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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (4m 16d)

Returns

Portfolio 11.49%
Benchmark 11.92%

Risk (annualized)

Portfolio 18.35%
Benchmark 19.52%

Sharpe (annualized)

Portfolio 1.43
Benchmark 1.40

Excess Return

-0.43%

Tracking Error (annualized)

16.45%

Information Ratio

-0.08
Statistic Portfolio Benchmark
Downside Volatility 16.63% 24.12%
Sortino Ratio 1.57 1.14
Calmar Ratio 4.44 2.61
Ulcer Index 15.59 15.47
Max Drawdown 5.89% 10.52%
VaR (99% Confidence) $-4,247 $-4,517
VaR (99.9% Confidence) $-5,641 $-6,001
Beta to Benchmark 0.59 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

0.57

Skew

0.13
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0887 1.0525 0.0363
Style Factor -0.2882 -0.4565 0.1683
Size Factor -0.1670 0.0054 -0.1724
U.S. Tilt (Non U.S.) 0.8875 0.1644 0.7232
High Beta (Low Beta) -0.1441 0.3119 -0.4560

Adjusted R2

Portfolio 0.60
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark -0.00

Factor Attribution