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 11m 6d)

Returns (annualized)

Portfolio 27.78%
Benchmark 19.33%

Risk (annualized)

Portfolio 26.54%
Benchmark 22.81%

Sharpe (annualized)

Portfolio 0.99
Benchmark 0.82

Excess Return (annualized)

8.45%

Tracking Error (annualized)

14.69%

Information Ratio

0.58
Statistic Portfolio Benchmark
Downside Volatility 28.21% 24.16%
Sortino Ratio 0.94 0.77
Calmar Ratio 0.53 0.55
Ulcer Index 14.68 15.07
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,172 $-5,304
VaR (99.9% Confidence) $-8,199 $-7,046
Beta to Benchmark 0.97 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

-0.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0350 1.0350
Style Factor -0.9341 -0.9341
Size Factor -0.0853 -0.0853
U.S. Tilt (Non U.S.) 0.3993 0.3993
High Beta (Low Beta) 0.1429 0.1429

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution