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FAANG Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


GOOG 20%AAPL 20%AMZN 20%NFLX 20%META 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%
NFLX
Netflix, Inc.
Communication Services
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in FAANG 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


-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
15.97%
16.01%
FAANG 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 15, 2024, the FAANG Portfolio returned 36.07% Year-To-Date and 28.98% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.85%4.16%15.77%35.40%14.46%12.04%
FAANG Portfolio36.07%4.86%15.97%54.06%26.27%28.98%
GOOG
Alphabet Inc.
18.33%5.04%6.90%18.70%21.72%20.73%
AAPL
Apple Inc
20.59%3.96%36.90%30.08%32.52%26.79%
AMZN
Amazon.com, Inc.
23.43%0.56%2.30%41.49%16.05%28.67%
NFLX
Netflix, Inc.
46.44%2.29%15.46%97.61%19.52%30.27%
META
Meta Platforms, Inc.
67.31%12.65%18.37%84.40%25.59%22.87%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.91%8.99%1.10%-3.21%8.73%7.51%-3.22%3.03%3.69%36.07%
202318.04%-1.36%13.46%3.59%12.44%7.00%4.88%-1.27%-6.28%1.80%10.47%4.23%87.27%
2022-10.78%-8.74%3.52%-22.05%-2.38%-10.36%15.96%-2.86%-8.64%-1.57%4.59%-7.88%-43.89%
2021-0.86%0.24%2.60%8.98%-2.58%6.23%2.33%6.49%-4.88%5.67%0.56%0.32%27.07%
20205.28%-4.41%-5.30%18.56%4.61%7.05%11.06%13.07%-9.16%-0.76%6.24%4.33%58.78%
201916.38%0.53%4.87%7.02%-8.61%6.70%1.49%-4.25%-0.50%6.39%5.56%4.02%44.62%
201816.32%2.04%-4.55%3.77%9.63%3.90%-1.66%8.93%-1.61%-12.00%-5.12%-8.11%8.29%
20178.95%4.78%3.93%4.46%5.74%-4.59%8.29%1.57%-0.55%8.86%0.66%0.41%50.47%
2016-7.03%-3.20%8.59%-3.77%7.46%-4.95%6.87%2.33%3.92%4.96%-5.35%2.15%10.78%
20159.75%6.76%-3.62%8.31%4.11%1.86%14.38%-3.10%-2.97%13.15%5.21%-2.56%61.83%
2014-3.12%10.30%4.25%0.50%6.31%-1.08%-3.85%2.47%-4.14%11.20%

Expense Ratio

FAANG 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 FAANG Portfolio is 54, 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 FAANG Portfolio is 5454
Combined Rank
The Sharpe Ratio Rank of FAANG Portfolio is 5555Sharpe Ratio Rank
The Sortino Ratio Rank of FAANG Portfolio is 4343Sortino Ratio Rank
The Omega Ratio Rank of FAANG Portfolio is 4747Omega Ratio Rank
The Calmar Ratio Rank of FAANG Portfolio is 7979Calmar Ratio Rank
The Martin Ratio Rank of FAANG Portfolio is 4343Martin 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.


FAANG Portfolio
Sharpe ratio
The chart of Sharpe ratio for FAANG Portfolio, currently valued at 2.55, compared to the broader market0.002.004.006.002.55
Sortino ratio
The chart of Sortino ratio for FAANG Portfolio, currently valued at 3.23, compared to the broader market-2.000.002.004.006.003.23
Omega ratio
The chart of Omega ratio for FAANG Portfolio, currently valued at 1.43, compared to the broader market0.801.001.201.401.601.802.001.43
Calmar ratio
The chart of Calmar ratio for FAANG Portfolio, currently valued at 3.49, compared to the broader market0.002.004.006.008.0010.0012.003.49
Martin ratio
The chart of Martin ratio for FAANG Portfolio, currently valued at 13.84, compared to the broader market0.0010.0020.0030.0040.0050.0013.84
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.70, compared to the broader market-2.000.002.004.006.003.70
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.45, compared to the broader market0.002.004.006.008.0010.0012.002.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.98, compared to the broader market0.0010.0020.0030.0040.0050.0016.98

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GOOG
Alphabet Inc.
0.681.031.150.852.25
AAPL
Apple Inc
1.261.911.241.734.07
AMZN
Amazon.com, Inc.
1.492.111.271.167.19
NFLX
Netflix, Inc.
3.054.201.561.9523.34
META
Meta Platforms, Inc.
2.273.161.433.3713.78

Sharpe Ratio

The current FAANG Portfolio Sharpe ratio is 2.55. 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 2.24 to 3.02, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of FAANG 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
2.55
2.78
FAANG Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FAANG Portfolio granted a 0.18% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
FAANG Portfolio0.18%0.10%0.14%0.10%0.12%0.21%0.36%0.29%0.39%0.39%0.33%0.42%
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
0.42%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
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%
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%
META
Meta Platforms, Inc.
0.25%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.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-1.01%
0
FAANG Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FAANG 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 FAANG Portfolio was 48.98%, occurring on Nov 3, 2022. Recovery took 281 trading sessions.

The current FAANG Portfolio drawdown is 1.01%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.98%Nov 22, 2021240Nov 3, 2022281Dec 18, 2023521
-30.93%Aug 31, 201879Dec 24, 201881Apr 23, 2019160
-26.21%Feb 20, 202018Mar 16, 202037May 7, 202055
-20.04%Dec 7, 201543Feb 8, 2016125Aug 5, 2016168
-16.89%Sep 3, 202014Sep 23, 202082Jan 21, 202196

Volatility

Volatility Chart

The current FAANG Portfolio volatility is 4.49%, 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
4.49%
2.86%
FAANG 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.

NFLXAAPLMETAAMZNGOOG
NFLX1.000.440.510.540.48
AAPL0.441.000.510.550.58
META0.510.511.000.610.65
AMZN0.540.550.611.000.67
GOOG0.480.580.650.671.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014