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FAAMG Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

FAAMG Portfolio

Last updated Oct 18, 2024

FAAMG portfolio consists of five top-performing tech stocks in the market, namely, Facebook, Amazon, Apple, Microsoft, and Google.

Asset Allocation

MSFT 20%GOOG 20%AAPL 20%META 20%AMZN 20%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology
20%
AMZN
Amazon.com, Inc.		Consumer Cyclical
20%
GOOG
Alphabet Inc.		Communication Services
20%
META
Meta Platforms, Inc.		Communication Services
20%
MSFT
Microsoft Corporation		Technology
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FAAMG Portfolio, 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
15.61%
16.84%
FAAMG Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 27, 2014, corresponding to the inception date of GOOG

Returns By Period

As of Oct 18, 2024, the FAAMG Portfolio returned 28.00% Year-To-Date and 26.85% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.73%2.66%16.83%38.58%14.32%11.57%
FAAMG Portfolio28.94%0.35%15.60%45.91%26.34%26.65%
Portfolio components:
MSFT
Microsoft Corporation		11.97%-3.79%4.82%29.16%26.24%26.73%
GOOG
Alphabet Inc.		17.94%0.70%5.23%21.55%21.50%20.03%
AAPL
Apple Inc		23.29%3.63%42.95%37.49%32.20%26.13%
META
Meta Platforms, Inc.		62.98%2.46%19.63%86.91%25.48%21.81%
AMZN
Amazon.com, Inc.		24.44%-1.32%6.68%51.05%16.56%29.50%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.89%8.48%1.30%-2.85%6.92%8.02%-3.12%0.76%4.13%28.94%
202314.71%0.66%15.02%5.81%10.03%5.48%4.69%-1.46%-4.51%1.41%9.86%3.48%85.22%
2022-6.48%-7.91%4.74%-14.19%-2.98%-9.22%12.09%-4.13%-12.40%-6.43%5.77%-8.52%-41.91%
20210.32%0.08%3.54%10.69%-2.32%6.90%3.76%5.77%-7.56%6.53%2.06%1.91%35.07%
20205.53%-6.73%-6.30%18.96%5.10%7.55%9.71%13.48%-9.38%-0.54%6.79%3.14%53.27%
201911.47%0.69%6.27%8.38%-8.10%6.99%4.22%-2.33%1.03%5.53%4.83%4.30%50.85%
201810.35%-0.02%-5.72%3.10%8.34%1.47%2.60%8.37%-1.46%-9.47%-3.16%-8.56%3.56%
20177.02%4.57%3.73%4.65%4.84%-3.19%5.07%3.19%-1.46%9.53%1.89%0.29%47.44%
2016-3.24%-4.79%8.41%-3.32%6.20%-3.51%9.08%1.45%3.69%0.36%-3.74%1.45%11.27%
20151.27%7.01%-2.02%5.56%0.47%-0.66%11.17%-4.51%-0.40%15.98%3.36%-0.65%40.83%
2014-1.58%5.06%3.49%2.01%4.98%0.46%-1.01%4.98%-4.31%14.48%

Expense Ratio

FAAMG Portfolio 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 FAAMG Portfolio is 28, 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 FAAMG Portfolio is 2828
Combined Rank
The Sharpe Ratio Rank of FAAMG Portfolio is 2020Sharpe Ratio Rank
The Sortino Ratio Rank of FAAMG Portfolio is 1919Sortino Ratio Rank
The Omega Ratio Rank of FAAMG Portfolio is 2121Omega Ratio Rank
The Calmar Ratio Rank of FAAMG Portfolio is 6161Calmar Ratio Rank
The Martin Ratio Rank of FAAMG Portfolio is 1818Martin 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.

FAAMG Portfolio
Sharpe ratio
The chart of Sharpe ratio for FAAMG Portfolio, currently valued at 2.13, compared to the broader market0.002.004.002.13
Sortino ratio
The chart of Sortino ratio for FAAMG Portfolio, currently valued at 2.79, compared to the broader market-2.000.002.004.006.002.79
Omega ratio
The chart of Omega ratio for FAAMG Portfolio, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.802.001.37
Calmar ratio
The chart of Calmar ratio for FAAMG Portfolio, currently valued at 3.01, compared to the broader market0.002.004.006.008.0010.0012.003.01
Martin ratio
The chart of Martin ratio for FAAMG Portfolio, currently valued at 9.64, compared to the broader market0.0010.0020.0030.0040.0050.009.64
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.98, compared to the broader market0.002.004.002.98
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.95, compared to the broader market-2.000.002.004.006.003.95
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.60, compared to the broader market0.002.004.006.008.0010.0012.002.60
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 19.43, compared to the broader market0.0010.0020.0030.0040.0050.0019.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSFT
Microsoft Corporation		1.411.911.241.774.70
GOOG
Alphabet Inc.		0.711.061.150.882.29
AAPL
Apple Inc		1.572.281.292.145.07
META
Meta Platforms, Inc.		2.333.241.453.4414.27
AMZN
Amazon.com, Inc.		1.712.351.311.328.14

Sharpe Ratio

The current FAAMG Portfolio Sharpe ratio is 1.96. 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 2.19 to 3.02, 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 FAAMG Portfolio 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 Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
2.13
2.98
FAAMG Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FAAMG Portfolio granted a 0.33% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
FAAMG Portfolio0.33%0.25%0.35%0.23%0.31%0.45%0.70%0.66%0.86%0.85%0.83%0.94%
Portfolio components:
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%
GOOG
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		0.41%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
META
Meta Platforms, Inc.		0.26%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%

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
-4.01%
-0.18%
FAAMG Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FAAMG Portfolio. 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 FAAMG Portfolio was 46.78%, occurring on Nov 3, 2022. Recovery took 256 trading sessions.

The current FAAMG Portfolio drawdown is 4.71%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.78%Dec 28, 2021216Nov 3, 2022256Nov 10, 2023472
-27.28%Feb 20, 202018Mar 16, 202046May 20, 202064
-26.7%Aug 31, 201879Dec 24, 201880Apr 22, 2019159
-16.65%Sep 3, 202014Sep 23, 202084Jan 25, 202198
-15.17%Dec 7, 201544Feb 9, 2016108Jul 14, 2016152

Volatility

Volatility Chart

The current FAAMG Portfolio volatility is 3.47%, 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
3.47%
2.56%
FAAMG Portfolio
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.
AAPLMETAAMZNMSFTGOOG
AAPL1.000.510.550.620.58
META0.511.000.610.580.65
AMZN0.550.611.000.640.67
MSFT0.620.580.641.000.68
GOOG0.580.650.670.681.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014