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 (11y 13d)

Returns (annualized)

Portfolio 26.25%
Benchmark 18.05%

Risk (annualized)

Portfolio 26.95%
Benchmark 23.40%

Sharpe (annualized)

Portfolio 0.94
Benchmark 0.75

Excess Return (annualized)

8.19%

Tracking Error (annualized)

14.67%

Information Ratio

0.56
Statistic Portfolio Benchmark
Downside Volatility 28.61% 24.69%
Sortino Ratio 0.88 0.71
Calmar Ratio 0.51 0.53
Ulcer Index 14.67 15.06
Max Drawdown 49.34% 33.56%
VaR (99% Confidence) $-6,268 $-5,443
VaR (99.9% Confidence) $-8,327 $-7,230
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

4.63

Skew

-0.19
Data Table
Factor Coefficients
Factor Portfolio Benchmark
Market Factor 1.0241 1.0241
Style Factor -0.9290 -0.9290
Size Factor -0.0767 -0.0767
U.S. Tilt (Non U.S.) 0.3910 0.3910
High Beta (Low Beta) 0.1305 0.1305

Adjusted R2

Portfolio 0.78
Benchmark 0.94

Intercept

Portfolio 0.00
Benchmark 0.00

Factor Attribution