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 (5y 15d)
Returns (annualized)
| Portfolio | 27.29% |
| Benchmark | 13.38% |
Risk (annualized)
| Portfolio | 35.39% |
| Benchmark | 17.05% |
Sharpe (annualized)
| Portfolio | 0.76 |
| Benchmark | 0.63 |
Excess Return (annualized)
| 13.91% |
Tracking Error (annualized)
| 24.29% |
Information Ratio
| 0.57 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.20% | 17.41% |
| Sortino Ratio | 0.77 | 0.61 |
| Calmar Ratio | 0.52 | 0.43 |
| Ulcer Index | 13.73 | 15.03 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,230 | $-3,964 |
| VaR (99.9% Confidence) | $-10,933 | $-5,265 |
| 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
| 3.17 |
Skew
| 0.21 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1429 | 1.0113 | 0.1316 |
| Style Factor | -1.1116 | 0.0291 | -1.1406 |
| Size Factor | 0.5216 | -0.0661 | 0.5877 |
| U.S. Tilt (Non U.S.) | 0.3312 | 0.3851 | -0.0540 |
Adjusted R2
| Portfolio | 0.75 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |