PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Top 20 S&P 500
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Top 20 S&P 500

Last updated Sep 19, 2024

Asset Allocation

AAPL 6.67%MSFT 6.67%NVDA 6.67%META 6.67%AMZN 6.67%TSLA 6.67%GOOG 6.67%GOOGL 6.67%AMD 6.67%CRM 6.67%GE 6.67%V 6.67%AVGO 6.67%INTC 6.67%DIS 6.67%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology
6.67%
AMD
Advanced Micro Devices, Inc.		Technology
6.67%
AMZN
Amazon.com, Inc.		Consumer Cyclical
6.67%
AVGO
Broadcom Inc.		Technology
6.67%
CRM
salesforce.com, inc.		Technology
6.67%
DIS
The Walt Disney Company		Communication Services
6.67%
GE
General Electric Company		Industrials
6.67%
GOOG
Alphabet Inc.		Communication Services
6.67%
GOOGL
Alphabet Inc.		Communication Services
6.67%
INTC
Intel Corporation		Technology
6.67%
META
Meta Platforms, Inc.		Communication Services
6.67%
MSFT
Microsoft Corporation		Technology
6.67%
NVDA
NVIDIA Corporation		Technology
6.67%
TSLA
Tesla, Inc.		Consumer Cyclical
6.67%
V
Visa Inc.		Financial Services
6.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Top 20 S&P 500, 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

-5.00%0.00%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
3.66%
7.54%
Top 20 S&P 500
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 27, 2014, corresponding to the inception date of GOOG

Returns By Period

As of Sep 19, 2024, the Top 20 S&P 500 returned 20.72% Year-To-Date and 28.31% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		17.79%0.18%7.53%26.42%13.48%10.85%
Top 20 S&P 50020.72%-0.68%3.66%38.58%31.74%28.31%
Portfolio components:
AAPL
Apple Inc		15.06%-2.30%23.83%23.87%33.27%25.74%
MSFT
Microsoft Corporation		15.19%2.20%1.68%32.07%26.53%26.68%
NVDA
NVIDIA Corporation		128.98%-12.78%25.47%160.58%92.73%73.75%
META
Meta Platforms, Inc.		52.44%1.74%6.62%76.87%23.28%21.39%
AMZN
Amazon.com, Inc.		22.70%4.61%4.65%35.46%15.79%27.44%
TSLA
Tesla, Inc.		-8.56%2.01%29.34%-14.75%70.13%29.43%
GOOG
Alphabet Inc.		14.39%-4.38%7.70%16.12%21.31%18.45%
GOOGL
Alphabet Inc.		14.69%-3.99%7.71%16.06%21.16%18.16%
AMD
Advanced Micro Devices, Inc.		0.60%-4.50%-17.49%45.94%37.72%44.30%
CRM
salesforce.com, inc.		-3.64%-4.73%-17.27%17.55%10.34%15.87%
GE
General Electric Company		80.83%7.38%32.69%98.86%32.10%5.50%
V
Visa Inc.		11.44%8.26%0.11%19.38%11.44%19.09%
AVGO
Broadcom Inc.		45.91%-3.60%27.10%93.73%45.89%37.82%
INTC
Intel Corporation		-58.11%-3.49%-50.27%-41.89%-14.17%-2.43%
DIS
The Walt Disney Company		4.12%3.04%-19.28%15.11%-6.44%1.25%

Monthly Returns

The table below presents the monthly returns of Top 20 S&P 500, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.79%10.54%2.78%-4.04%3.99%6.07%-1.11%-2.08%20.72%
202318.20%1.66%13.90%0.21%11.86%5.70%4.55%-0.78%-4.99%-1.63%13.71%6.50%90.41%
2022-7.78%-3.41%3.34%-16.24%-0.57%-11.65%13.17%-6.42%-13.39%2.85%7.28%-10.42%-38.58%
20210.49%3.22%1.17%6.58%-0.68%6.12%2.63%4.88%-4.61%9.14%3.19%0.19%36.57%
20208.12%-5.90%-10.68%15.61%6.64%5.89%8.26%20.13%-7.09%-2.40%15.14%5.32%69.66%
201910.21%3.34%3.81%4.92%-9.79%8.47%3.87%-3.21%0.64%8.70%6.96%5.57%50.74%
201810.17%-2.49%-5.88%2.68%7.45%2.22%2.37%7.65%1.76%-9.60%-1.54%-5.95%7.05%
20175.77%4.59%3.18%2.62%4.54%-1.46%3.92%1.68%-0.26%5.21%0.56%-0.60%33.74%
2016-8.23%-2.04%10.83%-0.15%7.53%-0.71%9.31%1.81%0.80%0.15%2.10%6.20%29.40%
2015-2.14%10.51%-3.59%3.73%3.44%-1.90%4.43%-3.68%0.53%11.83%4.75%2.54%33.30%
2014-2.29%4.08%4.08%-1.00%6.83%-1.83%0.30%3.57%-2.31%11.52%

Expense Ratio

Top 20 S&P 500 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 Top 20 S&P 500 is 36, 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.

The Risk-Adjusted Performance Rank of Top 20 S&P 500 is 3636
Top 20 S&P 500
The Sharpe Ratio Rank of Top 20 S&P 500 is 3434Sharpe Ratio Rank
The Sortino Ratio Rank of Top 20 S&P 500 is 2727Sortino Ratio Rank
The Omega Ratio Rank of Top 20 S&P 500 is 3434Omega Ratio Rank
The Calmar Ratio Rank of Top 20 S&P 500 is 6161Calmar Ratio Rank
The Martin Ratio Rank of Top 20 S&P 500 is 2323Martin 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.

Top 20 S&P 500
Sharpe ratio
The chart of Sharpe ratio for Top 20 S&P 500, currently valued at 1.78, compared to the broader market-1.000.001.002.003.004.001.78
Sortino ratio
The chart of Sortino ratio for Top 20 S&P 500, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Omega ratio
The chart of Omega ratio for Top 20 S&P 500, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for Top 20 S&P 500, currently valued at 2.18, compared to the broader market0.002.004.006.008.002.18
Martin ratio
The chart of Martin ratio for Top 20 S&P 500, currently valued at 7.30, compared to the broader market0.0010.0020.0030.007.30
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.06, compared to the broader market-1.000.001.002.003.004.002.06
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market-2.000.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.85, compared to the broader market0.002.004.006.008.001.85
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 11.09, compared to the broader market0.0010.0020.0030.0011.09
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc		1.081.661.211.443.39
MSFT
Microsoft Corporation		1.622.141.282.076.33
NVDA
NVIDIA Corporation		3.103.401.435.9418.70
META
Meta Platforms, Inc.		2.102.981.403.1312.67
AMZN
Amazon.com, Inc.		1.241.781.230.996.11
TSLA
Tesla, Inc.		-0.27-0.041.00-0.23-0.62
GOOG
Alphabet Inc.		0.570.911.130.722.11
GOOGL
Alphabet Inc.		0.570.911.130.732.09
AMD
Advanced Micro Devices, Inc.		0.951.541.201.092.42
CRM
salesforce.com, inc.		0.520.851.150.481.36
GE
General Electric Company		3.424.231.562.4131.49
V
Visa Inc.		1.291.741.231.564.01
AVGO
Broadcom Inc.		2.062.681.353.7111.49
INTC
Intel Corporation		-0.84-1.000.85-0.60-1.35
DIS
The Walt Disney Company		0.571.001.140.251.08

Sharpe Ratio

The current Top 20 S&P 500 Sharpe ratio is 1.78. 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 1.71 to 2.36, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its 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.

Use the chart below to compare the Sharpe ratio of Top 20 S&P 500 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 Ratio1.001.502.002.503.003.50AprilMayJuneJulyAugustSeptember
1.78
2.06
Top 20 S&P 500
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Top 20 S&P 500 granted a 0.55% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Top 20 S&P 5000.55%0.38%0.77%0.47%0.55%0.69%1.11%0.98%0.94%0.95%0.99%1.09%
Portfolio components:
AAPL
Apple Inc		0.44%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
MSFT
Microsoft Corporation		0.70%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
META
Meta Platforms, Inc.		0.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AMZN
Amazon.com, 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%
GOOG
Alphabet Inc.		0.25%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GOOGL
Alphabet Inc.		0.25%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
CRM
salesforce.com, inc.		0.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GE
General Electric Company		0.37%0.25%0.38%0.34%0.37%0.36%4.88%4.81%2.94%2.95%3.52%2.81%
V
Visa Inc.		0.72%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%0.62%
AVGO
Broadcom Inc.		1.59%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
INTC
Intel Corporation		2.41%1.47%5.52%2.70%2.65%2.11%2.56%2.33%2.87%2.79%2.48%3.47%
DIS
The Walt Disney Company		0.80%0.33%0.00%0.00%0.00%1.22%1.57%1.51%1.43%1.30%1.22%1.13%

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.

-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-9.18%
-0.86%
Top 20 S&P 500
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Top 20 S&P 500. 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 20 S&P 500 was 41.99%, occurring on Dec 28, 2022. Recovery took 134 trading sessions.

The current Top 20 S&P 500 drawdown is 9.18%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.99%Nov 9, 2021286Dec 28, 2022134Jul 13, 2023420
-35.14%Feb 20, 202020Mar 18, 202075Jul 6, 202095
-24.44%Oct 2, 201858Dec 24, 201868Apr 3, 2019126
-19.26%Dec 30, 201527Feb 8, 201652Apr 22, 201679
-17.72%Jul 11, 202420Aug 7, 2024———

Volatility

Volatility Chart

The current Top 20 S&P 500 volatility is 7.31%, 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%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
7.31%
3.99%
Top 20 S&P 500
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.
GETSLADISAMDINTCVAVGOCRMMETAAAPLNVDAAMZNMSFTGOOGGOOGL
GE1.000.220.390.230.340.340.330.260.280.290.290.250.280.300.30
TSLA0.221.000.300.360.360.300.390.390.360.410.410.410.380.370.37
DIS0.390.301.000.290.400.470.360.390.380.380.330.390.410.420.42
AMD0.230.360.291.000.470.370.490.450.410.430.640.450.470.430.43
INTC0.340.360.400.471.000.440.560.420.430.490.550.430.540.470.47
V0.340.300.470.370.441.000.450.530.490.490.440.490.590.550.55
AVGO0.330.390.360.490.560.451.000.470.480.550.610.470.540.480.48
CRM0.260.390.390.450.420.530.471.000.530.490.520.570.600.550.55
META0.280.360.380.410.430.490.480.531.000.510.510.610.580.650.66
AAPL0.290.410.380.430.490.490.550.490.511.000.520.560.620.580.58
NVDA0.290.410.330.640.550.440.610.520.510.521.000.540.580.520.52
AMZN0.250.410.390.450.430.490.470.570.610.560.541.000.640.670.67
MSFT0.280.380.410.470.540.590.540.600.580.620.580.641.000.690.69
GOOG0.300.370.420.430.470.550.480.550.650.580.520.670.691.000.99
GOOGL0.300.370.420.430.470.550.480.550.660.580.520.670.690.991.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014