PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Top Twelve
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Top Twelve

Last updated Sep 19, 2024

US

Asset Allocation

NVDA 12%MSFT 11%AAPL 10%AVGO 10%AMZN 9%GOOGL 9%META 9%LLY 9%TSM 7%TSLA 5%ARM 5%MU 4%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology
10%
AMZN
Amazon.com, Inc.		Consumer Cyclical
9%
ARM
Arm Holdings plc American Depositary Shares		Technology
5%
AVGO
Broadcom Inc.		Technology
10%
GOOGL
Alphabet Inc.		Communication Services
9%
LLY
Eli Lilly and Company		Healthcare
9%
META
Meta Platforms, Inc.		Communication Services
9%
MSFT
Microsoft Corporation		Technology
11%
MU
Micron Technology, Inc.		Technology
4%
NVDA
NVIDIA Corporation		Technology
12%
TSLA
Tesla, Inc.		Consumer Cyclical
5%
TSM
Taiwan Semiconductor Manufacturing Company Limited		Technology
7%

Performance

Performance Chart

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

-10.00%0.00%10.00%20.00%30.00%AprilMayJuneJulyAugustSeptember
13.61%
7.19%
Top Twelve
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 14, 2023, corresponding to the inception date of ARM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		17.79%0.18%7.53%26.42%13.48%10.85%
Top Twelve44.99%-2.41%13.61%67.96%N/AN/A
Portfolio components:
NVDA
NVIDIA Corporation		128.98%-10.90%24.01%168.48%92.83%73.79%
MSFT
Microsoft Corporation		15.19%1.41%0.70%35.31%26.56%26.69%
AAPL
Apple Inc		15.06%-2.57%29.10%26.40%33.30%25.76%
AMZN
Amazon.com, Inc.		22.70%4.22%4.65%37.80%15.81%27.45%
GOOGL
Alphabet Inc.		14.69%-4.28%8.54%19.79%21.18%18.17%
META
Meta Platforms, Inc.		52.44%2.23%6.15%80.05%23.30%21.40%
LLY
Eli Lilly and Company		56.00%-4.74%17.85%59.93%53.06%32.47%
AVGO
Broadcom Inc.		45.91%-2.58%20.31%97.00%45.89%37.82%
TSLA
Tesla, Inc.		-8.56%2.76%31.47%-13.48%70.20%29.45%
MU
Micron Technology, Inc.		2.54%-19.11%-20.34%25.97%12.65%10.92%
ARM
Arm Holdings plc American Depositary Shares		84.12%6.47%3.56%161.50%N/AN/A
TSM
Taiwan Semiconductor Manufacturing Company Limited		62.60%-2.41%20.78%94.63%33.47%26.59%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.94%16.43%3.45%-2.99%9.10%11.97%-3.83%1.37%44.99%
2023-6.51%-1.09%11.66%6.62%10.09%

Expense Ratio

Top Twelve 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 Top Twelve is 73, 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 Top Twelve is 7373
Top Twelve
The Sharpe Ratio Rank of Top Twelve is 8383Sharpe Ratio Rank
The Sortino Ratio Rank of Top Twelve is 7070Sortino Ratio Rank
The Omega Ratio Rank of Top Twelve is 7171Omega Ratio Rank
The Calmar Ratio Rank of Top Twelve is 8585Calmar Ratio Rank
The Martin Ratio Rank of Top Twelve is 5858Martin 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.

Top Twelve
Sharpe ratio
The chart of Sharpe ratio for Top Twelve, currently valued at 2.49, compared to the broader market-1.000.001.002.003.004.002.49
Sortino ratio
The chart of Sortino ratio for Top Twelve, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Omega ratio
The chart of Omega ratio for Top Twelve, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for Top Twelve, currently valued at 3.22, compared to the broader market0.002.004.006.008.003.22
Martin ratio
The chart of Martin ratio for Top Twelve, currently valued at 10.98, compared to the broader market0.0010.0020.0030.0010.98
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.06, compared to the broader market-1.000.001.002.003.004.002.06
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.85, compared to the broader market0.002.004.006.008.001.85
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.09, compared to the broader market0.0010.0020.0030.0011.09
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVDA
NVIDIA Corporation		3.103.401.435.9418.70
MSFT
Microsoft Corporation		1.622.141.282.076.33
AAPL
Apple Inc		1.081.661.211.443.39
AMZN
Amazon.com, Inc.		1.241.781.231.826.11
GOOGL
Alphabet Inc.		0.570.911.130.732.09
META
Meta Platforms, Inc.		2.102.981.404.1712.67
LLY
Eli Lilly and Company		1.932.691.353.1211.47
AVGO
Broadcom Inc.		2.062.681.353.7111.49
TSLA
Tesla, Inc.		-0.27-0.041.00-0.30-0.62
MU
Micron Technology, Inc.		0.541.061.130.551.48
ARM
Arm Holdings plc American Depositary Shares		1.702.591.333.548.53
TSM
Taiwan Semiconductor Manufacturing Company Limited		2.493.141.404.1113.56

Sharpe Ratio

The current Top Twelve Sharpe ratio is 2.49. 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 1.71 to 2.37, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of Top Twelve 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 Ratio2.102.202.302.402.5006 AM12 PM06 PMWed 1806 AM12 PM06 PMThu 19
2.49
2.06
Top Twelve
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Top Twelve granted a 0.46% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Top Twelve0.46%0.52%0.81%0.58%0.75%1.04%1.15%0.96%1.08%1.10%1.14%1.40%
Portfolio components:
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%
MSFT
Microsoft Corporation		0.70%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		0.44%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%
GOOGL
Alphabet 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%
META
Meta Platforms, Inc.		0.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LLY
Eli Lilly and Company		0.56%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
AVGO
Broadcom Inc.		1.30%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
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%
MU
Micron Technology, Inc.		0.53%0.54%0.89%0.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ARM
Arm Holdings plc American Depositary Shares		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TSM
Taiwan Semiconductor Manufacturing Company Limited		1.31%1.78%2.48%1.56%1.58%3.49%3.55%2.32%2.61%2.54%1.79%2.30%

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.

-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-10.68%
-0.86%
Top Twelve
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Top Twelve. 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 Top Twelve was 20.01%, occurring on Aug 7, 2024. The portfolio has not yet recovered.

The current Top Twelve drawdown is 10.68%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.01%Jul 11, 202420Aug 7, 2024———
-10.68%Apr 12, 20246Apr 19, 202418May 15, 202424
-9.4%Sep 15, 202330Oct 26, 20239Nov 8, 202339
-4.88%Jun 20, 20243Jun 24, 20247Jul 3, 202410
-4.69%Mar 8, 20242Mar 11, 20249Mar 22, 202411

Volatility

Volatility Chart

The current Top Twelve volatility is 8.51%, 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%4.00%6.00%8.00%10.00%12.00%AprilMayJuneJulyAugustSeptember
8.51%
3.99%
Top Twelve
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.
LLYTSLAAAPLGOOGLMUARMMETAAMZNTSMNVDAMSFTAVGO
LLY1.000.150.210.220.200.260.370.360.290.390.330.33
TSLA0.151.000.400.280.320.430.250.340.400.300.300.41
AAPL0.210.401.000.460.350.360.330.450.330.320.450.40
GOOGL0.220.280.461.000.280.350.510.610.360.390.640.36
MU0.200.320.350.281.000.510.390.400.610.620.440.64
ARM0.260.430.360.350.511.000.400.460.600.530.410.56
META0.370.250.330.510.390.401.000.610.500.510.640.52
AMZN0.360.340.450.610.400.460.611.000.480.510.700.52
TSM0.290.400.330.360.610.600.500.481.000.680.500.72
NVDA0.390.300.320.390.620.530.510.510.681.000.530.71
MSFT0.330.300.450.640.440.410.640.700.500.531.000.58
AVGO0.330.410.400.360.640.560.520.520.720.710.581.00
The correlation results are calculated based on daily price changes starting from Sep 15, 2023