Top 10 Securities Sharpe Ratio based
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AMD Advanced Micro Devices, Inc. | Technology | 3.03% |
MA Mastercard Inc | Financial Services | 9.86% |
MSFT Microsoft Corporation | Technology | 33.39% |
NFLX Netflix, Inc. | Communication Services | 4.97% |
NOW ServiceNow, Inc. | Technology | 11.59% |
NVDA NVIDIA Corporation | Technology | 17.65% |
PANW Palo Alto Networks, Inc. | Technology | 9.02% |
TSLA Tesla, Inc. | Consumer Cyclical | 7.56% |
V Visa Inc. | Financial Services | 2.93% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Top 10 Securities Sharpe Ratio based, 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 every 3 months.
The earliest data available for this chart is Jul 20, 2012, corresponding to the inception date of PANW
Returns By Period
As of Jan 14, 2025, the Top 10 Securities Sharpe Ratio based returned -1.20% Year-To-Date and 47.86% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.66% | -3.44% | 3.10% | 22.14% | 12.04% | 11.24% |
| Top 10 Securities Sharpe Ratio based | -1.21% | -2.98% | 10.44% | 102.85% | 57.40% | 47.83% |
| Portfolio components: | ||||||
AMD Advanced Micro Devices, Inc. | -3.89% | -8.53% | -34.62% | -20.79% | 18.54% | 47.61% |
MA Mastercard Inc | -3.97% | -4.41% | 14.16% | 18.34% | 10.19% | 20.47% |
MSFT Microsoft Corporation | -1.02% | -6.73% | -6.84% | 8.20% | 21.38% | 26.60% |
NFLX Netflix, Inc. | -5.73% | -8.55% | 28.03% | 70.74% | 20.02% | 33.20% |
NVDA NVIDIA Corporation | -0.79% | -0.76% | 5.45% | 143.59% | 85.16% | 75.83% |
V Visa Inc. | -2.89% | -2.48% | 14.44% | 17.07% | 9.65% | 17.90% |
PANW Palo Alto Networks, Inc. | -7.77% | -14.62% | -0.84% | 3.20% | 33.01% | 23.27% |
NOW ServiceNow, Inc. | -4.19% | -9.40% | 33.51% | 39.30% | 26.91% | 31.95% |
TSLA Tesla, Inc. | -0.13% | -7.55% | 57.20% | 84.25% | 64.09% | 41.26% |
Monthly Returns
The table below presents the monthly returns of Top 10 Securities Sharpe Ratio based, 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 | 12.01% | 19.58% | 8.03% | -4.32% | 19.68% | 11.86% | -3.36% | 1.63% | 3.49% | 6.42% | 7.75% | -0.43% | 115.10% |
| 2023 | 26.06% | 12.00% | 12.42% | -4.31% | 26.54% | 13.07% | 6.08% | 2.21% | -8.72% | -6.14% | 15.63% | 4.51% | 143.96% |
| 2022 | -13.75% | -2.80% | 11.25% | -23.57% | -4.35% | -12.49% | 19.51% | -9.64% | -11.19% | 0.22% | 5.82% | -17.47% | -49.92% |
| 2021 | 3.37% | -3.14% | -2.22% | 7.23% | -1.93% | 13.91% | 0.99% | 9.75% | -2.19% | 25.13% | 10.63% | -6.55% | 64.47% |
| 2020 | 10.55% | 2.61% | -6.66% | 17.48% | 10.67% | 9.48% | 12.63% | 27.36% | -5.04% | -6.52% | 16.45% | 8.16% | 141.70% |
| 2019 | 10.88% | 7.07% | 5.08% | 3.88% | -12.42% | 11.01% | 0.32% | -2.55% | -0.55% | 9.04% | 7.87% | 6.65% | 53.66% |
| 2018 | 21.93% | 0.99% | -3.97% | 1.36% | 9.15% | 0.83% | -0.93% | 11.16% | 0.19% | -15.68% | -7.56% | -9.62% | 2.55% |
| 2017 | 8.02% | -1.69% | 3.63% | 2.00% | 16.32% | 0.33% | 7.14% | 3.68% | 2.72% | 9.61% | -2.44% | -0.48% | 59.10% |
| 2016 | -14.03% | -1.97% | 12.10% | -1.78% | 6.45% | -4.62% | 11.68% | 1.59% | 5.15% | 5.79% | 5.45% | 7.14% | 34.31% |
| 2015 | -2.11% | 7.55% | -4.81% | 11.70% | 5.07% | 0.00% | 6.13% | -4.42% | -0.43% | 5.25% | 8.89% | -0.09% | 36.04% |
| 2014 | 6.06% | 13.66% | -7.43% | -3.77% | 5.80% | 6.85% | -2.99% | 10.29% | -3.37% | 2.78% | 1.56% | -2.87% | 27.24% |
Expense Ratio
Top 10 Securities Sharpe Ratio based 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 87, Top 10 Securities Sharpe Ratio based is among the top 13% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
AMD Advanced Micro Devices, Inc. | -0.45 | -0.37 | 0.96 | -0.48 | -0.82 |
MA Mastercard Inc | 1.18 | 1.66 | 1.22 | 1.61 | 3.93 |
MSFT Microsoft Corporation | 0.47 | 0.73 | 1.10 | 0.60 | 1.32 |
NFLX Netflix, Inc. | 2.39 | 3.25 | 1.43 | 2.31 | 16.25 |
NVDA NVIDIA Corporation | 2.71 | 3.13 | 1.39 | 5.29 | 16.06 |
V Visa Inc. | 1.01 | 1.43 | 1.20 | 1.38 | 3.47 |
PANW Palo Alto Networks, Inc. | 0.09 | 0.39 | 1.07 | 0.12 | 0.25 |
NOW ServiceNow, Inc. | 1.18 | 1.71 | 1.24 | 1.91 | 6.16 |
TSLA Tesla, Inc. | 1.21 | 1.99 | 1.24 | 1.19 | 4.94 |
Dividends
Dividend yield
Top 10 Securities Sharpe Ratio based provided a 0.33% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.33% | 0.32% | 0.33% | 0.45% | 0.30% | 0.40% | 0.51% | 0.72% | 0.75% | 0.96% | 1.07% | 1.20% |
| Portfolio components: | ||||||||||||
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% |
MA Mastercard Inc | 0.54% | 0.50% | 0.53% | 0.56% | 0.49% | 0.45% | 0.44% | 0.53% | 0.58% | 0.74% | 0.66% | 0.51% |
MSFT Microsoft Corporation | 0.74% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% |
NFLX Netflix, 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% |
NVDA NVIDIA Corporation | 0.03% | 0.03% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% |
V Visa Inc. | 0.70% | 0.68% | 0.72% | 0.76% | 0.62% | 0.56% | 0.56% | 0.67% | 0.61% | 0.75% | 0.64% | 0.64% |
PANW Palo Alto Networks, 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% |
NOW ServiceNow, 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% |
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% |
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 Top 10 Securities Sharpe Ratio based. 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 Top 10 Securities Sharpe Ratio based was 55.93%, occurring on Jan 5, 2023. Recovery took 110 trading sessions.
The current Top 10 Securities Sharpe Ratio based drawdown is 8.79%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -55.93% | Nov 30, 2021 | 277 | Jan 5, 2023 | 110 | Jun 14, 2023 | 387 |
| -37.27% | Oct 2, 2018 | 58 | Dec 24, 2018 | 246 | Dec 16, 2019 | 304 |
| -34.59% | Feb 20, 2020 | 18 | Mar 16, 2020 | 43 | May 15, 2020 | 61 |
| -29.43% | Dec 7, 2015 | 43 | Feb 8, 2016 | 116 | Jul 25, 2016 | 159 |
| -23.96% | Jul 11, 2024 | 20 | Aug 7, 2024 | 47 | Oct 14, 2024 | 67 |
Volatility
Volatility Chart
The current Top 10 Securities Sharpe Ratio based volatility is 10.09%, 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
| TSLA | NFLX | PANW | AMD | V | MA | NOW | NVDA | MSFT | |
|---|---|---|---|---|---|---|---|---|---|
| TSLA | 1.00 | 0.37 | 0.35 | 0.34 | 0.28 | 0.31 | 0.35 | 0.38 | 0.36 |
| NFLX | 0.37 | 1.00 | 0.35 | 0.36 | 0.36 | 0.38 | 0.44 | 0.43 | 0.44 |
| PANW | 0.35 | 0.35 | 1.00 | 0.34 | 0.36 | 0.37 | 0.54 | 0.42 | 0.41 |
| AMD | 0.34 | 0.36 | 0.34 | 1.00 | 0.36 | 0.37 | 0.41 | 0.60 | 0.45 |
| V | 0.28 | 0.36 | 0.36 | 0.36 | 1.00 | 0.83 | 0.47 | 0.41 | 0.54 |
| MA | 0.31 | 0.38 | 0.37 | 0.37 | 0.83 | 1.00 | 0.48 | 0.44 | 0.55 |
| NOW | 0.35 | 0.44 | 0.54 | 0.41 | 0.47 | 0.48 | 1.00 | 0.51 | 0.55 |
| NVDA | 0.38 | 0.43 | 0.42 | 0.60 | 0.41 | 0.44 | 0.51 | 1.00 | 0.55 |
| MSFT | 0.36 | 0.44 | 0.41 | 0.45 | 0.54 | 0.55 | 0.55 | 0.55 | 1.00 |