FAANG

Portfolio Specification

Policy Report

Backtest Report

From to (11y 3m 20d)

Returns (annualized)

Portfolio 27.94%
Benchmark 20.72%

Risk (annualized)

Portfolio 26.81%
Benchmark 23.35%

Sharpe (annualized)

Portfolio 0.99
Benchmark 0.85

Excess Return (annualized)

7.23%

Tracking Error (annualized)

14.60%

Information Ratio

0.50
Statistic Portfolio Benchmark
Downside Volatility 28.34% 24.56%
Sortino Ratio 0.93 0.81
Calmar Ratio 0.54 0.59
Ulcer Index 14.67 15.06
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,235 $-5,431
VaR (99.9% Confidence) $-8,283 $-7,215
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

4.65

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0205 1.0205
Style Factor -0.9238 -0.9238
Size Factor -0.0693 -0.0693
U.S. Tilt (Non U.S.) 0.3784 0.3784
High Beta (Low Beta) 0.1182 0.1182

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution