PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
123
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SPY 41%AAPL 28.8%GOOGL 17.2%MSFT 13%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc
Technology
28.80%
GOOGL
Alphabet Inc.
Communication Services
17.20%
MSFT
Microsoft Corporation
Technology
13%
SPY
SPDR S&P 500 ETF
Large Cap Growth Equities
41%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 123, 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


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.25%
11.72%
123
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 19, 2004, corresponding to the inception date of GOOGL

Returns By Period

As of Nov 2, 2024, the 123 returned 19.72% Year-To-Date and 20.10% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.10%0.34%11.72%32.68%13.33%11.05%
12319.72%0.27%12.25%30.39%22.28%20.08%
AAPL
Apple Inc
16.22%-1.22%21.86%26.83%29.12%24.95%
SPY
SPDR S&P 500 ETF
21.27%0.57%12.39%33.14%14.99%12.94%
MSFT
Microsoft Corporation
9.73%-1.48%1.28%17.19%24.41%26.00%
GOOGL
Alphabet Inc.
22.93%3.27%2.68%33.01%21.70%20.02%

Monthly Returns

The table below presents the monthly returns of 123, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.24%2.04%1.75%-1.47%7.74%6.31%0.23%1.17%2.04%-1.42%19.72%
20238.27%-1.79%9.63%2.95%4.99%5.21%3.39%-1.67%-5.56%-0.92%9.86%2.98%42.65%
2022-4.72%-3.31%4.13%-10.78%-1.78%-7.23%11.57%-4.59%-10.70%6.23%3.70%-8.71%-25.45%
20210.72%0.84%2.70%7.70%-1.28%5.45%5.32%4.56%-6.09%8.71%1.88%4.65%40.18%
20203.77%-8.26%-9.68%14.20%5.87%6.32%8.09%12.34%-7.34%-1.50%9.45%5.16%41.01%
20196.57%3.61%4.98%5.02%-8.15%7.33%5.19%-1.38%3.47%5.06%5.19%5.22%49.79%
20185.56%-0.99%-4.19%-0.21%7.01%0.38%4.80%7.85%-0.13%-6.23%-3.81%-8.95%-0.49%
20173.23%5.96%1.99%2.48%4.06%-2.65%2.79%3.85%-0.80%6.32%2.09%0.54%33.84%
2016-4.67%-2.04%8.60%-6.37%4.51%-2.50%7.63%0.97%2.30%0.06%0.30%2.97%11.19%
2015-0.93%7.24%-2.68%2.95%1.22%-2.89%4.44%-5.33%-1.71%11.03%1.16%-3.06%10.72%
2014-3.48%4.22%0.24%2.25%4.72%2.26%0.58%4.75%-0.64%2.61%4.11%-3.25%19.47%
2013-0.64%1.29%1.84%3.53%3.46%-3.68%5.33%1.29%1.05%8.55%4.81%2.07%32.37%

Expense Ratio

123 has an expense ratio of 0.04%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 123 is 32, 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 123 is 3232
Combined Rank
The Sharpe Ratio Rank of 123 is 3030Sharpe Ratio Rank
The Sortino Ratio Rank of 123 is 2626Sortino Ratio Rank
The Omega Ratio Rank of 123 is 3131Omega Ratio Rank
The Calmar Ratio Rank of 123 is 5050Calmar Ratio Rank
The Martin Ratio Rank of 123 is 2424Martin 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.


123
Sharpe ratio
The chart of Sharpe ratio for 123, currently valued at 2.22, compared to the broader market0.002.004.002.22
Sortino ratio
The chart of Sortino ratio for 123, currently valued at 2.89, compared to the broader market-2.000.002.004.006.002.89
Omega ratio
The chart of Omega ratio for 123, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for 123, currently valued at 3.03, compared to the broader market0.002.004.006.008.0010.0012.0014.003.03
Martin ratio
The chart of Martin ratio for 123, currently valued at 10.52, compared to the broader market0.0010.0020.0030.0040.0050.0010.52
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.88, compared to the broader market0.002.004.002.88
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.82, compared to the broader market-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.801.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.52, compared to the broader market0.002.004.006.008.0010.0012.0014.003.52
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.62, compared to the broader market0.0010.0020.0030.0040.0050.0018.62

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc
1.271.921.241.734.11
SPY
SPDR S&P 500 ETF
3.044.031.574.3920.00
MSFT
Microsoft Corporation
0.991.371.181.263.20
GOOGL
Alphabet Inc.
1.371.901.261.624.12

Sharpe Ratio

The current 123 Sharpe ratio is 2.22. 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 2.14 to 2.96, 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 123 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
2.22
2.88
123
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

123 provided a 0.76% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
1230.76%0.81%1.02%0.72%0.92%1.17%1.57%1.40%1.69%1.70%1.57%1.69%
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%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%
MSFT
Microsoft Corporation
0.73%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
GOOGL
Alphabet Inc.
0.23%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-3.60%
-2.32%
123
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 123. 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 123 was 54.87%, occurring on Mar 9, 2009. Recovery took 283 trading sessions.

The current 123 drawdown is 3.60%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.87%Dec 27, 2007301Mar 9, 2009283Apr 22, 2010584
-31.44%Feb 20, 202023Mar 23, 202055Jun 10, 202078
-28.41%Dec 28, 2021258Jan 5, 2023140Jul 28, 2023398
-24.03%Oct 4, 201856Dec 24, 201881Apr 23, 2019137
-18.94%Jan 17, 2006125Jul 14, 200668Oct 19, 2006193

Volatility

Volatility Chart

The current 123 volatility is 4.02%, 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%JuneJulyAugustSeptemberOctoberNovember
4.02%
3.23%
123
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.

AAPLGOOGLMSFTSPY
AAPL1.000.510.510.59
GOOGL0.511.000.550.62
MSFT0.510.551.000.69
SPY0.590.620.691.00
The correlation results are calculated based on daily price changes starting from Aug 20, 2004