Useful Tech
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Monthly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
This portfolio is listed on the Community Portfolios page.
Portfolio Description
This portfolio contains publicly traded stocks of companies that develop software products that I use.
Policy Report
Backtest Report
From to (4y 5m 8d)
Returns (annualized)
| Portfolio | 22.28% |
| Benchmark | 13.55% |
Risk (annualized)
| Portfolio | 35.97% |
| Benchmark | 17.53% |
Sharpe (annualized)
| Portfolio | 0.65 |
| Benchmark | 0.62 |
Excess Return (annualized)
| 8.73% |
Tracking Error (annualized)
| 24.39% |
Information Ratio
| 0.36 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.81% | 17.84% |
| Sortino Ratio | 0.65 | 0.61 |
| Calmar Ratio | 0.45 | 0.45 |
| Ulcer Index | 13.51 | 14.95 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,364 | $-4,076 |
| VaR (99.9% Confidence) | $-11,111 | $-5,414 |
| Beta to Benchmark | 1.64 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 3.32 |
Skew
| 0.24 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1406 | 1.0122 | 0.1285 |
| Style Factor | -1.1397 | 0.0301 | -1.1698 |
| Size Factor | 0.5399 | -0.0670 | 0.6069 |
| U.S. Tilt (Non U.S.) | 0.3382 | 0.3860 | -0.0479 |
Adjusted R2
| Portfolio | 0.77 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |