FAANG

Portfolio Specification

Assets

Meta Platforms Inc - Class A (META)
Amazon.com Inc (AMZN)
Apple Inc (AAPL)
Netflix Inc (NFLX)
Alphabet Inc - Class C (GOOG)

Policy

Rebalancing Interval Monthly
Weights Algorithm Equal Weights

Benchmark

Technology Select Sector SPDR ETF (XLK)

Policy Report

Backtest Report

From to (11y 3m 3d)

Returns (annualized)

Portfolio 28.06%
Benchmark 20.40%

Risk (annualized)

Portfolio 26.86%
Benchmark 23.39%

Sharpe (annualized)

Portfolio 0.99
Benchmark 0.84

Excess Return (annualized)

7.67%

Tracking Error (annualized)

14.61%

Information Ratio

0.52
Statistic Portfolio Benchmark
Downside Volatility 28.41% 24.61%
Sortino Ratio 0.94 0.79
Calmar Ratio 0.54 0.58
Ulcer Index 14.67 15.05
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,247 $-5,440
VaR (99.9% Confidence) $-8,298 $-7,227
Beta to Benchmark 0.96 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.62

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0204 1.0204
Style Factor -0.9251 -0.9251
Size Factor -0.0696 -0.0696
U.S. Tilt (Non U.S.) 0.3783 0.3783
High Beta (Low Beta) 0.1198 0.1198

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution