FAANG

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Equal Weights
Benchmark
Technology Select Sector SPDR ETF (XLK)

Policy Report

Backtest Report

From to (10y 26d)

Returns (annualized)

Portfolio 27.12%
Benchmark 20.02%

Risk (annualized)

Portfolio 27.00%
Benchmark 22.70%

Sharpe (annualized)

Portfolio 0.97
Benchmark 0.86

Excess Return (annualized)

7.09%

Tracking Error (annualized)

14.52%

Risk Free Rate (annualized)

1.43%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.07

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0536 1.0536
Style Factor -1.0166 -1.0166
Size Factor -0.1233 -0.1233
U.S. Tilt (Non U.S.) 0.4298 0.4298
High Beta (Low Beta) 0.2220 0.2220

Adjusted R2

Portfolio 0.79
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution