Alpaca
Asset Allocation
Position | Category/Sector | Weight |
---|---|---|
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% |
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
The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META
Returns By Period
As of Aug 31, 2024, the Alpaca returned 36.50% Year-To-Date and 35.32% of annualized return in the last 10 years.
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
^GSPC S&P 500 | 18.42% | 2.28% | 9.95% | 25.31% | 14.08% | 10.95% |
Alpaca | 36.50% | 7.40% | 12.30% | 52.61% | 45.57% | 35.30% |
Portfolio components: | ||||||
GOOGL Alphabet Inc. | 17.09% | -1.97% | 22.66% | 20.57% | 22.65% | 18.58% |
META Meta Platforms, Inc. | 47.58% | 6.80% | 4.74% | 76.25% | 22.87% | 21.13% |
MSFT Microsoft Corporation | 11.54% | 2.30% | 0.90% | 27.87% | 26.07% | 26.74% |
NVDA NVIDIA Corporation | 141.08% | 11.28% | 40.06% | 146.15% | 95.74% | 73.97% |
SMH VanEck Vectors Semiconductor ETF | 39.22% | 11.46% | 8.64% | 56.79% | 36.46% | 28.46% |
TGT Target Corporation | 10.27% | 11.25% | 3.59% | 26.41% | 9.95% | 12.84% |
TSLA Tesla, Inc. | -13.83% | 3.10% | 13.80% | -12.61% | 71.13% | 27.84% |
AMD Advanced Micro Devices, Inc. | 0.78% | 12.12% | -27.66% | 35.73% | 36.99% | 43.16% |
AVGO Broadcom Inc. | 46.95% | 13.21% | 16.98% | 89.89% | 46.53% | 38.22% |
V Visa Inc. | 6.76% | 3.88% | -1.10% | 12.27% | 9.54% | 18.72% |
AAPL Apple Inc | 19.39% | 4.28% | 31.11% | 21.49% | 35.38% | 26.50% |
LLY Eli Lilly and Company | 65.49% | 19.50% | 21.55% | 73.48% | 55.68% | 33.65% |
JPM JPMorgan Chase & Co. | 34.49% | 12.89% | 21.79% | 56.96% | 18.89% | 17.39% |
AMZN Amazon.com, Inc. | 17.48% | 6.31% | 0.52% | 29.24% | 14.72% | 26.36% |
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 3.66% | 15.11% | 2.25% | -4.28% | 7.25% | 7.95% | -0.99% | 36.50% | |||||
2023 | 20.23% | 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% |
2021 | 1.77% | -0.02% | 2.84% | 7.21% | 0.12% | 8.57% | 2.88% | 5.53% | -5.37% | 12.23% | 5.65% | -0.73% | 47.48% |
2020 | 8.41% | -2.54% | -11.02% | 21.30% | 8.00% | 8.42% | 12.84% | 24.29% | -7.58% | -3.43% | 15.49% | 6.14% | 104.90% |
2019 | 10.61% | 2.03% | 4.03% | 4.59% | -11.25% | 10.27% | 3.40% | -1.37% | 0.92% | 10.59% | 6.22% | 9.27% | 58.74% |
2018 | 11.59% | -2.34% | -8.45% | 3.51% | 7.54% | 3.01% | -0.42% | 7.08% | -1.12% | -6.73% | -2.28% | -7.18% | 2.04% |
2017 | 7.19% | 3.33% | 4.42% | 3.32% | 6.60% | 0.23% | 4.86% | 2.88% | 0.71% | 5.32% | -0.50% | -0.22% | 45.04% |
2016 | -6.04% | -1.55% | 10.43% | 0.97% | 5.78% | -1.46% | 11.02% | 1.09% | 2.09% | 0.37% | 2.11% | 6.10% | 33.95% |
2015 | -3.08% | 7.54% | -1.90% | 3.29% | 4.33% | 0.75% | 3.55% | -2.99% | 0.79% | 7.72% | 4.91% | 2.54% | 30.21% |
2014 | 4.32% | 12.72% | -5.45% | -0.77% | 3.25% | 4.96% | -0.11% | 7.57% | -0.99% | -0.70% | 5.07% | -1.94% | 30.13% |
2013 | 7.72% | -2.78% | 1.29% | 10.16% | 16.68% | 2.60% | 15.55% | 6.37% | 11.94% | -0.15% | -1.18% | 7.87% | 104.86% |
Expense Ratio
Alpaca has an expense ratio of 0.03%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Alpaca is 74, 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.
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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
GOOGL Alphabet Inc. | 0.74 | 1.12 | 1.16 | 1.10 | 3.15 |
META Meta Platforms, Inc. | 2.10 | 2.98 | 1.40 | 3.14 | 12.75 |
MSFT Microsoft Corporation | 1.40 | 1.89 | 1.24 | 1.80 | 5.87 |
NVDA NVIDIA Corporation | 2.84 | 3.28 | 1.41 | 5.26 | 16.32 |
SMH VanEck Vectors Semiconductor ETF | 1.77 | 2.35 | 1.30 | 2.31 | 7.87 |
TGT Target Corporation | 0.71 | 1.48 | 1.18 | 0.42 | 2.28 |
TSLA Tesla, Inc. | -0.31 | -0.10 | 0.99 | -0.25 | -0.63 |
AMD Advanced Micro Devices, Inc. | 0.83 | 1.41 | 1.18 | 0.93 | 2.22 |
AVGO Broadcom Inc. | 1.98 | 2.69 | 1.34 | 3.39 | 10.78 |
V Visa Inc. | 0.87 | 1.21 | 1.16 | 1.05 | 2.58 |
AAPL Apple Inc | 1.01 | 1.56 | 1.19 | 1.36 | 2.99 |
LLY Eli Lilly and Company | 2.53 | 3.31 | 1.44 | 4.07 | 14.34 |
JPM JPMorgan Chase & Co. | 3.05 | 3.52 | 1.55 | 3.45 | 19.44 |
AMZN Amazon.com, Inc. | 1.13 | 1.66 | 1.21 | 0.90 | 4.99 |
Dividends
Dividend yield
Alpaca granted a 0.46% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Alpaca | 0.46% | 0.48% | 0.74% | 0.47% | 0.61% | 1.08% | 1.10% | 0.92% | 0.88% | 1.15% | 1.04% | 1.25% |
Portfolio components: | ||||||||||||
GOOGL Alphabet Inc. | 0.12% | 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. | 0.19% | 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 | 0.72% | 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 | 0.43% | 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 | 2.88% | 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. | 1.25% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 4.48% | 2.57% | 2.33% | 2.09% | 2.42% | 3.74% |
V Visa Inc. | 0.75% | 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 | 0.43% | 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 | 0.52% | 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. | 1.96% | 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. Drawdowns are calculated considering price movements and all distributions paid, if any.
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.
The current Alpaca drawdown is 8.15%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-46.94% | Nov 22, 2021 | 240 | Nov 3, 2022 | 151 | Jun 13, 2023 | 391 |
-37.01% | Feb 20, 2020 | 20 | Mar 18, 2020 | 55 | Jun 5, 2020 | 75 |
-23.73% | Oct 2, 2018 | 58 | Dec 24, 2018 | 68 | Apr 3, 2019 | 126 |
-18.17% | Dec 30, 2015 | 29 | Feb 10, 2016 | 32 | Mar 29, 2016 | 61 |
-17.63% | Jul 11, 2024 | 20 | Aug 7, 2024 | — | — | — |
Volatility
Volatility Chart
The current Alpaca volatility is 9.18%, 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.
Diversification
Asset Correlations Table
LLY | TGT | TSLA | JPM | AMD | META | V | AAPL | AVGO | AMZN | NVDA | GOOGL | MSFT | SMH | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
LLY | 1.00 | 0.20 | 0.14 | 0.25 | 0.17 | 0.25 | 0.31 | 0.24 | 0.25 | 0.26 | 0.22 | 0.29 | 0.33 | 0.26 |
TGT | 0.20 | 1.00 | 0.18 | 0.34 | 0.23 | 0.20 | 0.30 | 0.25 | 0.25 | 0.28 | 0.26 | 0.27 | 0.28 | 0.33 |
TSLA | 0.14 | 0.18 | 1.00 | 0.24 | 0.34 | 0.33 | 0.29 | 0.37 | 0.38 | 0.39 | 0.39 | 0.36 | 0.36 | 0.43 |
JPM | 0.25 | 0.34 | 0.24 | 1.00 | 0.28 | 0.30 | 0.47 | 0.33 | 0.38 | 0.31 | 0.33 | 0.37 | 0.37 | 0.46 |
AMD | 0.17 | 0.23 | 0.34 | 0.28 | 1.00 | 0.37 | 0.37 | 0.40 | 0.47 | 0.43 | 0.61 | 0.41 | 0.45 | 0.64 |
META | 0.25 | 0.20 | 0.33 | 0.30 | 0.37 | 1.00 | 0.44 | 0.45 | 0.43 | 0.56 | 0.47 | 0.60 | 0.50 | 0.49 |
V | 0.31 | 0.30 | 0.29 | 0.47 | 0.37 | 0.44 | 1.00 | 0.45 | 0.44 | 0.49 | 0.42 | 0.54 | 0.55 | 0.52 |
AAPL | 0.24 | 0.25 | 0.37 | 0.33 | 0.40 | 0.45 | 0.45 | 1.00 | 0.52 | 0.50 | 0.48 | 0.54 | 0.56 | 0.57 |
AVGO | 0.25 | 0.25 | 0.38 | 0.38 | 0.47 | 0.43 | 0.44 | 0.52 | 1.00 | 0.46 | 0.59 | 0.46 | 0.51 | 0.78 |
AMZN | 0.26 | 0.28 | 0.39 | 0.31 | 0.43 | 0.56 | 0.49 | 0.50 | 0.46 | 1.00 | 0.51 | 0.65 | 0.60 | 0.54 |
NVDA | 0.22 | 0.26 | 0.39 | 0.33 | 0.61 | 0.47 | 0.42 | 0.48 | 0.59 | 0.51 | 1.00 | 0.51 | 0.56 | 0.78 |
GOOGL | 0.29 | 0.27 | 0.36 | 0.37 | 0.41 | 0.60 | 0.54 | 0.54 | 0.46 | 0.65 | 0.51 | 1.00 | 0.65 | 0.56 |
MSFT | 0.33 | 0.28 | 0.36 | 0.37 | 0.45 | 0.50 | 0.55 | 0.56 | 0.51 | 0.60 | 0.56 | 0.65 | 1.00 | 0.63 |
SMH | 0.26 | 0.33 | 0.43 | 0.46 | 0.64 | 0.49 | 0.52 | 0.57 | 0.78 | 0.54 | 0.78 | 0.56 | 0.63 | 1.00 |