FAANG Portfolio

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

FAANG Portfolio

Last updated May 18, 2024

FAANG is an extension of the FANG portfolio, consisting of five big tech companies that show unprecedented growth: Facebook, Amazon, Apple, Netflix, Google.

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%

Benchmark

S&P 500

Rebalance portfolio

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 May 18, 2024, the FAANG Portfolio returned 22.55% Year-To-Date and 28.49% 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	11.18%	5.60%	17.48%	26.33%	13.16%	10.99%
FAANG Portfolio	22.55%	5.16%	27.31%	55.36%	24.86%	28.21%
Portfolio components:
GOOG Alphabet Inc.	25.80%	12.59%	29.47%	43.85%	25.55%	20.81%
AAPL Apple Inc.	-1.12%	13.82%	0.36%	8.97%	33.92%	25.84%
AMZN Amazon.com, Inc.	21.56%	3.06%	27.22%	58.88%	14.75%	28.39%
NFLX Netflix, Inc.	27.57%	1.73%	33.31%	70.00%	12.30%	27.31%
META Meta Platforms, Inc.	33.46%	-5.96%	41.00%	92.32%	20.96%	22.87%

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%	-3.17%									22.55%
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	-7.04%	-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 risk-adjusted rank of FAANG Portfolio is 79, placing it in the top 21% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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.

FAANG Portfolio

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
GOOG Alphabet Inc.	1.63	2.17	1.31	2.05	9.66
AAPL Apple Inc.	0.52	0.87	1.11	0.63	1.27
AMZN Amazon.com, Inc.	2.10	2.94	1.36	1.56	12.65
NFLX Netflix, Inc.	2.26	3.16	1.42	1.66	9.02
META Meta Platforms, Inc.	2.63	3.54	1.46	2.65	16.91

Sharpe Ratio

The current FAANG Portfolio Sharpe ratio is 2.74. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.76 to 2.59, 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 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 0.12% dividend yield in the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
FAANG Portfolio	0.12%	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.	0.00%	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.	0.51%	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.	0.11%	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.

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.

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 7.24%, 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	0.52	0.54	0.48
AAPL	0.44	1.00	0.52	0.56	0.58
META	0.52	0.52	1.00	0.61	0.66
AMZN	0.54	0.56	0.61	1.00	0.67
GOOG	0.48	0.58	0.66	0.67	1.00