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% |
Quarterly
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
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components
The earliest data available for this chart is Jul 20, 2012, corresponding to the inception date of PANW
Returns By Period
As of Sep 17, 2024, the Top 10 Sharpe Ratio based returned 36.78% Year-To-Date and 39.94% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC | 18.10% | 1.42% | 9.39% | 26.58% | 13.42% | 10.88% |
| Top 10 Sharpe Ratio based | 36.78% | 2.68% | 14.31% | 55.64% | 44.69% | 39.94% |
| Portfolio components: | ||||||
AMD Advanced Micro Devices, Inc. | 3.02% | 2.22% | -20.35% | 49.63% | 38.07% | 44.71% |
MA Mastercard Inc | 17.21% | 6.15% | 4.23% | 20.84% | 13.26% | 21.28% |
MSFT Microsoft Corporation | 15.33% | 3.08% | 3.73% | 31.60% | 26.76% | 26.73% |
NFLX Netflix, Inc. | 43.05% | 3.33% | 12.63% | 75.47% | 19.09% | 26.78% |
NVDA NVIDIA Corporation | 135.86% | -6.25% | 32.04% | 166.09% | 92.38% | 74.38% |
V Visa Inc. | 12.21% | 8.64% | 2.30% | 21.44% | 11.45% | 19.20% |
PANW Palo Alto Networks, Inc. | 17.37% | 3.59% | 21.34% | 44.09% | 37.78% | 26.54% |
NOW ServiceNow, Inc. | 26.32% | 7.84% | 18.08% | 53.98% | 27.50% | 30.59% |
TSLA Tesla, Inc. | -8.73% | 4.93% | 30.48% | -17.35% | 69.74% | 29.45% |
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% | 36.78% | ||||
| 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% | 11.55% | -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% | -1.12% | 4.47% | 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 risk-adjusted rank of Top 10 Sharpe Ratio based is 78, placing it in the top 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.
Top 10 Sharpe Ratio based
Sharpe Ratio Rank
Sortino Ratio Rank
Omega Ratio Rank
Calmar Ratio Rank
Martin 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 10 Sharpe Ratio based
Sharpe ratio
Sortino ratio
Omega ratio
Calmar ratio
Martin ratio
^GSPC
Sharpe ratio
Sortino ratio
Omega ratio
Calmar ratio
Martin ratio
Portfolio components
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
AMD Advanced Micro Devices, Inc. | 0.88 | 1.45 | 1.18 | 1.01 | 2.27 |
MA Mastercard Inc | 1.28 | 1.70 | 1.24 | 1.68 | 3.90 |
MSFT Microsoft Corporation | 1.42 | 1.91 | 1.25 | 1.83 | 5.58 |
NFLX Netflix, Inc. | 2.31 | 3.40 | 1.44 | 1.48 | 16.21 |
NVDA NVIDIA Corporation | 3.02 | 3.33 | 1.42 | 5.78 | 18.51 |
V Visa Inc. | 1.41 | 1.89 | 1.25 | 1.70 | 4.31 |
PANW Palo Alto Networks, Inc. | 0.92 | 1.28 | 1.22 | 1.34 | 2.83 |
NOW ServiceNow, Inc. | 1.53 | 2.02 | 1.29 | 2.10 | 8.14 |
TSLA Tesla, Inc. | -0.33 | -0.13 | 0.98 | -0.27 | -0.68 |
Sharpe Ratio
The current Top 10 Sharpe Ratio based Sharpe ratio is 2.31. 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 1.65 to 2.30, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.
Use the chart below to compare the Sharpe ratio of Top 10 Sharpe Ratio based 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.
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
Top 10 Sharpe Ratio based granted a 0.31% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Top 10 Sharpe Ratio based | 0.31% | 0.33% | 0.45% | 0.30% | 0.40% | 0.51% | 0.72% | 0.75% | 0.97% | 1.07% | 1.19% | 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 | 0.51% | 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 | 0.70% | 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% | 0.30% | 0.46% | 1.19% | 1.68% | 1.95% |
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% |
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.
Top 10 Sharpe Ratio based
Benchmark (^GSPC)
Portfolio components
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.
The current Top 10 Sharpe Ratio based drawdown is 2.63%.
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 7.10%, 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.
Top 10 Sharpe Ratio based
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.
| TSLA | NFLX | PANW | AMD | V | NOW | MA | NVDA | MSFT | |
|---|---|---|---|---|---|---|---|---|---|
| TSLA | 1.00 | 0.37 | 0.35 | 0.34 | 0.29 | 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 | 0.53 | 0.38 | 0.42 | 0.41 |
| AMD | 0.34 | 0.36 | 0.34 | 1.00 | 0.37 | 0.41 | 0.37 | 0.61 | 0.45 |
| V | 0.29 | 0.36 | 0.37 | 0.37 | 1.00 | 0.48 | 0.83 | 0.42 | 0.55 |
| NOW | 0.35 | 0.44 | 0.53 | 0.41 | 0.48 | 1.00 | 0.49 | 0.51 | 0.55 |
| MA | 0.31 | 0.38 | 0.38 | 0.37 | 0.83 | 0.49 | 1.00 | 0.45 | 0.56 |
| NVDA | 0.39 | 0.43 | 0.42 | 0.61 | 0.42 | 0.51 | 0.45 | 1.00 | 0.56 |
| MSFT | 0.36 | 0.44 | 0.41 | 0.45 | 0.55 | 0.55 | 0.56 | 0.56 | 1.00 |
The correlation results are calculated based on daily price changes starting from Jul 23, 2012
