Top 10 Sharpe Ratio based
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AMD Advanced Micro Devices, Inc. | Technology | 3.04% |
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 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 Quarterly
The earliest data available for this chart is Jul 20, 2012, corresponding to the inception date of PANW
Returns By Period
As of Nov 12, 2024, the Top 10 Sharpe Ratio based returned 53.10% Year-To-Date and 40.99% 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 | 25.82% | 3.20% | 14.94% | 35.92% | 14.22% | 11.43% |
| Top 10 Sharpe Ratio based | 53.10% | 8.39% | 28.60% | 63.56% | 45.02% | 40.99% |
| Portfolio components: | ||||||
AMD Advanced Micro Devices, Inc. | -0.04% | -12.23% | -3.79% | 26.17% | 31.01% | 49.83% |
MA Mastercard Inc | 25.01% | 5.55% | 17.04% | 35.21% | 14.33% | 21.02% |
MSFT Microsoft Corporation | 11.77% | 0.41% | 0.71% | 14.85% | 24.29% | 25.78% |
NFLX Netflix, Inc. | 65.43% | 11.43% | 31.25% | 81.15% | 22.78% | 30.84% |
NVDA NVIDIA Corporation | 193.39% | 7.76% | 59.03% | 198.86% | 94.91% | 77.55% |
V Visa Inc. | 20.11% | 11.91% | 12.38% | 27.81% | 12.37% | 18.31% |
PANW Palo Alto Networks, Inc. | 35.00% | 6.67% | 32.02% | 55.73% | 37.36% | 26.91% |
NOW ServiceNow, Inc. | 46.64% | 10.38% | 43.57% | 62.28% | 32.60% | 31.49% |
TSLA Tesla, Inc. | 40.86% | 60.70% | 97.13% | 56.45% | 72.24% | 35.22% |
Monthly Returns
The table below presents the monthly returns of Top 10 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 | 8.56% | 8.34% | 2.35% | -5.34% | 7.23% | 9.33% | -1.82% | 2.45% | 3.70% | 0.68% | 53.10% | ||
| 2023 | 15.87% | 6.09% | 11.70% | -0.33% | 15.27% | 8.86% | 1.87% | 0.27% | -6.00% | 0.47% | 14.81% | 2.42% | 94.81% |
| 2022 | -9.27% | -1.60% | 4.11% | -15.98% | -2.36% | -8.36% | 11.96% | -6.65% | -11.62% | 5.61% | 9.02% | -9.91% | -33.05% |
| 2021 | 0.30% | 1.14% | -1.91% | 7.10% | -0.84% | 10.96% | 3.89% | 7.00% | -3.13% | 15.99% | 5.25% | -1.63% | 51.65% |
| 2020 | 10.53% | -1.86% | -7.77% | 17.51% | 9.37% | 7.78% | 9.10% | 19.07% | -5.32% | -6.04% | 13.18% | 6.66% | 93.36% |
| 2019 | 9.32% | 7.62% | 4.83% | 5.41% | -10.04% | 9.50% | 2.59% | -1.66% | 0.11% | 8.02% | 6.93% | 6.41% | 58.99% |
| 2018 | 16.40% | 1.39% | -2.99% | 2.59% | 7.61% | 1.28% | 2.24% | 10.47% | 1.03% | -11.11% | -1.47% | -7.06% | 18.89% |
| 2017 | 8.23% | 0.04% | 0.83% | 2.45% | 10.64% | 1.09% | 5.61% | 3.43% | 2.24% | 8.20% | -0.88% | 0.64% | 50.80% |
| 2016 | -11.01% | -2.93% | 11.54% | -1.20% | 7.73% | -3.48% | 12.29% | 2.03% | 5.18% | 4.75% | 3.35% | 5.41% | 36.12% |
| 2015 | -3.75% | 9.59% | -4.65% | 10.33% | 2.35% | -2.41% | 4.54% | -3.64% | 1.47% | 11.47% | 7.33% | 1.54% | 37.63% |
| 2014 | 2.61% | 10.48% | -2.99% | -3.29% | 5.22% | 4.29% | -1.60% | 7.50% | -1.11% | 4.46% | 3.24% | -1.92% | 29.14% |
| 2013 | 6.04% | 4.48% | 3.21% | 12.07% | 10.73% | 0.69% | 3.15% | 5.67% | 5.51% | 0.85% | 5.11% | 4.11% | 81.34% |
Expense Ratio
Top 10 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
The current rank of Top 10 Sharpe Ratio based is 56, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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. | 0.50 | 0.99 | 1.13 | 0.62 | 1.14 |
MA Mastercard Inc | 2.25 | 2.94 | 1.41 | 2.98 | 7.42 |
MSFT Microsoft Corporation | 0.71 | 1.03 | 1.14 | 0.90 | 2.20 |
NFLX Netflix, Inc. | 2.73 | 3.67 | 1.49 | 2.24 | 19.04 |
NVDA NVIDIA Corporation | 3.88 | 3.90 | 1.51 | 7.42 | 23.38 |
V Visa Inc. | 1.67 | 2.23 | 1.32 | 2.21 | 5.61 |
PANW Palo Alto Networks, Inc. | 1.30 | 1.60 | 1.29 | 1.87 | 3.92 |
NOW ServiceNow, Inc. | 1.91 | 2.44 | 1.36 | 3.03 | 10.22 |
TSLA Tesla, Inc. | 1.04 | 1.84 | 1.22 | 0.96 | 2.76 |
Dividends
Dividend yield
Top 10 Sharpe Ratio based provided a 0.31% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.31% | 0.33% | 0.45% | 0.30% | 0.40% | 0.51% | 0.72% | 0.75% | 0.96% | 1.07% | 1.20% | 1.25% |
| 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 | 0.50% | 0.53% | 0.56% | 0.49% | 0.45% | 0.44% | 0.53% | 0.58% | 0.74% | 0.66% | 0.51% | 0.25% |
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% |
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 | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% | 1.94% |
V Visa Inc. | 0.69% | 0.72% | 0.76% | 0.62% | 0.56% | 0.56% | 0.67% | 0.61% | 0.75% | 0.64% | 0.64% | 0.62% |
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 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 Sharpe Ratio based was 41.38%, occurring on Oct 14, 2022. Recovery took 154 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -41.38% | Nov 22, 2021 | 226 | Oct 14, 2022 | 154 | May 26, 2023 | 380 |
| -34% | Feb 20, 2020 | 18 | Mar 16, 2020 | 46 | May 20, 2020 | 64 |
| -27.09% | Oct 2, 2018 | 58 | Dec 24, 2018 | 59 | Mar 21, 2019 | 117 |
| -24.91% | Dec 30, 2015 | 27 | Feb 8, 2016 | 76 | May 26, 2016 | 103 |
| -14.07% | Sep 3, 2020 | 3 | Sep 8, 2020 | 59 | Dec 1, 2020 | 62 |
Volatility
Volatility Chart
The current Top 10 Sharpe Ratio based volatility is 6.82%, 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 | NOW | MA | NVDA | MSFT | |
|---|---|---|---|---|---|---|---|---|---|
| TSLA | 1.00 | 0.37 | 0.35 | 0.34 | 0.28 | 0.35 | 0.31 | 0.39 | 0.36 |
| NFLX | 0.37 | 1.00 | 0.35 | 0.36 | 0.36 | 0.44 | 0.38 | 0.43 | 0.44 |
| PANW | 0.35 | 0.35 | 1.00 | 0.34 | 0.37 | 0.54 | 0.37 | 0.42 | 0.41 |
| AMD | 0.34 | 0.36 | 0.34 | 1.00 | 0.36 | 0.41 | 0.37 | 0.61 | 0.45 |
| V | 0.28 | 0.36 | 0.37 | 0.36 | 1.00 | 0.47 | 0.83 | 0.42 | 0.54 |
| NOW | 0.35 | 0.44 | 0.54 | 0.41 | 0.47 | 1.00 | 0.48 | 0.50 | 0.55 |
| MA | 0.31 | 0.38 | 0.37 | 0.37 | 0.83 | 0.48 | 1.00 | 0.44 | 0.56 |
| NVDA | 0.39 | 0.43 | 0.42 | 0.61 | 0.42 | 0.50 | 0.44 | 1.00 | 0.56 |
| MSFT | 0.36 | 0.44 | 0.41 | 0.45 | 0.54 | 0.55 | 0.56 | 0.56 | 1.00 |