FAANG

Specification

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

Policy Report

Backtest Report

From to (9y 11m 2d )

Returns (annualized)

Portfolio 27.53%
Benchmark 21.13%

Risk (annualized)

Portfolio 27.09%
Benchmark 22.75%

Sharpe (annualized)

Portfolio 0.98
Benchmark 0.90

Excess Return (annualized)

6.40%

Tracking Error (annualized)

14.55%

Risk Free Rate (annualized)

1.37%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.07

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0528 1.0528
Style Factor -1.0125 -1.0125
Size Factor -0.1190 -0.1190
U.S. Tilt (Non U.S.) 0.4504 0.4504
High Beta (Low Beta) 0.2351 0.2351

Adjusted R2

Portfolio 0.79
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution