Alpaca

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Alpaca

Last updated Jul 25, 2024

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%

Benchmark

S&P 500

Rebalance portfolio

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

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 Jul 25, 2024, the Alpaca returned 30.40% Year-To-Date and 35.67% 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	13.20%	-1.28%	10.32%	18.23%	12.31%	10.58%
Alpaca	28.92%	-5.25%	22.96%	43.77%	43.02%	35.61%
Portfolio components:
GOOGL Alphabet Inc.	19.89%	-9.03%	10.05%	29.42%	21.94%	18.93%
META Meta Platforms, Inc.	28.36%	-11.64%	15.27%	45.76%	17.91%	20.00%
MSFT Microsoft Corporation	11.67%	-7.47%	3.96%	27.50%	25.49%	27.40%
NVDA NVIDIA Corporation	126.76%	-11.17%	84.00%	144.69%	91.87%	74.97%
SMH VanEck Vectors Semiconductor ETF	35.28%	-9.33%	25.65%	51.14%	34.52%	28.88%
TGT Target Corporation	4.19%	-0.60%	4.11%	12.42%	13.54%	12.29%
TSLA Tesla, Inc.	-11.36%	12.16%	20.19%	-13.87%	70.90%	30.91%
AMD Advanced Micro Devices, Inc.	-6.17%	-12.20%	-21.96%	24.50%	32.47%	43.42%
AVGO Broadcom Inc.	34.71%	-6.24%	24.80%	69.98%	42.20%	40.18%
V Visa Inc.	-2.18%	-7.26%	-4.95%	9.07%	7.43%	17.74%
AAPL Apple Inc	13.26%	1.99%	13.33%	13.16%	34.21%	25.96%
LLY Eli Lilly and Company	41.36%	-8.88%	28.91%	81.83%	52.32%	32.05%
JPM JPMorgan Chase & Co.	24.84%	6.28%	22.50%	37.11%	15.80%	16.76%
AMZN Amazon.com, Inc.	18.37%	-7.11%	13.03%	40.23%	13.14%	27.45%

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%							28.92%
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.

SMH

VanEck Vectors Semiconductor ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Alpaca is 84, placing it in the top 16% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

Alpaca

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
GOOGL Alphabet Inc.	1.32	1.82	1.26	2.01	7.91
META Meta Platforms, Inc.	1.47	2.27	1.29	2.10	8.33
MSFT Microsoft Corporation	1.00	1.41	1.18	1.55	6.20
NVDA NVIDIA Corporation	3.13	3.59	1.45	7.37	20.15
SMH VanEck Vectors Semiconductor ETF	1.79	2.36	1.30	3.28	8.79
TGT Target Corporation	0.40	0.95	1.11	0.22	1.20
TSLA Tesla, Inc.	-0.32	-0.13	0.99	-0.26	-0.67
AMD Advanced Micro Devices, Inc.	0.47	0.98	1.12	0.53	1.47
AVGO Broadcom Inc.	1.66	2.38	1.29	3.61	10.14
V Visa Inc.	0.49	0.74	1.09	0.57	1.68
AAPL Apple Inc	0.57	0.97	1.12	0.78	1.54
LLY Eli Lilly and Company	2.63	3.64	1.49	5.94	18.97
JPM JPMorgan Chase & Co.	2.10	2.59	1.38	2.26	7.98
AMZN Amazon.com, Inc.	1.41	2.15	1.26	1.09	7.87

Sharpe Ratio

The current Alpaca Sharpe ratio is 2.04. 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 1.24 to 1.94, 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.

Alpaca

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

Alpaca granted a 0.49% dividend yield in the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
Alpaca	0.49%	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.	0.22%	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	0.70%	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	0.44%	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.	1.36%	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.	0.79%	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	0.45%	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	0.59%	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.	2.11%	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.

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.

The current Alpaca drawdown is 12.26%.

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
-15.07%	May 6, 2019	20	Jun 3, 2019	28	Jul 12, 2019	48

Volatility

Volatility Chart

The current Alpaca volatility is 10.14%, 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.

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.

	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	0.30	0.33	0.26
TGT	0.20	1.00	0.17	0.34	0.23	0.20	0.30	0.25	0.25	0.27	0.26	0.27	0.28	0.32
TSLA	0.14	0.17	1.00	0.24	0.34	0.33	0.29	0.37	0.37	0.39	0.38	0.36	0.36	0.42
JPM	0.25	0.34	0.24	1.00	0.28	0.30	0.47	0.34	0.38	0.31	0.33	0.38	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	0.43	0.54	0.55	0.53
AAPL	0.24	0.25	0.37	0.34	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	0.37	0.38	0.47	0.43	0.44	0.52	1.00	0.46	0.58	0.46	0.51	0.77
AMZN	0.26	0.27	0.39	0.31	0.43	0.56	0.49	0.50	0.46	1.00	0.51	0.65	0.59	0.54
NVDA	0.22	0.26	0.38	0.33	0.61	0.47	0.43	0.48	0.58	0.51	1.00	0.51	0.56	0.78
GOOGL	0.30	0.27	0.36	0.38	0.41	0.60	0.54	0.54	0.46	0.65	0.51	1.00	0.65	0.57
MSFT	0.33	0.28	0.36	0.37	0.45	0.50	0.55	0.56	0.51	0.59	0.56	0.65	1.00	0.63
SMH	0.26	0.32	0.42	0.46	0.64	0.49	0.53	0.57	0.77	0.54	0.78	0.57	0.63	1.00

The correlation results are calculated based on daily price changes starting from May 21, 2012