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Alpaca
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


META 22.5%TSLA 14.1%NVDA 10.4%SMH 8.4%MSFT 6.2%GOOGL 5.6%TGT 4.6%AMD 4.03%AVGO 4.03%V 4.03%AAPL 4.03%LLY 4.03%JPM 4.03%AMZN 4.03%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc.
Technology

4.03%

AMD
Advanced Micro Devices, Inc.
Technology

4.03%

AMZN
Amazon.com, Inc.
Consumer Cyclical

4.03%

AVGO
Broadcom Inc.
Technology

4.03%

GOOGL
Alphabet Inc.
Communication Services

5.60%

JPM
JPMorgan Chase & Co.
Financial Services

4.03%

LLY
Eli Lilly and Company
Healthcare

4.03%

META
Meta Platforms, Inc.
Communication Services

22.50%

MSFT
Microsoft Corporation
Technology

6.20%

NVDA
NVIDIA Corporation
Technology

10.40%

SMH
VanEck Vectors Semiconductor ETF
Technology Equities

8.40%

TGT
Target Corporation
Consumer Defensive

4.60%

TSLA
Tesla, Inc.
Consumer Cyclical

14.10%

V
Visa Inc.
Financial Services

4.03%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Alpaca, 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%10.00%20.00%30.00%2024FebruaryMarchAprilMayJune
34.49%
14.20%
Alpaca
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Jun 12, 2024, the Alpaca returned 30.19% Year-To-Date and 36.31% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
12.69%2.92%15.76%23.89%13.23%10.77%
Alpaca30.19%8.10%34.49%53.49%46.05%36.31%
GOOGL
Alphabet Inc.
26.58%4.54%33.38%42.79%26.72%20.27%
META
Meta Platforms, Inc.
43.52%8.43%51.76%87.24%22.96%22.97%
MSFT
Microsoft Corporation
15.48%4.77%16.00%30.45%28.02%28.62%
NVDA
NVIDIA Corporation
144.19%33.76%151.47%194.83%102.45%74.57%
SMH
VanEck Vectors Semiconductor ETF
46.10%14.43%51.08%67.69%41.19%29.91%
TGT
Target Corporation
4.12%-8.52%7.16%17.39%13.34%13.02%
TSLA
Tesla, Inc.
-31.32%-0.72%-28.68%-34.03%64.39%28.70%
AMD
Advanced Micro Devices, Inc.
7.84%5.58%15.03%27.65%39.40%43.65%
AVGO
Broadcom Inc.
31.44%9.24%35.27%75.05%45.37%38.93%
V
Visa Inc.
5.89%-1.51%5.07%23.90%10.91%18.79%
AAPL
Apple Inc.
7.88%11.20%4.92%13.61%34.95%26.28%
LLY
Eli Lilly and Company
49.05%14.46%45.41%95.70%53.02%33.59%
JPM
JPMorgan Chase & Co.
15.64%-2.20%22.13%40.48%15.51%16.27%
AMZN
Amazon.com, Inc.
23.23%0.35%25.79%47.82%14.95%27.70%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.66%15.11%2.25%-4.28%7.30%30.19%
202320.23%8.54%11.97%0.60%14.11%9.31%5.60%-1.62%-4.59%-3.45%12.81%6.64%111.10%
2022-9.14%-9.48%7.23%-14.03%-2.40%-12.87%13.09%-5.94%-11.75%-5.26%11.16%-9.56%-42.36%
20211.77%-0.02%2.84%7.21%0.12%8.57%2.88%5.53%-5.37%12.23%5.65%-0.73%47.48%
20208.41%-2.54%-11.02%21.30%8.00%8.42%12.84%24.29%-7.58%-3.43%15.49%6.14%104.90%
201910.61%2.03%4.03%4.59%-11.25%10.27%3.40%-1.37%0.92%10.59%6.22%9.27%58.74%
201811.59%-2.34%-8.47%3.51%7.54%2.99%-0.42%7.08%-1.12%-6.73%-2.28%-7.18%1.99%
20177.19%3.29%4.42%3.32%6.60%0.23%4.86%2.88%0.71%5.32%-0.50%-0.22%44.99%
2016-6.04%-1.60%10.43%0.97%5.78%-1.46%11.02%1.09%2.09%0.37%2.11%6.10%33.88%
2015-3.08%7.47%-1.90%3.29%4.33%0.74%3.55%-2.99%0.79%7.72%4.91%2.54%30.14%
20144.32%12.64%-5.45%-0.77%3.25%4.96%-0.11%7.57%-0.99%-0.70%5.07%-1.94%30.02%
20137.72%-2.90%1.29%10.16%16.68%2.60%15.55%6.37%11.94%-0.15%-1.18%7.87%104.61%

Expense Ratio

Alpaca has an expense ratio of 0.03% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Alpaca is 88, placing it in the top 12% 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 Alpaca is 8888
Alpaca
The Sharpe Ratio Rank of Alpaca is 8787Sharpe Ratio Rank
The Sortino Ratio Rank of Alpaca is 8585Sortino Ratio Rank
The Omega Ratio Rank of Alpaca is 8585Omega Ratio Rank
The Calmar Ratio Rank of Alpaca is 9393Calmar Ratio Rank
The Martin Ratio Rank of Alpaca is 8888Martin 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.


Alpaca
Sharpe ratio
The chart of Sharpe ratio for Alpaca, currently valued at 2.66, compared to the broader market0.002.004.002.66
Sortino ratio
The chart of Sortino ratio for Alpaca, currently valued at 3.59, compared to the broader market-2.000.002.004.006.003.59
Omega ratio
The chart of Omega ratio for Alpaca, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.801.44
Calmar ratio
The chart of Calmar ratio for Alpaca, currently valued at 4.94, compared to the broader market0.002.004.006.008.0010.004.94
Martin ratio
The chart of Martin ratio for Alpaca, currently valued at 15.72, compared to the broader market0.0010.0020.0030.0040.0050.0015.72
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.21, compared to the broader market0.002.004.002.21
Sortino ratio
The chart of Sortino ratio for ^GSPC, 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 ^GSPC, 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 ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.0010.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.30, compared to the broader market0.0010.0020.0030.0040.0050.008.30

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
GOOGL
Alphabet Inc.
1.602.161.302.009.62
META
Meta Platforms, Inc.
2.553.481.453.1515.11
MSFT
Microsoft Corporation
1.622.191.272.576.26
NVDA
NVIDIA Corporation
4.804.951.6210.7130.88
SMH
VanEck Vectors Semiconductor ETF
2.773.541.435.0313.41
TGT
Target Corporation
0.591.251.150.321.92
TSLA
Tesla, Inc.
-0.60-0.670.92-0.46-1.08
AMD
Advanced Micro Devices, Inc.
0.601.131.140.651.71
AVGO
Broadcom Inc.
2.433.261.396.0815.18
V
Visa Inc.
1.752.391.302.467.08
AAPL
Apple Inc.
0.701.161.140.911.81
LLY
Eli Lilly and Company
3.204.501.597.7323.27
JPM
JPMorgan Chase & Co.
2.422.981.442.589.28
AMZN
Amazon.com, Inc.
1.872.701.331.4410.70

Sharpe Ratio

The current Alpaca Sharpe ratio is 2.66. 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 1.43 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 Alpaca 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 Ratio1.002.003.004.005.002024FebruaryMarchAprilMayJune
2.66
2.21
Alpaca
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

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


TTM20232022202120202019201820172016201520142013
Alpaca0.46%0.48%0.74%0.47%0.61%1.08%1.05%0.90%0.84%1.12%1.00%1.17%
GOOGL
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.
0.10%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MSFT
Microsoft Corporation
0.68%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%
SMH
VanEck Vectors Semiconductor ETF
0.41%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
TGT
Target Corporation
3.01%3.06%2.66%1.37%1.52%2.03%3.81%3.74%3.21%2.97%2.50%2.50%
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%
AMD
Advanced Micro Devices, 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%
AVGO
Broadcom Inc.
1.35%1.71%3.02%2.24%3.05%3.54%3.11%1.94%1.52%1.23%1.34%1.87%
V
Visa Inc.
0.73%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%0.62%
AAPL
Apple Inc.
0.47%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
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%
JPM
JPMorgan Chase & Co.
2.19%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%
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%

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%2024FebruaryMarchAprilMayJune00
Alpaca
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Alpaca. 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 Alpaca was 46.94%, occurring on Nov 3, 2022. Recovery took 151 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.94%Nov 22, 2021240Nov 3, 2022151Jun 13, 2023391
-37.01%Feb 20, 202020Mar 18, 202055Jun 5, 202075
-23.73%Oct 2, 201858Dec 24, 201868Apr 3, 2019126
-18.21%Dec 30, 201529Feb 10, 201632Mar 29, 201661
-15.07%May 6, 201920Jun 3, 201928Jul 12, 201948

Volatility

Volatility Chart

The current Alpaca volatility is 4.00%, 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%10.00%2024FebruaryMarchAprilMayJune
4.00%
2.41%
Alpaca
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.

LLYTGTTSLAJPMAMDMETAVAAPLAVGOAMZNNVDAGOOGLMSFTSMH
LLY1.000.210.130.250.170.250.320.240.250.260.220.290.320.26
TGT0.211.000.180.350.230.200.300.250.260.280.270.270.290.33
TSLA0.130.181.000.240.340.330.290.370.370.390.380.360.350.42
JPM0.250.350.241.000.280.300.470.340.390.320.340.380.370.46
AMD0.170.230.340.281.000.370.370.400.470.430.610.410.450.64
META0.250.200.330.300.371.000.440.450.430.560.470.600.500.49
V0.320.300.290.470.370.441.000.450.450.490.430.550.560.53
AAPL0.240.250.370.340.400.450.451.000.530.500.490.540.560.58
AVGO0.250.260.370.390.470.430.450.531.000.460.590.470.510.78
AMZN0.260.280.390.320.430.560.490.500.461.000.520.650.590.55
NVDA0.220.270.380.340.610.470.430.490.590.521.000.510.560.78
GOOGL0.290.270.360.380.410.600.550.540.470.650.511.000.650.57
MSFT0.320.290.350.370.450.500.560.560.510.590.560.651.000.63
SMH0.260.330.420.460.640.490.530.580.780.550.780.570.631.00
The correlation results are calculated based on daily price changes starting from May 21, 2012