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 11m 27d)
Returns (annualized)
| Portfolio | 26.60% |
| Benchmark | 12.59% |
Risk (annualized)
| Portfolio | 35.37% |
| Benchmark | 16.99% |
Sharpe (annualized)
| Portfolio | 0.75 |
| Benchmark | 0.59 |
Excess Return (annualized)
| 14.01% |
Tracking Error (annualized)
| 24.31% |
Information Ratio
| 0.58 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.24% | 17.38% |
| Sortino Ratio | 0.75 | 0.57 |
| Calmar Ratio | 0.51 | 0.41 |
| Ulcer Index | 13.72 | 15.03 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,224 | $-3,950 |
| VaR (99.9% Confidence) | $-10,925 | $-5,248 |
| 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
| 3.20 |
Skew
| 0.21 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1520 | 1.0113 | 0.1407 |
| Style Factor | -1.1117 | 0.0290 | -1.1407 |
| Size Factor | 0.5196 | -0.0660 | 0.5856 |
| U.S. Tilt (Non U.S.) | 0.3223 | 0.3853 | -0.0631 |
Adjusted R2
| Portfolio | 0.75 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |