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5 stocks
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ORCL 27%CSCO 20%MSFT 20%AAPL 18%ASML 15%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc
Technology

18%

ASML
ASML Holding N.V.
Technology

15%

CSCO
Cisco Systems, Inc.
Technology

20%

MSFT
Microsoft Corporation
Technology

20%

ORCL
Oracle Corporation
Technology

27%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 5 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%10,000.00%20,000.00%30,000.00%40,000.00%FebruaryMarchAprilMayJuneJuly
42,630.06%
1,036.10%
5 stocks
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 15, 1995, corresponding to the inception date of ASML

Returns By Period

As of Jul 17, 2024, the 5 stocks returned 23.66% Year-To-Date and 22.38% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
17.16%2.10%17.92%22.68%13.47%10.97%
5 stocks20.14%-0.58%18.33%19.22%24.31%22.00%
AAPL
Apple Inc
19.19%6.81%21.66%17.94%36.31%27.19%
CSCO
Cisco Systems, Inc.
-1.58%6.45%-2.79%-4.49%-0.23%9.91%
ASML
ASML Holding N.V.
23.61%-12.18%25.67%31.35%34.38%27.98%
MSFT
Microsoft Corporation
18.38%-0.63%13.02%25.88%27.86%27.87%
ORCL
Oracle Corporation
33.40%-3.45%28.89%18.93%21.32%15.10%

Monthly Returns

The table below presents the monthly returns of 5 stocks, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.36%1.45%3.82%-6.60%5.86%10.15%20.14%
20238.71%-0.87%10.10%-0.26%8.54%6.80%-0.27%0.45%-8.39%0.63%8.73%0.02%37.77%
2022-8.14%-3.73%4.12%-11.34%-3.10%-7.04%13.02%-5.73%-13.52%14.65%9.33%-5.98%-20.14%
20210.58%1.52%7.31%5.64%1.39%3.50%8.22%5.19%-6.23%9.49%-0.36%3.82%46.84%
20200.94%-7.37%-3.53%11.67%7.15%7.05%3.09%6.03%-3.99%-5.29%10.87%8.59%38.24%
20198.57%5.92%4.85%6.82%-8.41%9.94%2.96%-5.02%5.92%2.68%3.21%3.88%47.89%
20188.98%1.41%-4.76%0.48%4.11%-1.47%5.39%7.07%1.02%-5.50%-1.71%-8.98%4.56%
20174.69%6.23%3.89%1.49%0.51%1.15%4.27%3.94%0.23%6.93%1.11%-0.44%39.40%
2016-3.38%0.60%10.34%-6.13%4.68%-1.29%7.01%1.12%0.69%-0.65%0.20%1.82%14.89%
2015-4.75%7.86%-4.51%6.38%1.07%-6.15%0.56%-7.37%-0.89%10.41%-0.29%-3.81%-3.23%
2014-4.36%3.18%4.79%0.53%4.75%1.27%1.80%3.47%-1.27%1.75%8.23%0.12%26.46%
20133.08%-1.61%-1.58%5.31%6.94%-4.59%5.80%-0.08%2.84%2.14%3.23%3.04%26.67%

Expense Ratio

5 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 5 stocks is 30, 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 5 stocks is 3030
5 stocks
The Sharpe Ratio Rank of 5 stocks is 2020Sharpe Ratio Rank
The Sortino Ratio Rank of 5 stocks is 1818Sortino Ratio Rank
The Omega Ratio Rank of 5 stocks is 2121Omega Ratio Rank
The Calmar Ratio Rank of 5 stocks is 5858Calmar Ratio Rank
The Martin Ratio Rank of 5 stocks is 3333Martin 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.


5 stocks
Sharpe ratio
The chart of Sharpe ratio for 5 stocks, currently valued at 1.09, compared to the broader market-1.000.001.002.003.004.005.001.09
Sortino ratio
The chart of Sortino ratio for 5 stocks, currently valued at 1.56, compared to the broader market-2.000.002.004.006.001.56
Omega ratio
The chart of Omega ratio for 5 stocks, currently valued at 1.20, compared to the broader market0.801.001.201.401.601.801.20
Calmar ratio
The chart of Calmar ratio for 5 stocks, currently valued at 1.68, compared to the broader market0.002.004.006.008.0010.001.68
Martin ratio
The chart of Martin ratio for 5 stocks, currently valued at 4.45, compared to the broader market0.0010.0020.0030.0040.004.45
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.10, compared to the broader market-1.000.001.002.003.004.005.002.10
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.94, compared to the broader market-2.000.002.004.006.002.94
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.66, compared to the broader market0.002.004.006.008.0010.001.66
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.83, compared to the broader market0.0010.0020.0030.0040.007.83

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc
0.831.331.161.122.23
CSCO
Cisco Systems, Inc.
-0.080.021.00-0.06-0.12
ASML
ASML Holding N.V.
0.671.101.150.722.14
MSFT
Microsoft Corporation
1.441.981.252.265.53
ORCL
Oracle Corporation
0.550.951.160.911.85

Sharpe Ratio

The current 5 stocks Sharpe ratio is 1.33. 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 1.63 to 2.48, 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 5 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.09
2.10
5 stocks
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

5 stocks granted a 1.28% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
5 stocks1.28%1.37%1.58%1.13%1.43%1.65%1.87%1.75%2.05%1.97%1.73%1.63%
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%
CSCO
Cisco Systems, Inc.
3.26%3.07%3.17%2.32%3.20%2.88%2.95%2.95%3.28%3.02%2.66%2.27%
ASML
ASML Holding N.V.
0.70%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.78%0.75%
MSFT
Microsoft Corporation
0.66%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
ORCL
Oracle Corporation
1.15%1.44%1.57%1.38%1.48%1.72%1.68%1.52%1.56%1.56%1.07%0.63%

Drawdowns

Drawdowns Chart

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


-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-3.29%
-1.39%
5 stocks
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 5 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 5 stocks was 75.83%, occurring on Oct 7, 2002. Recovery took 1149 trading sessions.

The current 5 stocks drawdown is 0.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-75.83%Mar 28, 2000634Oct 7, 20021149May 2, 20071783
-51.76%Nov 7, 2007335Mar 9, 2009203Dec 24, 2009538
-34.66%Dec 16, 2021206Oct 11, 2022161Jun 2, 2023367
-30.64%Aug 21, 199788Dec 24, 199751Mar 11, 1998139
-27.19%Feb 13, 202020Mar 12, 202059Jun 5, 202079

Volatility

Volatility Chart

The current 5 stocks volatility is 5.06%, 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%FebruaryMarchAprilMayJuneJuly
5.06%
2.59%
5 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.

AAPLASMLORCLMSFTCSCO
AAPL1.000.420.410.460.45
ASML0.421.000.430.460.49
ORCL0.410.431.000.530.54
MSFT0.460.460.531.000.54
CSCO0.450.490.540.541.00
The correlation results are calculated based on daily price changes starting from Mar 16, 1995