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 28d)

Returns (annualized)

Portfolio 26.68%
Benchmark 20.03%

Risk (annualized)

Portfolio 27.01%
Benchmark 22.69%

Sharpe (annualized)

Portfolio 0.96
Benchmark 0.86

Excess Return (annualized)

6.65%

Tracking Error (annualized)

14.54%

Risk Free Rate (annualized)

1.43%

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.07

Skew

-0.26
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0535 1.0535
Style Factor -1.0174 -1.0174
Size Factor -0.1222 -0.1222
U.S. Tilt (Non U.S.) 0.4299 0.4299
High Beta (Low Beta) 0.2215 0.2215

Adjusted R2

Portfolio 0.79
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution