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 10d)

Returns (annualized)

Portfolio 27.70%
Benchmark 20.76%

Risk (annualized)

Portfolio 26.75%
Benchmark 22.82%

Sharpe (annualized)

Portfolio 0.99
Benchmark 0.87

Excess Return (annualized)

6.94%

Tracking Error (annualized)

14.63%

Information Ratio

0.47
Statistic Portfolio Benchmark
Downside Volatility 28.44% 24.08%
Sortino Ratio 0.93 0.83
Calmar Ratio 0.54 0.59
Ulcer Index 14.64 15.06
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,220 $-5,308
VaR (99.9% Confidence) $-8,263 $-7,051
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

4.08

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0420 1.0420
Style Factor -0.9658 -0.9658
Size Factor -0.0946 -0.0946
U.S. Tilt (Non U.S.) 0.4232 0.4232
High Beta (Low Beta) 0.1783 0.1783

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution