FAANG

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Equal Weights
Assets
Meta Platforms Inc - Class A (META)
Amazon.com Inc (AMZN)
Apple Inc (AAPL)
Netflix Inc (NFLX)
Alphabet Inc - Class C (GOOG)
Benchmark
Technology Select Sector SPDR ETF (XLK)

Policy Report

Backtest Report

From to (10y 9m 17d)

Returns (annualized)

Portfolio 28.15%
Benchmark 20.22%

Risk (annualized)

Portfolio 26.59%
Benchmark 22.74%

Sharpe (annualized)

Portfolio 1.01
Benchmark 0.85

Excess Return (annualized)

7.93%

Tracking Error (annualized)

14.61%

Information Ratio

0.54
Statistic Portfolio Benchmark
Downside Volatility 28.25% 24.02%
Sortino Ratio 0.95 0.81
Calmar Ratio 0.54 0.58
Ulcer Index 14.67 15.07
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,183 $-5,288
VaR (99.9% Confidence) $-8,214 $-7,025
Beta to Benchmark 0.98 N/A

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

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.10

Skew

-0.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0388 1.0388
Style Factor -0.9528 -0.9528
Size Factor -0.0905 -0.0905
U.S. Tilt (Non U.S.) 0.4120 0.4120
High Beta (Low Beta) 0.1673 0.1673

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution