Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AAPL Apple Inc | Technology | 20% |
AMZN Amazon.com, Inc. | Consumer Cyclical | 20% |
GOOG Alphabet Inc. | Communication Services | 20% |
META Meta Platforms, Inc. | Communication Services | 20% |
NFLX Netflix, Inc. | Communication Services | 20% |
Quarterly
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in FAANG Portfolio, 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
FAANG Portfolio
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 13, 2024, the FAANG Portfolio returned 29.11% Year-To-Date and 27.18% 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 | 17.32% | 2.97% | 8.65% | 25.26% | 13.26% | 10.95% |
| FAANG Portfolio | 29.11% | 1.86% | 12.31% | 42.78% | 25.40% | 27.18% |
| Portfolio components: | ||||||
GOOG Alphabet Inc. | 10.64% | -6.14% | 8.02% | 13.40% | 20.32% | 18.53% |
AAPL Apple Inc | 16.15% | 0.68% | 29.09% | 28.53% | 33.40% | 25.79% |
AMZN Amazon.com, Inc. | 23.07% | 9.85% | 4.62% | 29.10% | 15.29% | 27.78% |
NFLX Netflix, Inc. | 41.06% | 5.98% | 12.04% | 66.60% | 18.53% | 26.57% |
META Meta Platforms, Inc. | 48.80% | -0.56% | 6.97% | 72.65% | 23.05% | 21.64% |
Monthly Returns
The table below presents the monthly returns of FAANG Portfolio, 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 | 4.91% | 8.99% | 1.10% | -3.21% | 8.73% | 7.51% | -3.22% | 3.03% | 29.11% | ||||
| 2023 | 18.04% | -1.36% | 13.46% | 3.59% | 12.44% | 7.00% | 4.88% | -1.27% | -6.28% | 1.80% | 10.47% | 4.23% | 87.27% |
| 2022 | -10.78% | -8.74% | 3.52% | -22.05% | -2.38% | -10.36% | 15.96% | -2.86% | -8.64% | -1.57% | 4.59% | -7.88% | -43.89% |
| 2021 | -0.86% | 0.24% | 2.60% | 8.98% | -2.58% | 6.23% | 2.33% | 6.49% | -4.88% | 5.67% | 0.56% | 0.32% | 27.07% |
| 2020 | 5.28% | -4.41% | -5.30% | 18.56% | 4.61% | 7.05% | 11.06% | 13.07% | -9.16% | -0.76% | 6.24% | 4.33% | 58.78% |
| 2019 | 16.38% | 0.53% | 4.87% | 7.02% | -8.61% | 6.70% | 1.49% | -4.25% | -0.50% | 6.39% | 5.56% | 4.02% | 44.62% |
| 2018 | 16.32% | 2.04% | -4.55% | 3.77% | 9.63% | 3.90% | -1.66% | 8.93% | -1.61% | -12.00% | -5.12% | -8.11% | 8.29% |
| 2017 | 8.95% | 4.78% | 3.93% | 4.46% | 5.74% | -4.59% | 8.29% | 1.57% | -0.55% | 8.86% | 0.66% | 0.41% | 50.47% |
| 2016 | -7.03% | -3.20% | 8.59% | -3.77% | 7.46% | -4.95% | 6.87% | 2.33% | 3.92% | 4.96% | -5.35% | 2.15% | 10.78% |
| 2015 | 9.75% | 6.76% | -3.62% | 8.31% | 4.11% | 1.86% | 14.38% | -3.10% | -2.97% | 13.15% | 5.21% | -2.56% | 61.83% |
| 2014 | -3.12% | 10.30% | 4.25% | 0.50% | 6.31% | -1.08% | -3.85% | 2.47% | -4.14% | 11.20% |
Expense Ratio
FAANG Portfolio 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 FAANG Portfolio is 70, 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.
FAANG Portfolio
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.
Portfolio components
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
GOOG Alphabet Inc. | 0.52 | 0.85 | 1.12 | 0.65 | 2.00 |
AAPL Apple Inc | 1.23 | 1.86 | 1.23 | 1.63 | 3.85 |
AMZN Amazon.com, Inc. | 1.12 | 1.65 | 1.21 | 0.90 | 4.81 |
NFLX Netflix, Inc. | 1.78 | 2.73 | 1.35 | 1.16 | 11.49 |
META Meta Platforms, Inc. | 2.03 | 2.88 | 1.38 | 3.04 | 12.19 |
Sharpe Ratio
The current FAANG Portfolio Sharpe ratio is 1.99. 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 1.60 to 2.22, 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 FAANG Portfolio 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.
FAANG Portfolio
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
FAANG Portfolio granted a 0.18% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| FAANG Portfolio | 0.18% | 0.10% | 0.14% | 0.10% | 0.12% | 0.21% | 0.36% | 0.29% | 0.39% | 0.39% | 0.33% | 0.42% |
| Portfolio components: | ||||||||||||
GOOG Alphabet Inc. | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
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% |
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% |
META Meta Platforms, Inc. | 0.19% | 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.
FAANG Portfolio
Benchmark (^GSPC)
Portfolio components
Worst Drawdowns
The table below displays the maximum drawdowns of the FAANG Portfolio. 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 FAANG Portfolio was 48.98%, occurring on Nov 3, 2022. Recovery took 281 trading sessions.
The current FAANG Portfolio drawdown is 6.08%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -48.98% | Nov 22, 2021 | 240 | Nov 3, 2022 | 281 | Dec 18, 2023 | 521 |
| -30.93% | Aug 31, 2018 | 79 | Dec 24, 2018 | 81 | Apr 23, 2019 | 160 |
| -26.21% | Feb 20, 2020 | 18 | Mar 16, 2020 | 37 | May 7, 2020 | 55 |
| -20.04% | Dec 7, 2015 | 43 | Feb 8, 2016 | 125 | Aug 5, 2016 | 168 |
| -16.89% | Sep 3, 2020 | 14 | Sep 23, 2020 | 82 | Jan 21, 2021 | 96 |
Volatility
Volatility Chart
The current FAANG Portfolio volatility is 5.61%, 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.
FAANG Portfolio
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.
| NFLX | AAPL | META | AMZN | GOOG | |
|---|---|---|---|---|---|
| NFLX | 1.00 | 0.44 | 0.51 | 0.54 | 0.48 |
| AAPL | 0.44 | 1.00 | 0.51 | 0.56 | 0.58 |
| META | 0.51 | 0.51 | 1.00 | 0.61 | 0.65 |
| AMZN | 0.54 | 0.56 | 0.61 | 1.00 | 0.67 |
| GOOG | 0.48 | 0.58 | 0.65 | 0.67 | 1.00 |
The correlation results are calculated based on daily price changes starting from Apr 4, 2014
