Alpaca
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
META Meta Platforms, Inc. | Communication Services | 22.5% |
TSLA Tesla, Inc. | Consumer Cyclical | 14.1% |
NVDA NVIDIA Corporation | Technology | 10.4% |
QQQ Invesco QQQ | Large Cap Blend Equities | 8.4% |
SMH VanEck Vectors Semiconductor ETF | Technology Equities | 8.4% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 6.7% |
MSFT Microsoft Corporation | Technology | 6.2% |
GOOGL Alphabet Inc. | Communication Services | 5.6% |
NEE NextEra Energy, Inc. | Utilities | 4.9% |
TGT Target Corporation | Consumer Defensive | 4.6% |
COST Costco Wholesale Corporation | Consumer Defensive | 4.1% |
MSCI MSCI Inc. | Financial Services | 4.1% |
Performance
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
Returns
As of Sep 30, 2023, the Alpaca returned 72.49% Year-To-Date and 29.73% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -4.87% | 4.35% | 11.68% | 19.59% | 7.97% | 9.75% |
| Alpaca | -4.51% | 19.38% | 72.49% | 62.31% | 30.72% | 29.87% |
| Portfolio components: | ||||||
COST Costco Wholesale Corporation | 2.85% | 14.16% | 24.47% | 20.53% | 20.86% | 19.62% |
GOOGL Alphabet Inc. | -3.90% | 26.15% | 48.32% | 36.81% | 16.76% | 19.44% |
META Meta Platforms, Inc. | 1.46% | 41.65% | 149.47% | 121.26% | 13.10% | 19.61% |
MSCI MSCI Inc. | -5.62% | -7.83% | 11.17% | 22.93% | 24.60% | 30.39% |
MSFT Microsoft Corporation | -3.66% | 9.99% | 32.56% | 36.88% | 23.65% | 27.29% |
NEE NextEra Energy, Inc. | -14.24% | -24.68% | -30.11% | -25.10% | 8.95% | 13.95% |
NVDA NVIDIA Corporation | -11.86% | 56.63% | 197.76% | 258.56% | 43.53% | 61.47% |
QQQ Invesco QQQ | -5.08% | 11.95% | 35.14% | 34.96% | 14.82% | 17.30% |
SMH VanEck Vectors Semiconductor ETF | -7.19% | 10.17% | 42.88% | 60.24% | 25.83% | 25.47% |
SPY SPDR S&P 500 ETF | -4.74% | 5.18% | 13.02% | 21.57% | 9.78% | 11.75% |
TGT Target Corporation | -12.63% | -32.21% | -24.20% | -23.39% | 7.03% | 8.70% |
TSLA Tesla, Inc. | -3.05% | 20.61% | 103.13% | -5.67% | 64.79% | 35.50% |
| Returns over 1 year are annualized | ||||||
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 11.52% | -0.57% | 11.59% | 8.89% | 6.37% | -2.73% |
Dividend yield
Alpaca granted a 0.76% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Alpaca | 0.76% | 0.75% | 0.45% | 0.68% | 1.11% | 1.17% | 1.23% | 1.07% | 1.56% | 1.26% | 1.37% | 2.21% |
| Portfolio components: | ||||||||||||
COST Costco Wholesale Corporation | 0.68% | 0.77% | 0.55% | 3.45% | 0.91% | 1.16% | 5.18% | 1.24% | 4.66% | 1.16% | 1.23% | 10.00% |
GOOGL Alphabet 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% |
META Meta Platforms, 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% |
MSCI MSCI Inc. | 1.05% | 0.99% | 0.60% | 0.67% | 1.01% | 1.36% | 1.10% | 1.36% | 1.20% | 0.42% | 0.00% | 0.00% |
MSFT Microsoft Corporation | 0.86% | 1.07% | 0.69% | 0.96% | 1.24% | 1.78% | 1.99% | 2.59% | 2.61% | 2.86% | 3.07% | 3.79% |
NEE NextEra Energy, Inc. | 3.19% | 2.07% | 1.72% | 1.93% | 2.24% | 2.84% | 2.87% | 3.42% | 3.58% | 3.39% | 3.95% | 4.60% |
NVDA NVIDIA Corporation | 0.04% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.30% | 0.46% | 1.23% | 1.77% | 2.06% | 0.66% |
QQQ Invesco QQQ | 0.60% | 0.81% | 0.43% | 0.56% | 0.76% | 0.94% | 0.87% | 1.11% | 1.05% | 1.51% | 1.10% | 1.39% |
SMH VanEck Vectors Semiconductor ETF | 1.66% | 2.37% | 1.04% | 1.42% | 6.29% | 4.18% | 3.31% | 1.92% | 5.19% | 2.93% | 4.02% | 9.94% |
SPY SPDR S&P 500 ETF | 1.52% | 1.67% | 1.24% | 1.58% | 1.85% | 2.21% | 1.98% | 2.28% | 2.37% | 2.18% | 2.17% | 2.65% |
TGT Target Corporation | 3.93% | 2.71% | 1.42% | 1.61% | 2.19% | 4.25% | 4.30% | 3.85% | 3.69% | 3.19% | 3.28% | 3.00% |
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% |
Expense Ratio
The Alpaca has an expense ratio of 0.05% 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.
Risk-Adjusted Performance
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 | Ulcer Index | |
|---|---|---|---|---|---|
COST Costco Wholesale Corporation | 0.77 | ||||
GOOGL Alphabet Inc. | 0.91 | ||||
META Meta Platforms, Inc. | 2.15 | ||||
MSCI MSCI Inc. | 0.61 | ||||
MSFT Microsoft Corporation | 1.05 | ||||
NEE NextEra Energy, Inc. | -1.10 | ||||
NVDA NVIDIA Corporation | 4.40 | ||||
QQQ Invesco QQQ | 1.26 | ||||
SMH VanEck Vectors Semiconductor ETF | 1.59 | ||||
SPY SPDR S&P 500 ETF | 1.00 | ||||
TGT Target Corporation | -0.84 | ||||
TSLA Tesla, Inc. | -0.21 |
Asset Correlations Table
| NEE | TGT | TSLA | COST | META | MSCI | NVDA | GOOGL | MSFT | SMH | SPY | QQQ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| NEE | 1.00 | 0.23 | 0.13 | 0.33 | 0.18 | 0.29 | 0.18 | 0.27 | 0.31 | 0.22 | 0.40 | 0.32 |
| TGT | 0.23 | 1.00 | 0.18 | 0.49 | 0.21 | 0.31 | 0.29 | 0.29 | 0.31 | 0.35 | 0.47 | 0.39 |
| TSLA | 0.13 | 0.18 | 1.00 | 0.25 | 0.34 | 0.34 | 0.40 | 0.37 | 0.37 | 0.43 | 0.44 | 0.51 |
| COST | 0.33 | 0.49 | 0.25 | 1.00 | 0.30 | 0.41 | 0.35 | 0.42 | 0.46 | 0.41 | 0.56 | 0.52 |
| META | 0.18 | 0.21 | 0.34 | 0.30 | 1.00 | 0.43 | 0.47 | 0.60 | 0.49 | 0.49 | 0.55 | 0.64 |
| MSCI | 0.29 | 0.31 | 0.34 | 0.41 | 0.43 | 1.00 | 0.48 | 0.51 | 0.54 | 0.54 | 0.65 | 0.65 |
| NVDA | 0.18 | 0.29 | 0.40 | 0.35 | 0.47 | 0.48 | 1.00 | 0.52 | 0.56 | 0.77 | 0.60 | 0.70 |
| GOOGL | 0.27 | 0.29 | 0.37 | 0.42 | 0.60 | 0.51 | 0.52 | 1.00 | 0.65 | 0.58 | 0.70 | 0.77 |
| MSFT | 0.31 | 0.31 | 0.37 | 0.46 | 0.49 | 0.54 | 0.56 | 0.65 | 1.00 | 0.63 | 0.72 | 0.80 |
| SMH | 0.22 | 0.35 | 0.43 | 0.41 | 0.49 | 0.54 | 0.77 | 0.58 | 0.63 | 1.00 | 0.76 | 0.82 |
| SPY | 0.40 | 0.47 | 0.44 | 0.56 | 0.55 | 0.65 | 0.60 | 0.70 | 0.72 | 0.76 | 1.00 | 0.90 |
| QQQ | 0.32 | 0.39 | 0.51 | 0.52 | 0.64 | 0.65 | 0.70 | 0.77 | 0.80 | 0.82 | 0.90 | 1.00 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the Alpaca. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the Alpaca is 47.14%, recorded on Nov 3, 2022. It took 171 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -47.14% | Nov 22, 2021 | 240 | Nov 3, 2022 | 171 | Jul 13, 2023 | 411 |
| -36.35% | Feb 20, 2020 | 20 | Mar 18, 2020 | 55 | Jun 5, 2020 | 75 |
| -24.83% | Jul 26, 2018 | 105 | Dec 24, 2018 | 83 | Apr 25, 2019 | 188 |
| -14.89% | Dec 30, 2015 | 27 | Feb 8, 2016 | 28 | Mar 18, 2016 | 55 |
| -13.94% | Apr 26, 2019 | 26 | Jun 3, 2019 | 26 | Jul 10, 2019 | 52 |
Volatility Chart
The current Alpaca volatility is 5.43%, 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.