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GAFNAM Capitalization-Weighted

Last updated Mar 2, 2024

Asset Allocation


MSFT 24.4%AAPL 23.4%GOOGL 14.5%AMZN 14.3%NVDA 13.9%META 9.5%EquityEquity
PositionCategory/SectorWeight
MSFT
Microsoft Corporation
Technology

24.40%

AAPL
Apple Inc.
Technology

23.40%

GOOGL
Alphabet Inc.
Communication Services

14.50%

AMZN
Amazon.com, Inc.
Consumer Cyclical

14.30%

NVDA
NVIDIA Corporation
Technology

13.90%

META
Meta Platforms, Inc.
Communication Services

9.50%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in GAFNAM Capitalization-Weighted, 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


500.00%1,000.00%1,500.00%2,000.00%2,500.00%OctoberNovemberDecember2024FebruaryMarch
2,650.61%
296.62%
GAFNAM Capitalization-Weighted
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META

Returns

As of Mar 2, 2024, the GAFNAM Capitalization-Weighted returned 16.03% Year-To-Date and 33.09% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
GAFNAM Capitalization-Weighted16.03%4.03%25.27%82.51%36.23%33.06%
MSFT
Microsoft Corporation
10.70%1.23%26.91%64.09%31.42%29.18%
AAPL
Apple Inc.
-6.57%-3.21%-4.93%19.59%33.67%26.89%
AMZN
Amazon.com, Inc.
17.30%3.73%29.03%87.80%16.10%25.42%
NVDA
NVIDIA Corporation
66.15%24.36%69.64%244.56%84.41%69.11%
META
Meta Platforms, Inc.
42.06%5.86%69.66%171.43%24.10%21.71%
GOOGL
Alphabet Inc.
-1.83%-3.68%1.09%46.44%18.64%16.26%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20245.11%9.57%
2023-0.51%-6.24%0.77%10.93%2.95%

Sharpe Ratio

The current GAFNAM Capitalization-Weighted Sharpe ratio is 4.16. A Sharpe ratio of 3.0 or higher is considered excellent.

0.002.004.004.16

The Sharpe ratio of GAFNAM Capitalization-Weighted 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 Ratio0.001.002.003.004.00OctoberNovemberDecember2024FebruaryMarch
4.16
2.44
GAFNAM Capitalization-Weighted
Benchmark (^GSPC)
Portfolio components

Dividend yield

GAFNAM Capitalization-Weighted granted a 0.31% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
GAFNAM Capitalization-Weighted0.31%0.30%0.44%0.29%0.39%0.57%0.90%0.83%1.09%1.19%1.23%1.39%
MSFT
Microsoft Corporation
0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
AAPL
Apple Inc.
0.53%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%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
META
Meta Platforms, Inc.
0.10%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.
0.00%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 GAFNAM Capitalization-Weighted 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
^GSPC
S&P 500
2.44
GAFNAM Capitalization-Weighted
4.16
MSFT
Microsoft Corporation
3.10
AAPL
Apple Inc.
1.27
AMZN
Amazon.com, Inc.
3.07
NVDA
NVIDIA Corporation
5.65
META
Meta Platforms, Inc.
5.10
GOOGL
Alphabet Inc.
1.87

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

NVDAAAPLMETAAMZNMSFTGOOGL
NVDA1.000.500.470.520.570.52
AAPL0.501.000.460.510.570.54
META0.470.461.000.560.500.60
AMZN0.520.510.561.000.590.66
MSFT0.570.570.500.591.000.65
GOOGL0.520.540.600.660.651.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
GAFNAM Capitalization-Weighted
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the GAFNAM Capitalization-Weighted. 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 GAFNAM Capitalization-Weighted was 43.17%, occurring on Nov 3, 2022. Recovery took 151 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.17%Dec 28, 2021216Nov 3, 2022151Jun 13, 2023367
-30.4%Oct 2, 201858Dec 24, 2018145Jul 24, 2019203
-28.64%Feb 20, 202018Mar 16, 202039May 11, 202057
-16.63%Dec 7, 201544Feb 9, 201673May 24, 2016117
-16.28%Sep 3, 202014Sep 23, 202083Jan 22, 202197

Volatility Chart

The current GAFNAM Capitalization-Weighted volatility is 7.45%, 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%OctoberNovemberDecember2024FebruaryMarch
7.45%
3.47%
GAFNAM Capitalization-Weighted
Benchmark (^GSPC)
Portfolio components
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