-8.73%
-8.22%
Sharpe Ratio top stocks
Benchmark (^GSPC)
Portfolio components

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, 2021119Jun 16, 2022230May 17, 2023349
-11.9%Nov 22, 20219Dec 3, 202115Dec 27, 202124
-8.98%Jul 19, 202322Aug 17, 2023
-2.3%May 19, 20234May 24, 20232May 26, 20236
-2%Jun 16, 20231Jun 16, 20236Jun 27, 20237

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.


2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
6.47%
3.47%
Sharpe Ratio top stocks
Benchmark (^GSPC)
Portfolio components