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 2m 1d)

Returns (annualized)

Portfolio 27.55%
Benchmark 19.69%

Risk (annualized)

Portfolio 26.93%
Benchmark 23.45%

Sharpe (annualized)

Portfolio 0.97
Benchmark 0.81

Excess Return (annualized)

7.86%

Tracking Error (annualized)

14.63%

Information Ratio

0.54
Statistic Portfolio Benchmark
Downside Volatility 28.50% 24.67%
Sortino Ratio 0.92 0.77
Calmar Ratio 0.53 0.57
Ulcer Index 14.66 15.05
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,264 $-5,454
VaR (99.9% Confidence) $-8,321 $-7,245
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

4.60

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0209 1.0209
Style Factor -0.9266 -0.9266
Size Factor -0.0715 -0.0715
U.S. Tilt (Non U.S.) 0.3793 0.3793
High Beta (Low Beta) 0.1219 0.1219

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution