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Risk-Adjusted Performance
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Asset Allocation


GOOG 45%AAPL 45%MSFT 10%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc.
Technology

45%

GOOG
Alphabet Inc.
Communication Services

45%

MSFT
Microsoft Corporation
Technology

10%

S&P 500

Performance

Performance Chart

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


100.00%200.00%300.00%400.00%500.00%600.00%700.00%800.00%NovemberDecember2024FebruaryMarchApril
735.32%
162.99%
Invest
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 3, 2014, corresponding to the inception date of GOOG

Returns By Period

As of Apr 20, 2024, the Invest returned -1.25% Year-To-Date and 24.14% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
Invest -1.25%-1.47%6.73%24.74%24.90%23.88%
MSFT
Microsoft Corporation
6.33%-6.91%22.65%40.82%27.37%28.10%
GOOG
Alphabet Inc.
10.49%2.60%13.88%47.03%19.80%19.57%
AAPL
Apple Inc.
-14.19%-4.23%-4.31%0.52%27.08%24.97%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.04%-1.00%2.00%
2023-5.96%-1.62%9.54%2.75%

Expense Ratio

The Invest 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 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.


Invest
Sharpe ratio
The chart of Sharpe ratio for Invest , currently valued at 1.25, compared to the broader market-1.000.001.002.003.004.001.25
Sortino ratio
The chart of Sortino ratio for Invest , currently valued at 1.74, compared to the broader market-2.000.002.004.006.001.74
Omega ratio
The chart of Omega ratio for Invest , currently valued at 1.22, compared to the broader market0.801.001.201.401.601.801.22
Calmar ratio
The chart of Calmar ratio for Invest , currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for Invest , currently valued at 6.18, compared to the broader market0.0010.0020.0030.0040.006.18
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSFT
Microsoft Corporation
1.792.571.312.107.69
GOOG
Alphabet Inc.
1.792.271.321.5710.21
AAPL
Apple Inc.
-0.050.061.01-0.06-0.13

Sharpe Ratio

The current Invest Sharpe ratio is 1.25. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.25

The Sharpe ratio of Invest lies between the 25th and 75th percentiles. It indicates that the portfolio's 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.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.25
1.66
Invest
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Invest granted a 0.33% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Invest 0.33%0.30%0.42%0.29%0.37%0.59%0.97%0.84%1.10%1.10%1.00%1.21%
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%
GOOG
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%
AAPL
Apple Inc.
0.58%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-6.15%
-5.46%
Invest
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Invest . 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 Invest was 35.65%, occurring on Jan 5, 2023. Recovery took 216 trading sessions.

The current Invest drawdown is 6.15%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.65%Dec 28, 2021258Jan 5, 2023216Nov 14, 2023474
-30.43%Feb 13, 202027Mar 23, 202054Jun 9, 202081
-26.81%Oct 4, 201856Dec 24, 2018147Jul 26, 2019203
-17.88%Sep 3, 202014Sep 23, 202065Dec 24, 202079
-16.39%Dec 7, 2015140Jun 27, 201656Sep 15, 2016196

Volatility

Volatility Chart

The current Invest volatility is 5.35%, 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%3.00%4.00%5.00%6.00%7.00%NovemberDecember2024FebruaryMarchApril
5.35%
3.15%
Invest
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.

AAPLGOOGMSFT
AAPL1.000.590.63
GOOG0.591.000.69
MSFT0.630.691.00