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 3m 27d)

Returns (annualized)

Portfolio 27.23%
Benchmark 20.44%

Risk (annualized)

Portfolio 26.85%
Benchmark 22.66%

Sharpe (annualized)

Portfolio 0.98
Benchmark 0.87

Excess Return (annualized)

6.79%

Tracking Error (annualized)

14.55%

Risk Free Rate (annualized)

1.52%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.08

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0490 1.0490
Style Factor -0.9890 -0.9890
Size Factor -0.1004 -0.1004
U.S. Tilt (Non U.S.) 0.4243 0.4243
High Beta (Low Beta) 0.1984 0.1984

Adjusted R2

Portfolio 0.79
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution