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

Asset Allocation


AAPL 14.29%MSFT 14.29%NVDA 14.29%AMZN 14.29%TSLA 14.29%GOOG 14.29%META 14.29%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc
Technology

14.29%

AMZN
Amazon.com, Inc.
Consumer Cyclical

14.29%

GOOG
Alphabet Inc.
Communication Services

14.29%

META
Meta Platforms, Inc.
Communication Services

14.29%

MSFT
Microsoft Corporation
Technology

14.29%

NVDA
NVIDIA Corporation
Technology

14.29%

TSLA
Tesla, Inc.
Consumer Cyclical

14.29%

S&P 500

Performance

Performance Chart

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


0.00%500.00%1,000.00%1,500.00%2,000.00%2,500.00%FebruaryMarchAprilMayJuneJuly
2,408.55%
194.15%
drs
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 Jul 22, 2024, the drs returned 36.91% Year-To-Date and 36.76% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
16.48%1.67%14.21%21.98%13.13%10.91%
drs37.74%3.33%32.10%51.11%45.51%37.05%
AAPL
Apple Inc
17.18%8.44%15.59%17.36%35.25%26.48%
MSFT
Microsoft Corporation
16.67%-2.82%9.98%27.65%26.83%27.78%
NVDA
NVIDIA Corporation
138.17%-6.83%96.99%164.43%94.25%75.82%
AMZN
Amazon.com, Inc.
22.69%-1.41%19.48%44.73%13.61%27.75%
TSLA
Tesla, Inc.
-3.73%30.70%14.37%-11.10%73.71%32.08%
GOOG
Alphabet Inc.
30.43%1.85%23.63%50.81%26.66%20.18%
META
Meta Platforms, Inc.
34.98%-3.64%24.03%63.84%19.01%20.36%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.08%11.93%2.32%-2.07%8.27%9.18%37.74%
202321.16%6.55%13.12%1.03%15.35%9.34%5.17%-0.66%-5.50%-2.75%11.68%3.80%107.14%
2022-8.65%-6.82%8.36%-17.47%-3.94%-10.67%16.09%-6.51%-11.93%-5.01%6.47%-12.41%-44.69%
20211.96%-1.55%2.03%10.29%-2.11%9.78%2.48%7.19%-5.71%14.26%6.21%-2.00%49.52%
202011.97%-2.14%-9.01%22.31%7.50%11.09%13.39%25.77%-9.12%-2.83%12.12%5.99%117.97%
20198.20%2.07%5.43%4.00%-12.14%10.11%4.57%-2.72%2.27%10.52%5.28%8.65%54.08%
201813.20%-0.70%-7.85%3.28%7.11%3.05%0.50%8.42%-2.81%-7.22%-4.32%-8.87%1.16%
20177.94%2.21%5.32%4.56%9.80%-1.21%3.86%4.21%-0.77%8.66%0.05%-0.23%53.51%
2016-6.86%-2.48%10.66%-1.71%7.83%-2.96%11.07%0.82%4.06%0.37%1.19%5.91%29.56%
2015-0.91%7.20%-3.12%7.66%2.09%-0.59%7.72%-2.46%1.09%11.26%5.52%0.69%41.19%
2014-2.44%4.13%4.21%-0.38%8.00%-1.91%0.06%4.86%-4.94%11.45%

Expense Ratio

drs 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 risk-adjusted rank of drs is 78, placing it in the top 22% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of drs is 7878
drs
The Sharpe Ratio Rank of drs is 7474Sharpe Ratio Rank
The Sortino Ratio Rank of drs is 7070Sortino Ratio Rank
The Omega Ratio Rank of drs is 7070Omega Ratio Rank
The Calmar Ratio Rank of drs is 8989Calmar Ratio Rank
The Martin Ratio Rank of drs is 8787Martin 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.


drs
Sharpe ratio
The chart of Sharpe ratio for drs, currently valued at 2.34, compared to the broader market-1.000.001.002.003.004.002.34
Sortino ratio
The chart of Sortino ratio for drs, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
Omega ratio
The chart of Omega ratio for drs, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for drs, currently valued at 4.22, compared to the broader market0.002.004.006.008.0010.004.22
Martin ratio
The chart of Martin ratio for drs, currently valued at 15.35, compared to the broader market0.0010.0020.0030.0040.0015.35
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc
0.791.281.151.082.13
MSFT
Microsoft Corporation
1.431.941.252.176.46
NVDA
NVIDIA Corporation
3.633.991.508.4023.29
AMZN
Amazon.com, Inc.
1.572.361.281.218.83
TSLA
Tesla, Inc.
-0.160.141.02-0.12-0.32
GOOG
Alphabet Inc.
1.942.481.362.7611.66
META
Meta Platforms, Inc.
1.712.581.332.419.75

Sharpe Ratio

The current drs Sharpe ratio is 1.92. 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 1.31 to 2.07, 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 drs 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 Ratio1.502.002.503.003.504.00FebruaryMarchAprilMayJuneJuly
2.34
1.99
drs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

drs granted a 0.21% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
drs0.21%0.18%0.27%0.18%0.24%0.36%0.56%0.52%0.68%0.78%0.83%0.95%
AAPL
Apple Inc
0.43%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
MSFT
Microsoft Corporation
0.67%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
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%
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%
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%
GOOG
Alphabet Inc.
0.11%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.
0.21%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.


-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-7.73%
-1.97%
drs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the drs. 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 drs was 48.85%, occurring on Dec 28, 2022. Recovery took 128 trading sessions.

The current drs drawdown is 8.28%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.85%Nov 22, 2021277Dec 28, 2022128Jul 5, 2023405
-34.97%Feb 20, 202020Mar 18, 202044May 20, 202064
-27.46%Sep 4, 201878Dec 24, 2018203Oct 15, 2019281
-19.59%Dec 30, 201528Feb 9, 201639Apr 6, 201667
-16.12%Sep 3, 202014Sep 23, 202048Dec 1, 202062

Volatility

Volatility Chart

The current drs volatility is 8.00%, 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%FebruaryMarchAprilMayJuneJuly
8.00%
2.94%
drs
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.

TSLANVDAAAPLMETAAMZNMSFTGOOG
TSLA1.000.410.410.360.400.380.37
NVDA0.411.000.520.500.530.580.52
AAPL0.410.521.000.510.560.620.58
META0.360.500.511.000.610.580.65
AMZN0.400.530.560.611.000.640.67
MSFT0.380.580.620.580.641.000.69
GOOG0.370.520.580.650.670.691.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014