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 4m 14d)
Returns (annualized)
| Portfolio | 20.30% |
| Benchmark | 13.63% |
Risk (annualized)
| Portfolio | 35.86% |
| Benchmark | 17.62% |
Sharpe (annualized)
| Portfolio | 0.60 |
| Benchmark | 0.63 |
Excess Return (annualized)
| 6.67% |
Tracking Error (annualized)
| 24.11% |
Information Ratio
| 0.28 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 35.97% | 17.98% |
| Sortino Ratio | 0.60 | 0.61 |
| Calmar Ratio | 0.42 | 0.45 |
| Ulcer Index | 13.48 | 14.94 |
| Max Drawdown | 51.53% | 24.50% |
| VaR (99% Confidence) | $-8,339 | $-4,097 |
| VaR (99.9% Confidence) | $-11,077 | $-5,442 |
| 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
| 0.22 |
Data Table
| Factor | Portfolio | Benchmark | Excess |
|---|---|---|---|
| Market Factor | 1.1391 | 1.0122 | 0.1270 |
| Style Factor | -1.1465 | 0.0301 | -1.1767 |
| Size Factor | 0.5364 | -0.0674 | 0.6038 |
| U.S. Tilt (Non U.S.) | 0.3310 | 0.3861 | -0.0551 |
Adjusted R2
| Portfolio | 0.78 |
| Benchmark | 1.00 |
Intercept
| Portfolio | 0.00 |
| Benchmark | -0.00 |