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 (4m 16d)
Returns
| Portfolio | 50.55% |
| Benchmark | 9.68% |
Risk (annualized)
| Portfolio | 31.24% |
| Benchmark | 11.32% |
Sharpe (annualized)
| Portfolio | 3.44 |
| Benchmark | 1.85 |
Excess Return
| 40.88% |
Tracking Error (annualized)
| 25.34% |
Information Ratio
| 6.44 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 25.03% | 12.28% |
| Sortino Ratio | 4.30 | 1.70 |
| Calmar Ratio | 11.40 | 4.12 |
| Ulcer Index | 15.58 | 15.74 |
| Max Drawdown | 9.43% | 5.07% |
| VaR (99% Confidence) | $-7,231 | $-2,619 |
| VaR (99.9% Confidence) | $-9,605 | $-3,479 |
| Beta to Benchmark | 1.80 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 1.99 |
Skew
| 0.63 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1499 | 0.9982 | 0.1517 |
| Style Factor | -0.9199 | 0.0107 | -0.9306 |
| Size Factor | 0.5190 | -0.0479 | 0.5668 |
| U.S. Tilt (Non U.S.) | 0.1191 | 0.3525 | -0.2334 |
Adjusted R2
| Portfolio | 0.46 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |