PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
FANG Plus Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


NVDA 10%BABA 10%TSLA 10%AMZN 10%GOOGL 10%NFLX 10%BIDU 10%META 10%AAPL 10%TCEHY 10%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc
Technology

10%

AMZN
Amazon.com, Inc.
Consumer Cyclical

10%

BABA
Alibaba Group Holding Limited
Consumer Cyclical

10%

BIDU
Baidu, Inc.
Communication Services

10%

GOOGL
Alphabet Inc.
Communication Services

10%

META
Meta Platforms, Inc.
Communication Services

10%

NFLX
Netflix, Inc.
Communication Services

10%

NVDA
NVIDIA Corporation
Technology

10%

TCEHY
Tencent Holdings Limited
Communication Services

10%

TSLA
Tesla, Inc.
Consumer Cyclical

10%

S&P 500

Performance

Performance Chart

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


200.00%400.00%600.00%800.00%1,000.00%FebruaryMarchAprilMayJuneJuly
962.28%
169.95%
FANG Plus Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 19, 2014, corresponding to the inception date of BABA

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.78%-0.38%11.47%18.82%12.44%10.64%
FANG Plus Portfolio23.16%-0.21%19.95%25.12%29.04%N/A
NVDA
NVIDIA Corporation
130.74%-3.27%86.21%150.19%92.64%75.22%
BABA
Alibaba Group Holding Limited
-1.37%1.35%1.66%-18.44%-15.44%N/A
TSLA
Tesla, Inc.
-13.08%18.30%3.93%-18.58%70.31%30.72%
AMZN
Amazon.com, Inc.
19.01%-2.55%15.27%40.04%13.28%27.35%
GOOGL
Alphabet Inc.
23.72%-3.68%16.23%41.42%22.73%19.22%
NFLX
Netflix, Inc.
30.63%-4.94%16.72%48.70%13.67%26.63%
BIDU
Baidu, Inc.
-25.48%0.02%-19.77%-40.33%-4.94%-8.96%
META
Meta Platforms, Inc.
30.58%-7.54%18.31%56.97%18.33%19.96%
AAPL
Apple Inc
13.81%5.00%12.66%13.47%34.37%26.10%
TCEHY
Tencent Holdings Limited
23.53%-5.43%28.25%7.12%1.27%12.26%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.24%8.81%2.79%-0.27%7.27%4.68%23.16%
202322.65%0.87%12.03%-4.96%11.49%9.68%8.22%-3.29%-6.63%-4.87%10.08%2.74%69.35%
2022-5.98%-8.78%2.37%-17.88%-1.37%-4.93%8.77%-2.84%-11.27%-8.88%14.30%-6.33%-38.15%
20214.90%0.17%-3.34%6.00%-3.07%7.22%-3.90%4.15%-3.99%11.31%0.34%-2.91%16.60%
20207.74%-0.28%-8.10%16.55%6.31%10.84%12.39%19.97%-6.39%0.12%6.39%9.53%99.67%
201912.68%1.27%3.86%3.14%-15.63%9.89%1.83%-4.51%0.35%7.95%7.33%8.48%39.00%
201816.06%-0.98%-6.40%2.77%6.88%2.73%-2.49%4.09%-3.02%-10.98%-1.30%-9.20%-4.68%
20179.56%1.89%5.05%5.09%9.29%0.01%9.01%3.85%1.28%6.53%0.08%-0.44%63.94%
2016-10.25%-0.23%11.14%-1.60%6.87%-3.49%7.35%4.10%5.35%1.39%-1.98%3.71%22.56%
20153.33%4.43%-2.06%7.05%3.82%0.32%4.65%-4.59%-2.07%15.32%6.98%-2.71%38.30%
2014-3.12%1.45%3.77%-5.81%-3.93%

Expense Ratio

FANG Plus 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 FANG Plus Portfolio is 31, 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 FANG Plus Portfolio is 3131
FANG Plus Portfolio
The Sharpe Ratio Rank of FANG Plus Portfolio is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of FANG Plus Portfolio is 2323Sortino Ratio Rank
The Omega Ratio Rank of FANG Plus Portfolio is 2121Omega Ratio Rank
The Calmar Ratio Rank of FANG Plus Portfolio is 5555Calmar Ratio Rank
The Martin Ratio Rank of FANG Plus Portfolio is 3434Martin 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.


FANG Plus Portfolio
Sharpe ratio
The chart of Sharpe ratio for FANG Plus Portfolio, currently valued at 1.20, compared to the broader market-1.000.001.002.003.004.001.20
Sortino ratio
The chart of Sortino ratio for FANG Plus Portfolio, currently valued at 1.75, compared to the broader market-2.000.002.004.006.001.75
Omega ratio
The chart of Omega ratio for FANG Plus Portfolio, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.21
Calmar ratio
The chart of Calmar ratio for FANG Plus Portfolio, currently valued at 1.63, compared to the broader market0.002.004.006.008.001.63
Martin ratio
The chart of Martin ratio for FANG Plus Portfolio, currently valued at 4.73, compared to the broader market0.0010.0020.0030.0040.004.73
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVDA
NVIDIA Corporation
3.353.741.477.8921.82
BABA
Alibaba Group Holding Limited
-0.57-0.660.92-0.25-0.86
TSLA
Tesla, Inc.
-0.37-0.220.97-0.30-0.78
AMZN
Amazon.com, Inc.
1.452.201.261.128.16
GOOGL
Alphabet Inc.
1.512.031.292.299.14
NFLX
Netflix, Inc.
1.462.321.290.977.36
BIDU
Baidu, Inc.
-1.09-1.690.82-0.54-1.36
META
Meta Platforms, Inc.
1.582.401.312.269.09
AAPL
Apple Inc
0.621.031.120.841.67
TCEHY
Tencent Holdings Limited
0.260.621.070.130.58

Sharpe Ratio

The current FANG Plus Portfolio Sharpe ratio is 1.20. 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 1.23 to 1.94, 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 FANG Plus 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.20
1.66
FANG Plus Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

FANG Plus Portfolio granted a 0.39% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
FANG Plus Portfolio0.39%0.86%0.51%0.09%0.09%0.16%0.25%0.19%0.26%0.34%0.34%0.43%
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%
BABA
Alibaba Group Holding Limited
2.18%1.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
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%
GOOGL
Alphabet Inc.
0.12%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%
BIDU
Baidu, 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.
0.22%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
0.44%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
TCEHY
Tencent Holdings Limited
0.94%6.80%4.27%0.35%0.22%0.27%0.29%0.15%0.25%0.24%0.04%0.20%

Drawdowns

Drawdowns Chart

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


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-9.56%
-4.24%
FANG Plus Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the FANG Plus 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 FANG Plus Portfolio was 48.59%, occurring on Nov 9, 2022. Recovery took 178 trading sessions.

The current FANG Plus Portfolio drawdown is 9.56%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.59%Nov 22, 2021244Nov 9, 2022178Jul 28, 2023422
-32.05%Feb 20, 202020Mar 18, 202051Jun 1, 202071
-30.41%Jun 21, 2018129Dec 24, 2018247Dec 17, 2019376
-23.18%Dec 2, 201547Feb 9, 201676May 27, 2016123
-16.42%Feb 17, 202114Mar 8, 2021127Sep 7, 2021141

Volatility

Volatility Chart

The current FANG Plus Portfolio volatility is 8.03%, 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%FebruaryMarchAprilMayJuneJuly
8.03%
3.80%
FANG Plus 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.

TSLATCEHYNFLXBIDUBABANVDAAAPLMETAAMZNGOOGL
TSLA1.000.310.380.340.320.420.420.350.400.37
TCEHY0.311.000.340.590.650.370.380.360.390.39
NFLX0.380.341.000.370.380.470.450.510.540.49
BIDU0.340.590.371.000.650.400.390.400.400.43
BABA0.320.650.380.651.000.400.380.410.420.42
NVDA0.420.370.470.400.401.000.530.510.540.53
AAPL0.420.380.450.390.380.531.000.520.570.59
META0.350.360.510.400.410.510.521.000.610.66
AMZN0.400.390.540.400.420.540.570.611.000.68
GOOGL0.370.390.490.430.420.530.590.660.681.00
The correlation results are calculated based on daily price changes starting from Sep 22, 2014