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 5m 18d)
Returns (annualized)
Portfolio | 24.86% |
Benchmark | 14.12% |
Risk (annualized)
Portfolio | 35.90% |
Benchmark | 17.48% |
Sharpe (annualized)
Portfolio | 0.71 |
Benchmark | 0.65 |
Excess Return (annualized)
10.74% |
Tracking Error (annualized)
24.36% |
Information Ratio
0.44 |
Statistic | Portfolio | Benchmark |
---|---|---|
Downside Volatility | 35.78% | 17.81% |
Sortino Ratio | 0.71 | 0.64 |
Calmar Ratio | 0.49 | 0.47 |
Ulcer Index | 13.52 | 14.96 |
Max Drawdown | 51.53% | 24.50% |
VaR (99% Confidence) | $-8,347 | $-4,064 |
VaR (99.9% Confidence) | $-11,088 | $-5,398 |
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
3.33 |
Skew
0.24 |
Data Table
Factor | Portfolio | Benchmark | Excess |
---|---|---|---|
Market Factor | 1.1405 | 1.0122 | 0.1283 |
Style Factor | -1.1422 | 0.0301 | -1.1723 |
Size Factor | 0.5429 | -0.0670 | 0.6100 |
U.S. Tilt (Non U.S.) | 0.3341 | 0.3861 | -0.0520 |
Adjusted R2
Portfolio | 0.77 |
Benchmark | 1.00 |
Intercept
Portfolio | 0.00 |
Benchmark | -0.00 |