FAANG

5f44bb6065c486e7a2102c57

Asset Report

Selected Assets

Asset ID Name Earliest
Return Date		 Latest
Return Date		 Type
META Meta Platforms Inc - Class A 2012-05-21 2023-01-27 Equity
AMZN Amazon.com Inc 1999-11-02 2023-01-27 Equity
AAPL Apple Inc 1999-11-02 2023-01-27 Equity
NFLX Netflix Inc 2002-05-24 2023-01-27 Equity
GOOG Alphabet Inc - Class C 2014-03-28 2023-01-27 Equity
Benchmark
XLK Technology Select Sector SPDR ETF 1999-11-02 2023-01-27 ETF

Periodic Metrics

1 Day 1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
META 7.24 11.45 28.55 16.88 -48.50 -11.34 -4.40 17.02 13.78 2012-05-21
AMZN 5.21 9.14 19.93 -11.60 -26.38 3.17 7.85 21.83 15.72 1999-11-02
AAPL 2.86 7.86 10.64 -2.28 -8.59 22.27 27.68 24.97 25.95 1999-11-02
NFLX -1.95 14.25 22.31 20.81 0.30 0.71 5.61 31.02 31.83 2002-05-24
GOOG 4.11 7.24 12.14 6.21 -22.08 11.12 11.38 15.64 2014-03-28
Benchmark 1.85 6.29 8.83 8.32 -8.83 11.93 14.46 16.55 5.57 1999-11-02
1 Week 1 Month 3 Months 1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
META 2.02 1.93 4.39 64.33 48.89 43.32 38.09 40.09 2012-05-21
AMZN 1.87 2.36 3.03 50.37 39.44 36.01 32.71 51.14 1999-11-02
AAPL 0.97 1.76 2.45 35.77 36.88 33.45 28.61 39.97 1999-11-02
NFLX 3.62 2.96 3.13 66.95 51.93 47.68 45.58 57.06 2002-05-24
GOOG 3.05 2.11 2.48 39.12 34.63 31.57 27.83 2014-03-28
Benchmark 1.13 1.31 1.86 30.15 29.34 25.68 20.18 24.90 1999-11-02
1 Year 3 Years 5 Years 10 Years Since Inception Inception Date
META -4.47 -0.25 0.23 1.90 1.70 2012-05-21
AMZN -1.95 0.77 1.08 2.12 2.23 1999-11-02
AAPL -0.45 2.27 2.58 2.27 2.66 1999-11-02
NFLX 1.86 1.07 1.31 3.20 3.73 2002-05-24
GOOG -1.82 1.32 1.27 1.53 2014-03-28
Benchmark -0.61 1.27 1.40 1.48 0.64 1999-11-02

Correlation Matrix

META AMZN AAPL NFLX GOOG
META 1 0.59 0.55 0.48 0.65
AMZN 0.59 1 0.56 0.53 0.66
AAPL 0.55 0.56 1 0.42 0.62
NFLX 0.48 0.53 0.42 1 0.48
GOOG 0.65 0.66 0.62 0.48 1
Documentation

Policy Report

Expected Risk

27.47%

Unique Bets

1.57

Back Test Report

Key Statistics

Returns

Portfolio
16.78%
Benchmark
16.46%

Risk

Portfolio
29.84%
Benchmark
24.08%

Sharpe Ratio

Portfolio
0.55
Benchmark
0.61

Excess Returns

0.33%

Tracking Error

14.85%

Risk Free Rate

3.55%

Growth

Assets

Benchmark and Factor Model

Historical Weights

Documentation

Efficient Frontier

Documentation

Return Distribution

Excess Kurtosis

3.68

Skew

-0.37

Excess Kurtosis

10.57

Excess Skew

-0.91

Documentation

Factor Analysis

Factor Coefficients

Intercept

0.0001

Adjusted R2

0.84

Documentation

Factor Attribution

Documentation

Report Calculation Metrics

The report was run on 2023-01-30 and took 21.075833844s to complete.