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MS+GOOG+etc
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Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

MS+GOOG+etc

Last updated Oct 30, 2024

Asset Allocation

MUB 4%MSFT 60%GOOGL 30%AAPL 2%NVDA 2%SHOP 2%BondBondEquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology
2%
GOOGL
Alphabet Inc.		Communication Services
30%
MSFT
Microsoft Corporation		Technology
60%
MUB
iShares National AMT-Free Muni Bond ETF		Municipal Bonds
4%
NVDA
NVIDIA Corporation		Technology
2%
SHOP
Shopify Inc.		Technology
2%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in MS+GOOG+etc, 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%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
10.52%
15.83%
MS+GOOG+etc
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 21, 2015, corresponding to the inception date of SHOP

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
MS+GOOG+etc19.77%1.95%10.52%35.15%26.00%N/A
Portfolio components:
MSFT
Microsoft Corporation		15.50%0.92%11.35%29.02%25.92%26.89%
GOOGL
Alphabet Inc.		21.77%3.49%4.50%36.67%22.08%19.66%
AAPL
Apple Inc		21.83%2.58%37.53%37.92%31.28%25.64%
MUB
iShares National AMT-Free Muni Bond ETF		0.88%-1.36%2.11%9.09%1.01%2.09%
NVDA
NVIDIA Corporation		185.29%16.35%63.51%243.27%95.48%77.28%
SHOP
Shopify Inc.		3.20%1.49%14.52%71.33%20.79%N/A

Monthly Returns

The table below presents the monthly returns of MS+GOOG+etc, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.99%2.80%3.90%-2.43%6.35%7.00%-5.68%-0.94%2.70%19.77%
20237.44%-2.26%15.03%5.05%9.73%2.11%2.75%-0.47%-4.21%2.28%11.29%1.32%60.65%
2022-7.56%-2.86%3.00%-13.03%-1.42%-5.43%8.70%-6.79%-11.07%0.41%9.30%-8.26%-31.96%
20213.79%3.67%1.24%8.97%-0.22%7.23%6.36%6.34%-6.82%14.54%-0.39%1.33%54.79%
20207.38%-4.63%-5.90%14.45%4.73%7.25%2.69%10.09%-7.35%0.32%6.96%2.46%42.66%
20194.72%5.15%5.31%7.52%-5.63%5.44%5.16%0.58%1.06%3.36%5.13%4.10%50.01%
201811.31%-2.26%-3.80%0.96%6.86%0.48%7.18%4.67%0.71%-7.78%2.58%-7.44%12.23%
20174.00%1.18%2.50%5.25%4.97%-2.82%4.28%3.12%0.41%9.05%1.16%1.37%39.81%
2016-1.61%-5.88%8.05%-7.98%6.52%-3.74%11.04%1.78%1.14%2.62%-0.06%3.19%14.22%
2015-1.10%-3.56%10.16%-4.50%1.10%16.32%3.41%1.79%24.21%

Expense Ratio

MS+GOOG+etc 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.

MUB
iShares National AMT-Free Muni Bond ETF
Expense ratio chart for MUB: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of MS+GOOG+etc is 19, indicating that it is in the bottom 19% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of MS+GOOG+etc is 1919
Combined Rank
The Sharpe Ratio Rank of MS+GOOG+etc is 1616Sharpe Ratio Rank
The Sortino Ratio Rank of MS+GOOG+etc is 1414Sortino Ratio Rank
The Omega Ratio Rank of MS+GOOG+etc is 1616Omega Ratio Rank
The Calmar Ratio Rank of MS+GOOG+etc is 3838Calmar Ratio Rank
The Martin Ratio Rank of MS+GOOG+etc is 99Martin 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.

MS+GOOG+etc
Sharpe ratio
The chart of Sharpe ratio for MS+GOOG+etc, currently valued at 2.06, compared to the broader market0.002.004.006.002.06
Sortino ratio
The chart of Sortino ratio for MS+GOOG+etc, currently valued at 2.66, compared to the broader market-2.000.002.004.006.002.66
Omega ratio
The chart of Omega ratio for MS+GOOG+etc, currently valued at 1.36, compared to the broader market0.801.001.201.401.601.802.001.36
Calmar ratio
The chart of Calmar ratio for MS+GOOG+etc, currently valued at 2.48, compared to the broader market0.005.0010.0015.002.48
Martin ratio
The chart of Martin ratio for MS+GOOG+etc, currently valued at 6.47, compared to the broader market0.0010.0020.0030.0040.0050.0060.006.47
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSFT
Microsoft Corporation		1.692.261.292.065.37
GOOGL
Alphabet Inc.		1.512.051.281.774.55
AAPL
Apple Inc		1.762.521.322.395.67
MUB
iShares National AMT-Free Muni Bond ETF		2.263.571.440.8810.02
NVDA
NVIDIA Corporation		4.844.431.589.2029.13
SHOP
Shopify Inc.		1.392.051.301.013.70

Sharpe Ratio

The current MS+GOOG+etc Sharpe ratio is 2.06. 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 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of MS+GOOG+etc 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
2.06
3.43
MS+GOOG+etc
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MS+GOOG+etc provided a 0.61% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
MS+GOOG+etc0.61%0.56%0.74%0.49%0.66%0.84%1.16%1.24%1.56%1.56%1.66%1.76%
Portfolio components:
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%
GOOGL
Alphabet Inc.		0.24%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AAPL
Apple Inc		0.42%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
MUB
iShares National AMT-Free Muni Bond ETF		2.95%2.65%2.11%1.81%2.11%2.42%2.46%2.26%2.21%2.51%2.73%3.02%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
SHOP
Shopify 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%

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.

-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-7.05%
-0.54%
MS+GOOG+etc
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MS+GOOG+etc. 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 MS+GOOG+etc was 39.30%, occurring on Nov 3, 2022. Recovery took 253 trading sessions.

The current MS+GOOG+etc drawdown is 7.05%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-39.3%Nov 22, 2021240Nov 3, 2022253Nov 7, 2023493
-28.05%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-18.85%Oct 2, 201858Dec 24, 201856Mar 18, 2019114
-15.24%Jul 11, 202418Aug 5, 2024———
-14.56%Sep 3, 202014Sep 23, 202081Jan 20, 202195

Volatility

Volatility Chart

The current MS+GOOG+etc volatility is 3.74%, 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%3.00%4.00%5.00%6.00%7.00%8.00%MayJuneJulyAugustSeptemberOctober
3.74%
2.71%
MS+GOOG+etc
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.
MUBSHOPNVDAAAPLGOOGLMSFT
MUB1.000.080.020.010.010.01
SHOP0.081.000.480.430.440.48
NVDA0.020.481.000.540.530.60
AAPL0.010.430.541.000.600.64
GOOGL0.010.440.530.601.000.71
MSFT0.010.480.600.640.711.00
The correlation results are calculated based on daily price changes starting from May 22, 2015