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 (5y 4m 4d)
Returns (annualized)
| Portfolio | 30.84% |
| Benchmark | 14.13% |
Risk (annualized)
| Portfolio | 35.47% |
| Benchmark | 16.84% |
Sharpe (annualized)
| Portfolio | 0.84 |
| Benchmark | 0.67 |
Excess Return (annualized)
| 16.71% |
Tracking Error (annualized)
| 24.71% |
Information Ratio
| 0.68 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 34.84% | 17.20% |
| Sortino Ratio | 0.85 | 0.65 |
| Calmar Ratio | 0.58 | 0.46 |
| Ulcer Index | 13.80 | 15.07 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,247 | $-3,915 |
| VaR (99.9% Confidence) | $-10,955 | $-5,201 |
| 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
| 3.19 |
Skew
| 0.27 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1578 | 1.0115 | 0.1463 |
| Style Factor | -1.0420 | 0.0249 | -1.0669 |
| Size Factor | 0.4770 | -0.0657 | 0.5427 |
| U.S. Tilt (Non U.S.) | 0.3831 | 0.3808 | 0.0023 |
Adjusted R2
| Portfolio | 0.73 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |