Returns

Cumulative returns for portfolio stocks from June 2019 up to August 2021.

 

 

Coronavirus

Analysis of Covid 19 impact on portfolio stocks. Cumulative returns starting Feb 1, 2020 through to Apr 30, 2020. The black vertical line denotes the lowest point of SPY (March 16, 2020).

 

 

 

 

Individual Stock Analysis

Alpha

Alpha is the return on an investment that is not a result of a general movement in the greater market. As such, an alpha of zero would indicate that the portfolio or fund is tracking perfectly with the benchmark index and that the manager has not added or lost any additional value compared to the broad market.

Think of Alpha as a risk adjusted return relative to a benchmark. In this case the benchmark is SPY. If an investor chooses to actively invest instead of passively invest, then they can use Alpha to determine their active performance compared to the passive index. Alpha below 1 is netative relative to market, 1 is equal to market, above 1 is better than market.

Beta

Beta is a measure of a stock’s volatility in relation to the overall market. By definition, the market, such as the S&P 500 Index, has a beta of 1.0, and individual stocks are ranked according to how much they deviate from the market.

A stock that swings more than the market over time has a beta above 1.0. If a stock moves less than the market, the stock’s beta is less than 1.0. High-beta stocks are supposed to be riskier but provide higher return potential; low-beta stocks pose less risk but also lower returns.

Correlation

Correlation is to SPY.

 

CAPM Meaasures Per Stock
symbol Percent Alpha Annualized Beta Correlation
TSLA 251.94 1.3523 0.4581
AAPL 36.80 1.1956 0.8025
MSFT 17.41 1.1547 0.8546
GOOG 24.87 1.0193 0.7982
AMZN 17.04 0.7564 0.6006
SQ 60.69 1.5158 0.6129
TSM 42.49 1.0006 0.6324
MS 15.75 1.4366 0.8191

 

 

Current Portfolio

Backtesting of current portfolio weights. Percent return on investment of US $10,000 from June 1, 2019 to August 6, 2021 starting with current portfolio weights.

 

Current Weighting
portfolio stocks Percent
1 TSLA 83.6
1 AAPL 9.3
1 MSFT 2.3
1 GOOG 1.9
1 AMZN 1.2
1 SQ 0.7
1 TSM 0.5
1 MS 0.5

Portfolio Scenarios

Looking at 3 different portfolio scenarios by the changing company weights. Reference the 3 tables in blue, I have not been able format them position side by side.

 

Customized Weighting
portfolio stocks Percent
2 TSLA 50.0
2 AAPL 10.0
2 MSFT 10.0
2 GOOG 10.0
2 AMZN 10.0
2 SQ 5.0
2 TSM 2.5
2 MS 2.5
Equal Weight
portfolio stocks Percent
3 TSLA 12.5
3 AAPL 12.5
3 MSFT 12.5
3 GOOG 12.5
3 AMZN 12.5
3 SQ 12.5
3 TSM 12.5
3 MS 12.5

 

Annualized Returns

Annualized return per year to take compounding into account.

Standard Deviation

Standard deviation represents the average deviation of the return series from it’s average. It is often used a measure of risk. It is a number that can help answer “how big are the price swings?”. The smaller the standard deviation, the less volatile it is. The larger the standard deviation, the more dispersed the returns are, and the more volatile it is.

Sharpe Ratio

The Sharpe ratio is a tool to help investors understand the amount of risk they are taking versus the reward of their investment.

A Sharpe ratio of 1.0 is considered acceptable. A Sharpe ratio of 2.0 is considered very good. A Sharpe ratio of 3.0 is considered excellent. A Sharpe ratio of less than 1.0 is considered to be poor.

Let’s say you want to invest in a stock that gives you a fair return on your investment with a moderate amount of risk. You’ve narrowed it down to two stocks that delivered the same 10% annual returns over the last five years. However, Stock A has a higher average standard deviation (volatility or price fluctuations) than Stock B during this period. By comparing risk-adjusted returns using the Sharpe ratio, you can see that Stock B delivers the same 10% annual return, but with lower risk.

 

CAPM Meaasures Per Portfolio
portfolio Percent Alpha Annualized Beta Correlation
1 221.47 1.3429 0.4794
2 155.12 1.3009 0.5329
3 65.00 1.2249 0.7299
Annualized Returns
portfolio AnnualizedReturn AnnualizedSharpe(Rf=0%) AnnualizedStdDev
1 2.6381 3.8536 0.6846
2 2.0181 3.3832 0.5965
3 1.0997 2.6814 0.4101
Measure of Drawdowns
Portfolio AverageDrawdown AverageLength AverageRecovery maxDrawdown VaR
1 0.067 12.795 9.103 0.585 -0.061
2 0.064 14.143 10.057 0.529 -0.054
3 0.043 12.025 8.825 0.402 -0.041

 

Stock Charts for Top 3 Holdings

The 3 lines on the following chart represent the different weights in the tables above. There is a colour reference below the graph.

 

 

 

Rolling Correlation

Rolling 30 day correlation to SPY. Below is portfolio correlation to SPY for 30 and 90 day periods.