FAANG

Specification

Policy
Rebalancing Interval Monthly
Weights Algorithm Equal Weights
Benchmark
Technology Select Sector SPDR ETF (XLK)

Policy Report

Backtest Report

From to (10y 3m 18d)

Returns (annualized)

Portfolio 28.19%
Benchmark 21.54%

Risk (annualized)

Portfolio 26.84%
Benchmark 22.60%

Sharpe (annualized)

Portfolio 1.00
Benchmark 0.91

Excess Return (annualized)

6.64%

Tracking Error (annualized)

14.55%

Risk Free Rate (annualized)

1.51%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.10

Skew

-0.27
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0510 1.0510
Style Factor -1.0002 -1.0002
Size Factor -0.1024 -0.1024
U.S. Tilt (Non U.S.) 0.4255 0.4255
High Beta (Low Beta) 0.2046 0.2046

Adjusted R2

Portfolio 0.79
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution