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 6m 20d)

Returns (annualized)

Portfolio 27.85%
Benchmark 20.84%

Risk (annualized)

Portfolio 26.72%
Benchmark 22.81%

Sharpe (annualized)

Portfolio 0.99
Benchmark 0.88

Excess Return (annualized)

7.01%

Tracking Error (annualized)

14.65%

Information Ratio

0.48
Statistic Portfolio Benchmark
Downside Volatility 28.39% 24.08%
Sortino Ratio 0.94 0.83
Calmar Ratio 0.54 0.59
Ulcer Index 14.65 15.06
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,214 $-5,304
VaR (99.9% Confidence) $-8,255 $-7,046
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

4.09

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0415 1.0415
Style Factor -0.9656 -0.9656
Size Factor -0.0930 -0.0930
U.S. Tilt (Non U.S.) 0.4230 0.4230
High Beta (Low Beta) 0.1769 0.1769

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution