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 6m 14d)
Returns (annualized)
| Portfolio | 25.23% |
| Benchmark | 14.46% |
Risk (annualized)
| Portfolio | 35.68% |
| Benchmark | 17.35% |
Sharpe (annualized)
| Portfolio | 0.72 |
| Benchmark | 0.67 |
Excess Return (annualized)
| 10.77% |
Tracking Error (annualized)
| 24.25% |
Information Ratio
| 0.44 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.53% | 17.68% |
| Sortino Ratio | 0.72 | 0.66 |
| Calmar Ratio | 0.50 | 0.48 |
| Ulcer Index | 13.56 | 14.97 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,297 | $-4,034 |
| VaR (99.9% Confidence) | $-11,021 | $-5,359 |
| 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
| 3.38 |
Skew
| 0.24 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1406 | 1.0122 | 0.1284 |
| Style Factor | -1.1402 | 0.0301 | -1.1703 |
| Size Factor | 0.5374 | -0.0672 | 0.6047 |
| U.S. Tilt (Non U.S.) | 0.3322 | 0.3858 | -0.0536 |
Adjusted R2
| Portfolio | 0.77 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |