PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios

NTT

Last updated Sep 21, 2023

Asset Allocation


AAPL 22%MSFT 19%GOOG 11%AMZN 9%META 8%NVDA 8%MCD 8%AVGO 6%TSLA 5%ADBE 4%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc.
Technology22%
MSFT
Microsoft Corporation
Technology19%
GOOG
Alphabet Inc.
Communication Services11%
AMZN
Amazon.com, Inc.
Consumer Cyclical9%
META
Meta Platforms, Inc.
Communication Services8%
NVDA
NVIDIA Corporation
Technology8%
MCD
McDonald's Corporation
Consumer Cyclical8%
AVGO
Broadcom Inc.
Technology6%
TSLA
Tesla, Inc.
Consumer Cyclical5%
ADBE
Adobe Inc
Technology4%

Performance

The chart shows the growth of an initial investment of $10,000 in NTT, 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%AprilMayJuneJulyAugustSeptember
25.33%
10.86%
NTT
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 21, 2023, the NTT returned 61.52% Year-To-Date and 30.84% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark0.33%11.48%14.66%16.16%8.51%9.59%
NTT0.52%25.60%61.52%47.69%28.33%30.84%
AAPL
Apple Inc.
-0.98%10.72%35.64%14.84%27.58%27.99%
MSFT
Microsoft Corporation
-0.52%16.02%34.67%35.54%24.35%26.95%
GOOG
Alphabet Inc.
3.78%26.66%51.68%34.58%18.28%18.10%
AMZN
Amazon.com, Inc.
0.77%37.06%61.06%14.13%7.18%24.54%
META
Meta Platforms, Inc.
4.20%46.70%149.02%110.86%13.00%18.31%
NVDA
NVIDIA Corporation
-7.50%55.37%189.13%218.72%45.44%62.64%
AVGO
Broadcom Inc.
-2.42%31.34%51.23%76.85%31.90%34.92%
TSLA
Tesla, Inc.
12.61%36.61%113.18%-12.70%67.74%36.46%
MCD
McDonald's Corporation
-0.58%3.91%6.93%12.86%13.54%14.81%
ADBE
Adobe Inc
3.14%45.20%59.21%87.14%15.53%25.04%

Asset Correlations Table

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

MCDTSLAAVGONVDAMETAAAPLAMZNADBEGOOGMSFT
MCD1.000.180.330.250.300.340.300.340.350.40
TSLA0.181.000.390.430.370.410.420.410.380.39
AVGO0.330.391.000.600.470.570.470.530.500.54
NVDA0.250.430.601.000.500.540.540.590.540.59
META0.300.370.470.501.000.530.610.590.670.57
AAPL0.340.410.570.540.531.000.570.570.590.63
AMZN0.300.420.470.540.610.571.000.620.680.63
ADBE0.340.410.530.590.590.570.621.000.630.72
GOOG0.350.380.500.540.670.590.680.631.000.69
MSFT0.400.390.540.590.570.630.630.720.691.00

Sharpe Ratio

The current NTT Sharpe ratio is 1.62. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.62

The Sharpe ratio of NTT 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-0.500.000.501.001.502.00AprilMayJuneJulyAugustSeptember
1.62
0.74
NTT
Benchmark (^GSPC)
Portfolio components

Dividend yield

NTT granted a 0.59% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
NTT0.59%0.73%0.55%0.73%0.94%1.21%1.08%1.37%1.43%1.55%1.75%1.53%
AAPL
Apple Inc.
0.54%0.70%0.49%0.62%1.06%1.86%1.54%2.07%2.12%1.87%2.40%1.16%
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%
GOOG
Alphabet 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%
AMZN
Amazon.com, 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%
META
Meta Platforms, 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%
NVDA
NVIDIA Corporation
0.04%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.23%1.77%2.06%0.66%
AVGO
Broadcom Inc.
2.22%3.08%2.35%3.30%4.01%3.65%2.36%1.88%1.54%1.71%2.43%2.56%
TSLA
Tesla, 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%
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%
ADBE
Adobe 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%

Expense Ratio

The NTT 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
AAPL
Apple Inc.
0.51
MSFT
Microsoft Corporation
1.05
GOOG
Alphabet Inc.
0.87
AMZN
Amazon.com, Inc.
0.22
META
Meta Platforms, Inc.
2.00
NVDA
NVIDIA Corporation
3.98
AVGO
Broadcom Inc.
2.14
TSLA
Tesla, Inc.
-0.25
MCD
McDonald's Corporation
0.67
ADBE
Adobe Inc
2.26

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-5.50%
-8.22%
NTT
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the NTT. 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 NTT is 38.45%, recorded on Nov 3, 2022. It took 144 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.45%Dec 28, 2021216Nov 3, 2022144Jun 2, 2023360
-31.04%Feb 20, 202023Mar 23, 202049Jun 2, 202072
-24.11%Oct 2, 201858Dec 24, 201878Apr 17, 2019136
-16.24%Dec 7, 201544Feb 9, 201636Apr 1, 201680
-14.5%Sep 3, 202014Sep 23, 202063Dec 22, 202077

Volatility Chart

The current NTT volatility is 6.06%, 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%AprilMayJuneJulyAugustSeptember
6.06%
3.47%
NTT
Benchmark (^GSPC)
Portfolio components