Sharpe Ratio top stocks

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Sharpe Ratio top stocks

Currency in USD · Last updated May 16, 2025

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Asset Allocation

Position	Category/Sector	Target 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%

Benchmark

Rebalance

Performance

Performance Chart

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

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.60%	9.64%	-0.54%	11.47%	15.67%	10.79%
Sharpe Ratio top stocks	-7.06%	12.12%	-3.02%	13.60%	N/A	N/A
Portfolio components:
AVGO Broadcom Inc.	0.65%	30.00%	37.32%	63.97%	59.19%	37.00%
MCD McDonald's Corporation	9.11%	0.64%	6.58%	17.63%	15.27%	15.26%
MSFT Microsoft Corporation	7.92%	17.69%	6.77%	7.92%	21.03%	27.12%
NFLX Netflix, Inc.	32.16%	20.66%	40.69%	92.00%	21.07%	29.66%
RCL Royal Caribbean Cruises Ltd.	8.80%	29.34%	7.96%	79.29%	46.61%	14.03%
ETN Eaton Corporation plc	-0.82%	18.35%	-9.04%	-2.00%	37.36%	19.29%
SG Sweetgreen, Inc.	-52.50%	-25.67%	-54.75%	-52.27%	N/A	N/A
ABR Arbor Realty Trust, Inc.	-18.90%	0.00%	-23.43%	-16.26%	23.53%	15.21%
TOL Toll Brothers, Inc.	-15.15%	13.13%	-30.47%	-20.51%	35.42%	11.95%
AEHR Aehr Test Systems	-44.14%	8.78%	-17.28%	-18.15%	43.98%	15.31%

*Annualized

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
2025	-0.70%	-9.48%	-6.83%	4.50%	6.21%								-7.06%
2024	-3.62%	8.07%	13.34%	-4.50%	7.26%	2.97%	6.50%	1.21%	4.55%	1.26%	6.52%	0.08%	51.48%
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%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Sharpe Ratio top stocks is 21, meaning it’s performing worse than 79% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AVGO Broadcom Inc.	1.07	1.87	1.25	1.72	4.74
MCD McDonald's Corporation	0.89	1.40	1.18	1.11	3.64
MSFT Microsoft Corporation	0.33	0.73	1.10	0.41	0.92
NFLX Netflix, Inc.	2.88	3.58	1.48	4.80	15.70
RCL Royal Caribbean Cruises Ltd.	1.74	2.35	1.34	2.26	6.65
ETN Eaton Corporation plc	0.01	0.27	1.04	0.01	0.02
SG Sweetgreen, Inc.	-0.68	-0.86	0.90	-0.73	-1.73
ABR Arbor Realty Trust, Inc.	-0.38	-0.47	0.93	-0.60	-1.40
TOL Toll Brothers, Inc.	-0.48	-0.35	0.96	-0.34	-0.72
AEHR Aehr Test Systems	-0.20	0.37	1.04	-0.23	-0.51

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Sharpe Ratio top stocks Sharpe ratios as of May 16, 2025 (values are recalculated daily):

1-Year: 0.50
All Time: 0.70

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.52 to 1.01, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Sharpe Ratio top stocks compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Sharpe Ratio top stocks provided a 2.53% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	2.53%	1.87%	1.79%	2.15%	1.50%	1.95%	2.14%	2.49%	1.96%	2.06%	2.00%	1.91%
Portfolio components:
AVGO Broadcom Inc.	0.96%	0.94%	1.71%	3.02%	2.24%	3.05%	3.54%	3.11%	1.87%	1.43%	1.13%	1.22%
MCD McDonald's Corporation	2.19%	2.34%	2.10%	2.15%	1.96%	2.35%	2.39%	2.36%	2.23%	2.97%	2.91%	3.50%
MSFT Microsoft Corporation	0.72%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%	2.48%
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.	0.68%	0.41%	0.00%	0.00%	0.00%	1.04%	2.22%	2.66%	1.81%	2.08%	1.33%	1.33%
ETN Eaton Corporation plc	1.21%	1.13%	1.43%	2.06%	1.76%	2.43%	3.00%	3.85%	3.04%	3.40%	4.23%	2.88%
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.	18.63%	12.42%	11.07%	11.68%	7.53%	8.67%	7.94%	10.03%	8.33%	8.31%	8.11%	7.68%
TOL Toll Brothers, Inc.	0.88%	0.71%	0.81%	1.54%	0.86%	1.01%	1.11%	1.25%	0.50%	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.

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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 10.21%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-41.62%	Dec 28, 2021	119	Jun 16, 2022	230	May 17, 2023	349
-27.18%	Dec 17, 2024	76	Apr 8, 2025	—	—	—
-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

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	MCD	SG	ABR	AEHR	NFLX	RCL	TOL	ETN	MSFT	AVGO	Portfolio
^GSPC	1.00	0.41	0.49	0.53	0.53	0.61	0.59	0.63	0.71	0.79	0.73	0.85
MCD	0.41	1.00	0.13	0.31	0.13	0.15	0.20	0.30	0.26	0.28	0.20	0.31
SG	0.49	0.13	1.00	0.34	0.31	0.35	0.41	0.38	0.38	0.37	0.36	0.65
ABR	0.53	0.31	0.34	1.00	0.32	0.26	0.39	0.45	0.41	0.29	0.34	0.56
AEHR	0.53	0.13	0.31	0.32	1.00	0.37	0.38	0.40	0.36	0.42	0.47	0.72
NFLX	0.61	0.15	0.35	0.26	0.37	1.00	0.41	0.37	0.38	0.54	0.49	0.62
RCL	0.59	0.20	0.41	0.39	0.38	0.41	1.00	0.43	0.46	0.42	0.44	0.66
TOL	0.63	0.30	0.38	0.45	0.40	0.37	0.43	1.00	0.53	0.42	0.44	0.65
ETN	0.71	0.26	0.38	0.41	0.36	0.38	0.46	0.53	1.00	0.52	0.58	0.67
MSFT	0.79	0.28	0.37	0.29	0.42	0.54	0.42	0.42	0.52	1.00	0.63	0.67
AVGO	0.73	0.20	0.36	0.34	0.47	0.49	0.44	0.44	0.58	0.63	1.00	0.72
Portfolio	0.85	0.31	0.65	0.56	0.72	0.62	0.66	0.65	0.67	0.67	0.72	1.00

The correlation results are calculated based on daily price changes starting from Nov 19, 2021

Performance Analysis

Risk Analysis

Optimization

Factor Model

Sharpe Ratio top stocks

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

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