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 7m 24d)

Returns (annualized)

Portfolio 28.05%
Benchmark 20.77%

Risk (annualized)

Portfolio 26.66%
Benchmark 22.78%

Sharpe (annualized)

Portfolio 1.00
Benchmark 0.87

Excess Return (annualized)

7.28%

Tracking Error (annualized)

14.63%

Information Ratio

0.50
Statistic Portfolio Benchmark
Downside Volatility 28.37% 24.05%
Sortino Ratio 0.94 0.83
Calmar Ratio 0.54 0.59
Ulcer Index 14.66 15.06
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,201 $-5,299
VaR (99.9% Confidence) $-8,238 $-7,039
Beta to Benchmark 0.98 N/A

Value at Risk (VaR) is calculated off a $10,000 portfolio value.

Growth Charts

Historical Weights

Return Distribution

Excess Kurtosis

4.10

Skew

-0.28
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0410 1.0410
Style Factor -0.9597 -0.9597
Size Factor -0.0943 -0.0943
U.S. Tilt (Non U.S.) 0.4162 0.4162
High Beta (Low Beta) 0.1737 0.1737

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution