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 10m)

Returns (annualized)

Portfolio 29.08%
Benchmark 20.43%

Risk (annualized)

Portfolio 26.58%
Benchmark 22.79%

Sharpe (annualized)

Portfolio 1.03
Benchmark 0.86

Excess Return (annualized)

8.64%

Tracking Error (annualized)

14.68%

Information Ratio

0.59
Statistic Portfolio Benchmark
Downside Volatility 28.25% 24.10%
Sortino Ratio 0.97 0.81
Calmar Ratio 0.56 0.58
Ulcer Index 14.67 15.07
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,182 $-5,301
VaR (99.9% Confidence) $-8,212 $-7,041
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

4.09

Skew

-0.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0372 1.0372
Style Factor -0.9404 -0.9404
Size Factor -0.0844 -0.0844
U.S. Tilt (Non U.S.) 0.4046 0.4046
High Beta (Low Beta) 0.1517 0.1517

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution