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Sharpe Ratio top stocks
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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
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


0.00%20.00%40.00%60.00%80.00%100.00%MayJuneJulyAugustSeptemberOctober
88.89%
22.25%
Sharpe Ratio top stocks
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 18, 2021, corresponding to the inception date of SG

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.57%4.18%10.51%35.06%14.29%11.53%
Sharpe Ratio top stocks38.58%10.41%18.37%63.91%N/AN/A
AVGO
Broadcom Inc.
59.95%29.36%32.73%112.20%48.85%39.75%
MCD
McDonald's Corporation
4.31%4.92%15.31%25.35%10.03%15.55%
MSFT
Microsoft Corporation
11.25%3.57%-1.87%28.09%25.87%26.79%
NFLX
Netflix, Inc.
47.82%8.10%13.13%88.65%21.45%27.21%
RCL
Royal Caribbean Cruises Ltd.
38.90%14.89%32.23%97.91%12.11%12.57%
ETN
Eaton Corporation plc
39.61%16.87%1.41%60.60%36.25%21.78%
SG
Sweetgreen, Inc.
203.54%23.07%35.04%195.69%N/AN/A
ABR
Arbor Realty Trust, Inc.
8.40%11.79%22.89%24.14%13.99%19.45%
TOL
Toll Brothers, Inc.
46.69%8.01%20.02%112.43%32.26%17.90%
AEHR
Aehr Test Systems
-53.79%-9.32%8.11%-68.27%49.44%19.11%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-3.62%8.07%13.34%-4.50%7.26%2.97%6.50%1.21%4.55%38.58%
202319.07%-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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Sharpe Ratio top stocks is 59, 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.


The Risk-Adjusted Performance Rank of Sharpe Ratio top stocks is 5959
Sharpe Ratio top stocks
The Sharpe Ratio Rank of Sharpe Ratio top stocks is 5454Sharpe Ratio Rank
The Sortino Ratio Rank of Sharpe Ratio top stocks is 4747Sortino Ratio Rank
The Omega Ratio Rank of Sharpe Ratio top stocks is 4343Omega Ratio Rank
The Calmar Ratio Rank of Sharpe Ratio top stocks is 7878Calmar Ratio Rank
The Martin Ratio Rank of Sharpe Ratio top stocks is 7474Martin 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.


Sharpe Ratio top stocks
Sharpe ratio
The chart of Sharpe ratio for Sharpe Ratio top stocks, currently valued at 2.65, compared to the broader market0.002.004.002.65
Sortino ratio
The chart of Sortino ratio for Sharpe Ratio top stocks, currently valued at 3.47, compared to the broader market-2.000.002.004.006.003.47
Omega ratio
The chart of Omega ratio for Sharpe Ratio top stocks, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.802.001.44
Calmar ratio
The chart of Calmar ratio for Sharpe Ratio top stocks, currently valued at 3.50, compared to the broader market0.002.004.006.008.0010.0012.003.50
Martin ratio
The chart of Martin ratio for Sharpe Ratio top stocks, currently valued at 18.19, compared to the broader market0.0010.0020.0030.0040.0050.0018.19
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.002.004.002.80
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.73, compared to the broader market-2.000.002.004.006.003.73
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.002.004.006.008.0010.0012.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.01, compared to the broader market0.0010.0020.0030.0040.0050.0017.01

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AVGO
Broadcom Inc.
2.583.101.404.6614.35
MCD
McDonald's Corporation
1.281.851.241.262.86
MSFT
Microsoft Corporation
1.612.151.282.035.85
NFLX
Netflix, Inc.
2.843.961.521.8521.05
RCL
Royal Caribbean Cruises Ltd.
2.973.441.473.7518.80
ETN
Eaton Corporation plc
2.162.661.383.109.63
SG
Sweetgreen, Inc.
2.413.291.402.4415.32
ABR
Arbor Realty Trust, Inc.
0.601.061.140.911.96
TOL
Toll Brothers, Inc.
3.073.691.475.8516.63
AEHR
Aehr Test Systems
-0.88-1.600.81-0.90-1.17

Sharpe Ratio

The current Sharpe Ratio top stocks Sharpe ratio is 2.65. 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 2.22 to 2.95, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Sharpe Ratio top stocks 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.65
2.80
Sharpe Ratio top stocks
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Sharpe Ratio top stocks granted a 1.74% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Sharpe Ratio top stocks1.74%1.79%2.15%1.50%1.95%2.14%2.48%1.95%2.04%1.99%1.90%1.86%
AVGO
Broadcom Inc.
1.19%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
2.20%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
0.72%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.
0.22%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
1.10%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.
11.48%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.
0.45%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.60%
-0.20%
Sharpe Ratio top stocks
Benchmark (^GSPC)
Portfolio components

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 1.60%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.62%Dec 28, 2021119Jun 16, 2022230May 17, 2023349
-17.99%Jul 19, 202372Oct 27, 202333Dec 14, 2023105
-11.9%Nov 22, 20219Dec 3, 202115Dec 27, 202124
-10.89%Jul 18, 202415Aug 7, 202410Aug 21, 202425
-9.64%Mar 25, 202419Apr 19, 202415May 10, 202434

Volatility

Volatility Chart

The current Sharpe Ratio top stocks volatility is 5.56%, 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%MayJuneJulyAugustSeptemberOctober
5.56%
3.37%
Sharpe Ratio top stocks
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.

MCDSGABRAEHRNFLXRCLETNTOLMSFTAVGO
MCD1.000.160.310.160.180.240.310.300.320.25
SG0.161.000.370.330.370.410.370.400.370.37
ABR0.310.371.000.330.270.410.430.470.300.35
AEHR0.160.330.331.000.380.380.350.420.430.48
NFLX0.180.370.270.381.000.400.380.410.550.50
RCL0.240.410.410.380.401.000.440.440.410.43
ETN0.310.370.430.350.380.441.000.570.520.56
TOL0.300.400.470.420.410.440.571.000.440.48
MSFT0.320.370.300.430.550.410.520.441.000.63
AVGO0.250.370.350.480.500.430.560.480.631.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2021