Useful Tech
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Monthly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
Portfolio Description
This portfolio contains publicly traded stocks of companies that develop software products that I use.
Policy Report
Backtest Report
From to (4y 1m 11d)
Returns (annualized)
| Portfolio | 14.84% |
| Benchmark | 10.86% |
Risk (annualized)
| Portfolio | 36.38% |
| Benchmark | 17.91% |
Sharpe (annualized)
| Portfolio | 0.47 |
| Benchmark | 0.48 |
Excess Return (annualized)
| 3.98% |
Tracking Error (annualized)
| 24.34% |
Information Ratio
| 0.16 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 36.64% | 18.32% |
| Sortino Ratio | 0.47 | 0.47 |
| Calmar Ratio | 0.33 | 0.35 |
| Ulcer Index | 13.48 | 14.90 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,458 | $-4,163 |
| VaR (99.9% Confidence) | $-11,236 | $-5,530 |
| 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
| 3.25 |
Skew
| 0.21 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Market Factor | 1.1455 | 1.1455 |
| Style Factor | -1.1501 | -1.1501 |
| Size Factor | 0.5275 | 0.5275 |
| U.S. Tilt (Non U.S.) | 0.3348 | 0.3348 |
Adjusted R2
| Portfolio | 0.79 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |