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 1d)
Returns (annualized)
| Portfolio | 26.38% |
| Benchmark | 13.97% |
Risk (annualized)
| Portfolio | 35.34% |
| Benchmark | 17.03% |
Sharpe (annualized)
| Portfolio | 0.74 |
| Benchmark | 0.66 |
Excess Return (annualized)
| 12.42% |
Tracking Error (annualized)
| 24.18% |
Information Ratio
| 0.51 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.10% | 17.44% |
| Sortino Ratio | 0.75 | 0.64 |
| Calmar Ratio | 0.51 | 0.46 |
| Ulcer Index | 13.71 | 15.03 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,219 | $-3,960 |
| VaR (99.9% Confidence) | $-10,917 | $-5,260 |
| Beta to Benchmark | 1.65 | 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
| 0.23 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1471 | 1.0114 | 0.1357 |
| Style Factor | -1.1156 | 0.0292 | -1.1448 |
| Size Factor | 0.5306 | -0.0664 | 0.5970 |
| U.S. Tilt (Non U.S.) | 0.3430 | 0.3851 | -0.0421 |
Adjusted R2
| Portfolio | 0.76 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |