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Information Technology
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ORCL 20%IBM 20%INTC 15%CSCO 15%QCOM 10%AMD 10%ZM 5%SQ 5%EquityEquity
PositionCategory/SectorWeight
AMD
Advanced Micro Devices, Inc.
Technology

10%

CSCO
Cisco Systems, Inc.
Technology

15%

IBM
International Business Machines Corporation
Technology

20%

INTC
Intel Corporation
Technology

15%

ORCL
Oracle Corporation
Technology

20%

QCOM
QUALCOMM Incorporated
Technology

10%

SQ
Square, Inc.
Technology

5%

ZM
Zoom Video Communications, Inc.
Communication Services

5%

S&P 500

Performance

Performance Chart

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


70.00%80.00%90.00%100.00%110.00%120.00%130.00%FebruaryMarchAprilMayJuneJuly
112.41%
89.50%
Information Technology
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 18, 2019, corresponding to the inception date of ZM

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Information Technology4.98%0.24%1.95%20.53%14.85%N/A
ORCL
Oracle Corporation
32.73%-1.80%27.11%19.38%21.24%14.92%
IBM
International Business Machines Corporation
14.19%6.26%8.91%37.50%10.15%4.24%
INTC
Intel Corporation
-33.91%6.08%-31.03%-1.70%-6.20%2.21%
CSCO
Cisco Systems, Inc.
-4.02%0.92%-6.15%-7.20%-0.86%9.59%
QCOM
QUALCOMM Incorporated
29.93%-12.38%23.67%52.71%23.14%11.85%
AMD
Advanced Micro Devices, Inc.
2.83%-5.99%-13.00%36.62%35.38%44.68%
ZM
Zoom Video Communications, Inc.
-18.13%-0.02%-14.73%-17.12%-9.61%N/A
SQ
Square, Inc.
-11.96%8.15%3.42%-10.54%-2.90%N/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.96%3.50%3.91%-12.31%3.51%4.57%4.98%
20238.09%-3.14%9.65%-5.43%7.46%5.61%5.15%-1.53%-5.74%-1.52%14.64%6.70%44.85%
2022-8.29%-3.08%1.15%-10.41%1.92%-7.79%6.21%-6.44%-15.18%13.77%9.07%-7.41%-26.69%
2021-0.46%2.21%5.81%2.58%1.02%3.67%3.63%1.40%-4.81%1.96%3.79%1.80%24.61%
20203.35%-5.02%-4.45%11.59%6.44%3.96%5.34%6.85%1.06%-6.83%13.77%2.71%43.43%
20190.01%-8.86%10.40%3.03%-6.71%2.86%1.05%3.87%2.09%6.61%

Expense Ratio

Information Technology 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 Rank

The current rank of Information Technology is 22, indicating that it is in the bottom 22% 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 Information Technology is 2222
Information Technology
The Sharpe Ratio Rank of Information Technology is 2020Sharpe Ratio Rank
The Sortino Ratio Rank of Information Technology is 1818Sortino Ratio Rank
The Omega Ratio Rank of Information Technology is 1919Omega Ratio Rank
The Calmar Ratio Rank of Information Technology is 3737Calmar Ratio Rank
The Martin Ratio Rank of Information Technology is 1818Martin 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.


Information Technology
Sharpe ratio
The chart of Sharpe ratio for Information Technology, currently valued at 1.06, compared to the broader market-1.000.001.002.003.004.001.06
Sortino ratio
The chart of Sortino ratio for Information Technology, currently valued at 1.52, compared to the broader market-2.000.002.004.006.001.52
Omega ratio
The chart of Omega ratio for Information Technology, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.19
Calmar ratio
The chart of Calmar ratio for Information Technology, currently valued at 1.12, compared to the broader market0.002.004.006.008.0010.001.12
Martin ratio
The chart of Martin ratio for Information Technology, currently valued at 3.00, compared to the broader market0.0010.0020.0030.0040.003.00
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ORCL
Oracle Corporation
0.540.931.150.891.82
IBM
International Business Machines Corporation
1.992.831.412.435.97
INTC
Intel Corporation
-0.080.151.02-0.06-0.14
CSCO
Cisco Systems, Inc.
-0.37-0.360.95-0.30-0.55
QCOM
QUALCOMM Incorporated
1.632.101.291.255.90
AMD
Advanced Micro Devices, Inc.
0.641.191.150.722.05
ZM
Zoom Video Communications, Inc.
-0.72-0.920.90-0.23-1.54
SQ
Square, Inc.
-0.26-0.050.99-0.15-0.52

Sharpe Ratio

The current Information Technology Sharpe ratio is 1.06. 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 1.31 to 2.06, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Information Technology 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.06
1.82
Information Technology
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Information Technology granted a 1.86% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Information Technology1.86%2.00%2.82%2.12%2.38%2.33%2.68%2.22%2.21%2.28%1.73%1.56%
ORCL
Oracle Corporation
1.15%1.44%1.57%1.38%1.48%1.72%1.68%1.52%1.56%1.56%1.07%0.63%
IBM
International Business Machines Corporation
3.63%4.05%4.68%4.74%5.17%4.79%5.46%3.84%3.31%3.63%2.65%1.97%
INTC
Intel Corporation
1.52%1.47%5.52%2.70%2.65%2.11%2.56%2.33%2.87%2.79%2.48%3.47%
CSCO
Cisco Systems, Inc.
3.34%3.07%3.17%2.32%3.20%2.88%2.95%2.95%3.28%3.02%2.66%2.27%
QCOM
QUALCOMM Incorporated
1.75%2.18%2.67%1.47%1.69%2.81%4.27%3.50%3.17%3.72%2.17%1.75%
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%
ZM
Zoom Video Communications, 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%
SQ
Square, 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.


-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-7.21%
-2.86%
Information Technology
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Information Technology. 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 Information Technology was 38.20%, occurring on Oct 11, 2022. Recovery took 293 trading sessions.

The current Information Technology drawdown is 7.21%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-38.2%Dec 28, 2021199Oct 11, 2022293Dec 11, 2023492
-29.05%Feb 20, 202018Mar 16, 202055Jun 3, 202073
-16.3%Mar 13, 202435May 1, 2024
-12.88%Jul 29, 201920Aug 23, 201990Jan 2, 2020110
-11.3%Oct 19, 20208Oct 28, 202022Nov 30, 202030

Volatility

Volatility Chart

The current Information Technology volatility is 4.55%, 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%FebruaryMarchAprilMayJuneJuly
4.55%
2.76%
Information Technology
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.

ZMIBMORCLSQCSCOAMDINTCQCOM
ZM1.000.080.240.560.240.410.290.33
IBM0.081.000.460.230.530.270.420.38
ORCL0.240.461.000.340.490.400.410.43
SQ0.560.230.341.000.340.510.410.47
CSCO0.240.530.490.341.000.410.510.48
AMD0.410.270.400.510.411.000.550.63
INTC0.290.420.410.410.510.551.000.64
QCOM0.330.380.430.470.480.630.641.00
The correlation results are calculated based on daily price changes starting from Apr 22, 2019