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 2m 24d)
Returns (annualized)
| Portfolio | 34.29% |
| Benchmark | 14.95% |
Risk (annualized)
| Portfolio | 35.55% |
| Benchmark | 16.92% |
Sharpe (annualized)
| Portfolio | 0.91 |
| Benchmark | 0.71 |
Excess Return (annualized)
| 19.34% |
Tracking Error (annualized)
| 24.70% |
Information Ratio
| 0.78 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 34.87% | 17.31% |
| Sortino Ratio | 0.93 | 0.69 |
| Calmar Ratio | 0.63 | 0.49 |
| Ulcer Index | 13.80 | 15.06 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,266 | $-3,935 |
| VaR (99.9% Confidence) | $-10,980 | $-5,228 |
| 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
| 3.23 |
Skew
| 0.27 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1465 | 1.0107 | 0.1358 |
| Style Factor | -1.0859 | 0.0268 | -1.1127 |
| Size Factor | 0.5049 | -0.0651 | 0.5700 |
| U.S. Tilt (Non U.S.) | 0.3488 | 0.3840 | -0.0351 |
Adjusted R2
| Portfolio | 0.73 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |