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 8m 22d)

Returns (annualized)

Portfolio 28.81%
Benchmark 20.72%

Risk (annualized)

Portfolio 26.62%
Benchmark 22.75%

Sharpe (annualized)

Portfolio 1.02
Benchmark 0.87

Excess Return (annualized)

8.10%

Tracking Error (annualized)

14.63%

Information Ratio

0.55
Statistic Portfolio Benchmark
Downside Volatility 28.33% 24.04%
Sortino Ratio 0.96 0.82
Calmar Ratio 0.55 0.59
Ulcer Index 14.67 15.07
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,192 $-5,292
VaR (99.9% Confidence) $-8,225 $-7,030
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 1.0399 1.0399
Style Factor -0.9567 -0.9567
Size Factor -0.0923 -0.0923
U.S. Tilt (Non U.S.) 0.4147 0.4147
High Beta (Low Beta) 0.1705 0.1705

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution