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)

This portfolio is listed on the Community Portfolios page.

Policy Report

Backtest Report

From to (11y 6m 11d)

Returns (annualized)

Portfolio 28.53%
Benchmark 21.39%

Risk (annualized)

Portfolio 26.65%
Benchmark 23.21%

Sharpe (annualized)

Portfolio 1.01
Benchmark 0.87

Excess Return (annualized)

7.14%

Tracking Error (annualized)

14.62%

Information Ratio

0.49
Statistic Portfolio Benchmark
Downside Volatility 28.12% 24.42%
Sortino Ratio 0.96 0.83
Calmar Ratio 0.54 0.60
Ulcer Index 14.69 15.07
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,198 $-5,397
VaR (99.9% Confidence) $-8,234 $-7,169
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

4.69

Skew

-0.18
Data Table
Factor Coefficients
Factor Portfolio Benchmark Excess
Market Factor 1.0202 1.1232 -0.1030
Style Factor -0.9173 -0.5296 -0.3876
Size Factor -0.0701 -0.1057 0.0357
U.S. Tilt (Non U.S.) 0.3784 0.4497 -0.0713
High Beta (Low Beta) 0.1104 0.0944 0.0160

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution