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 1m 13d)
Returns (annualized)
| Portfolio | 34.57% |
| Benchmark | 14.96% |
Risk (annualized)
| Portfolio | 35.59% |
| Benchmark | 16.97% |
Sharpe (annualized)
| Portfolio | 0.92 |
| Benchmark | 0.71 |
Excess Return (annualized)
| 19.60% |
Tracking Error (annualized)
| 24.63% |
Information Ratio
| 0.80 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.08% | 17.30% |
| Sortino Ratio | 0.93 | 0.70 |
| Calmar Ratio | 0.63 | 0.49 |
| Ulcer Index | 13.77 | 15.05 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,275 | $-3,946 |
| VaR (99.9% Confidence) | $-10,992 | $-5,241 |
| 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
| 3.23 |
Skew
| 0.25 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1550 | 1.0105 | 0.1446 |
| Style Factor | -1.0817 | 0.0277 | -1.1095 |
| Size Factor | 0.5210 | -0.0660 | 0.5869 |
| U.S. Tilt (Non U.S.) | 0.3458 | 0.3853 | -0.0395 |
Adjusted R2
| Portfolio | 0.74 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |