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cyber
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


CRWD 50.00%CYBR 50.00%EquityEquity
PositionCategory/SectorTarget Weight
CRWD
CrowdStrike Holdings, Inc.
Technology
50%
CYBR
CyberArk Software Ltd.
Technology
50%

S&P 500 Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in cyber, 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 Every 3 months.


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The earliest data available for this chart is Jun 12, 2019, corresponding to the inception date of CRWD

Returns By Period


1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
2.51%-0.19%-0.92%0.43%36.13%18.22%10.44%12.72%
Portfolio
cyber
0.41%-0.52%-8.35%-18.13%32.16%48.06%22.37%
CRWD
CrowdStrike Holdings, Inc.
0.77%-1.76%-9.01%-16.36%31.22%49.43%16.04%
CYBR
CyberArk Software Ltd.
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jun 13, 2019, cyber's average daily return is +0.14%, while the average monthly return is +2.79%. At this rate, your investment would double in approximately 2.1 years.

Historically, 61% of months were positive and 39% were negative. The best month was Dec 2020 with a return of +39.4%, while the worst month was Jul 2024 at -22.7%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.

On a daily basis, cyber closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +13.6%, while the worst single day was Mar 16, 2020 at -13.0%.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2026-4.62%-10.34%2.38%4.69%-8.35%
202513.77%-2.02%-8.31%12.83%9.34%7.25%-4.80%2.22%10.53%9.26%-9.04%-5.45%36.68%
202410.58%11.86%-0.20%-9.34%1.52%20.90%-22.67%14.82%1.05%0.20%16.76%1.00%45.62%
20234.59%8.18%8.08%-14.17%28.87%-3.88%8.13%0.44%0.68%2.78%28.13%8.74%103.60%
2022-16.31%15.63%7.59%-9.69%-15.46%-1.74%5.29%5.00%-2.79%1.25%-15.58%-11.89%-36.77%
20210.53%-4.08%-13.84%11.47%-1.39%8.66%4.97%14.67%-8.87%14.39%-13.66%-2.46%4.88%

Benchmark Metrics

cyber has an annualized alpha of 19.10%, beta of 1.20, and R² of 0.30 versus S&P 500 Index. Calculated based on daily prices since June 13, 2019.

  • This portfolio captured 134.79% of S&P 500 Index gains but only 77.56% of its losses — a favorable profile for investors.
  • R² of 0.30 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha
19.10%
Beta
1.20
0.30
Upside Capture
134.79%
Downside Capture
77.56%

Expense Ratio

cyber has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


The portfolio doesn't include any funds that charge management fees.

Return for Risk

Risk / Return Rank

cyber ranks 8 for risk / return — in the bottom 8% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.


cyber Risk / Return Rank: 88
Overall Rank
cyber Sharpe Ratio Rank: 77
Sharpe Ratio Rank
cyber Sortino Ratio Rank: 77
Sortino Ratio Rank
cyber Omega Ratio Rank: 77
Omega Ratio Rank
cyber Calmar Ratio Rank: 1212
Calmar Ratio Rank
cyber Martin Ratio Rank: 1010
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics


PortfolioBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

0.97

2.19

-1.22

Sortino ratio

Return per unit of downside risk

1.55

3.49

-1.94

Omega ratio

Gain probability vs. loss probability

1.20

1.48

-0.28

Calmar ratio

Return relative to maximum drawdown

1.19

3.70

-2.51

Martin ratio

Return relative to average drawdown

2.85

16.45

-13.60


How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Risk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
CRWD
CrowdStrike Holdings, Inc.
540.711.271.160.882.19
CYBR
CyberArk Software Ltd.

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

cyber Sharpe ratios as of Apr 9, 2026 (values are recalculated daily):

  • 1-Year: 0.97
  • 5-Year: 0.54
  • All Time: 0.64

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 2.13 to 2.98, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of cyber compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.


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Dividends

Dividend yield


cyber doesn't pay dividends

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.


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Worst Drawdowns

The table below displays the maximum drawdowns of the cyber. 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 cyber was 57.25%, occurring on Mar 16, 2020. Recovery took 80 trading sessions.

The current cyber drawdown is 21.91%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-57.25%Jul 29, 2019160Mar 16, 202080Jul 9, 2020240
-55.25%Nov 10, 2021291Jan 6, 2023238Dec 18, 2023529
-29.26%Nov 12, 202558Feb 5, 2026
-28.22%Feb 14, 202516Mar 10, 202558Jun 2, 202574
-27.42%Jul 8, 202421Aug 5, 202472Nov 14, 202493

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 2 assets, with an effective number of assets of 2.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of 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.

BenchmarkCYBRCRWDPortfolio
Benchmark1.000.520.470.53
CYBR0.521.000.590.84
CRWD0.470.591.000.92
Portfolio0.530.840.921.00
The correlation results are calculated based on daily price changes starting from Jun 13, 2019