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 9m 21d)
Returns (annualized)
| Portfolio | 28.04% |
| Benchmark | 14.41% |
Risk (annualized)
| Portfolio | 35.39% |
| Benchmark | 17.11% |
Sharpe (annualized)
| Portfolio | 0.78 |
| Benchmark | 0.68 |
Excess Return (annualized)
| 13.63% |
Tracking Error (annualized)
| 24.15% |
Information Ratio
| 0.56 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.19% | 17.52% |
| Sortino Ratio | 0.79 | 0.66 |
| Calmar Ratio | 0.54 | 0.47 |
| Ulcer Index | 13.67 | 15.01 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,228 | $-3,978 |
| VaR (99.9% Confidence) | $-10,930 | $-5,285 |
| 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
| 3.32 |
Skew
| 0.23 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1468 | 1.0118 | 0.1349 |
| Style Factor | -1.1266 | 0.0294 | -1.1560 |
| Size Factor | 0.5344 | -0.0665 | 0.6008 |
| U.S. Tilt (Non U.S.) | 0.3255 | 0.3854 | -0.0599 |
Adjusted R2
| Portfolio | 0.76 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |