FAANG

Portfolio Specification

Assets

Meta Platforms Inc - Class A (META)
Amazon.com Inc (AMZN)
Apple Inc (AAPL)
Netflix Inc (NFLX)
Alphabet Inc - Class C (GOOG)

Policy

Rebalancing Interval Monthly
Weights Algorithm Equal Weights

Benchmark

Technology Select Sector SPDR ETF (XLK)

Policy Report

Backtest Report

From to (11y 3m 13d)

Returns (annualized)

Portfolio 28.03%
Benchmark 20.55%

Risk (annualized)

Portfolio 26.83%
Benchmark 23.37%

Sharpe (annualized)

Portfolio 0.99
Benchmark 0.84

Excess Return (annualized)

7.49%

Tracking Error (annualized)

14.61%

Information Ratio

0.51
Statistic Portfolio Benchmark
Downside Volatility 28.38% 24.58%
Sortino Ratio 0.94 0.80
Calmar Ratio 0.54 0.59
Ulcer Index 14.67 15.06
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,240 $-5,436
VaR (99.9% Confidence) $-8,290 $-7,221
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

4.64

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0204 1.0204
Style Factor -0.9246 -0.9246
Size Factor -0.0707 -0.0707
U.S. Tilt (Non U.S.) 0.3783 0.3783
High Beta (Low Beta) 0.1190 0.1190

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution