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 1m 8d)

Returns (annualized)

Portfolio 27.03%
Benchmark 18.94%

Risk (annualized)

Portfolio 26.95%
Benchmark 23.44%

Sharpe (annualized)

Portfolio 0.96
Benchmark 0.78

Excess Return (annualized)

8.09%

Tracking Error (annualized)

14.64%

Information Ratio

0.55
Statistic Portfolio Benchmark
Downside Volatility 28.59% 24.71%
Sortino Ratio 0.90 0.74
Calmar Ratio 0.52 0.55
Ulcer Index 14.66 15.05
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,268 $-5,453
VaR (99.9% Confidence) $-8,327 $-7,243
Beta to Benchmark 0.97 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.60

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0222 1.0222
Style Factor -0.9272 -0.9272
Size Factor -0.0728 -0.0728
U.S. Tilt (Non U.S.) 0.3852 0.3852
High Beta (Low Beta) 0.1259 0.1259

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution